CBL Options History — January 2014

In January 2014, CBL traded between $16.40 and $18.50. ATM implied volatility averaged 31.5%, placing in the 54.2% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 10.1% (HV 20d: 21.4%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 12.51.

Notable Days

  • 2014-01-30: Highest Volume — 5,180 contracts
  • 2014-01-14: Largest IV spike — 71.1% change
  • 2014-01-02: Highest IV Rank — 100.0%
  • 2014-01-15: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.52$16.40$18.50$18.14$16.99
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV31.5%22.6%54.7%42.6%39.1%
Expected Move9.0%6.8%13.9%12.2%11.2%
HV 20d21.4%18.9%26.3%19.7%26.0%
HV 60d21.9%20.7%23.2%22.6%23.2%
IV Rank54.2%33.5%100.0%100.0%65.3%
IV Percentile74.1%38.5%100.0%100.0%98.4%
Term Structure-1.8%-24.1%4.3%-24.1%0.3%
VWIV32.3%17.3%49.1%45.8%39.0%
Skew 25d2.4%-17.0%72.8%12.7%-2.4%
Skew 10d6.2%-28.5%134.2%16.3%-1.8%
Call IV 25d30.9%18.7%42.2%23.4%37.3%
Put IV 25d33.3%22.6%95.8%36.1%34.9%
Bid-Ask Spread %107.2893.97123.27110.41104.97
Gamma HHI0.440.350.630.420.62
Net GEX20.9K-132.8K69.5K69.3K-132.8K
Net DEX-27.4K-882.6K1.7M-743.8K1.7M
Net VEX-7.6K-15.6K-5.1K-8.6K-15.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio12.510.00198.2318.753.90
Total Volume330.90505,1807949
Total OI5,279.4764,4289,9625,1299,962

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$18.14$17.5042.6%12.2%19.7%100.0%0.0%12.7%-24.1%69.3K-743.8K-8.6K18.75110.41N/AN/A4754,501628
2014-01-03$18.50$17.5023.6%6.8%20.8%41.9%45.8%8.4%-3.0%69.5K-882.6K-9.0K0.07116.42N/AN/A175124,503703
2014-01-06$18.34$17.5024.6%8.9%21.1%45.2%30.4%-2.3%-1.4%56.1K-701.0K-8.4K0.1893.97N/AN/A1124,416711
2014-01-07$18.04$17.5028.6%8.7%20.5%57.1%32.0%-0.8%2.5%52.2K-584.5K-8.2K5.4897.73N/AN/A211154,426713
2014-01-08$17.97$17.5027.4%8.8%20.5%53.6%0.0%-4.0%-1.9%25.8K-312.0K-7.5K0.0096.13N/AN/A004,447823
2014-01-09$17.72$17.5030.6%9.3%21.1%63.4%0.0%-5.5%-2.3%18.3K-168.6K-7.4K0.0496.02N/AN/A5524,447823
2014-01-10$17.90$17.5022.6%8.0%20.3%38.9%17.3%72.8%1.3%14.9K-271.2K-7.2K0.93101.16N/AN/A40374,472821
2014-01-13$17.87$17.5031.9%8.6%19.5%67.4%30.9%-0.7%1.4%20.0K-335.3K-7.7K0.3399.81N/AN/A30104,512849
2014-01-14$18.10$17.5054.7%8.7%19.7%100.0%0.0%-2.0%2.1%42.7K-475.4K-8.1K0.00110.36N/AN/A054,529859
2014-01-15$18.01$17.5045.8%13.9%19.6%80.1%0.0%0.7%-9.4%27.7K-378.5K-7.8K0.00107.14N/AN/A204,473862
2014-01-16$17.62$17.5027.8%8.0%21.0%40.0%27.8%2.4%2.9%-10.2K32.7K-6.6K1.84104.80N/AN/A681254,475862
2014-01-17$17.29$17.5024.9%7.1%20.6%33.5%0.0%-17.0%4.3%-8.3K329.3K-6.1K0.11119.78N/AN/A240264,518959
2014-01-21$17.25$17.5029.5%8.5%19.3%43.8%29.4%-4.7%0.3%36.6K-40.4K-6.3K0.43100.98N/AN/A69303,722706
2014-01-22$17.54$17.5030.0%8.6%19.0%44.8%30.0%2.2%0.8%41.5K-159.4K-6.8K5.45109.33N/AN/A422293,770728
2014-01-23$17.56$17.5028.0%8.0%18.9%40.4%28.0%2.8%2.3%35.7K-53.9K-7.9K0.20120.97N/AN/A51103,801944
2014-01-24$16.97$17.5031.9%9.1%22.1%49.2%31.4%0.8%-3.7%28.0K153.2K-6.9K0.58116.18N/AN/A19113,791934
2014-01-27$16.40$17.5029.7%8.5%24.4%44.2%28.9%-11.3%-2.2%15.6K522.6K-5.8K0.10105.02N/AN/A162163,788945
2014-01-28$16.41$17.5028.1%8.1%24.4%40.6%0.0%-7.7%-5.6%7.4K692.4K-5.1K0.00123.27N/AN/A403,852955
2014-01-29$16.48$17.5028.7%8.2%24.2%42.0%0.0%-5.8%-2.5%9.5K664.3K-5.3K1.00117.30N/AN/A11113,856955
2014-01-30$16.88$17.5031.0%8.9%26.3%47.2%49.1%11.8%1.1%19.5K386.4K-6.5K198.23101.04N/AN/A265,1543,867961
2014-01-31$16.99$17.5039.1%11.2%26.0%65.3%39.0%-2.4%0.3%-132.8K1.7M-15.6K3.90104.97N/AN/A10393,8576,105