CBL Options History — February 2014

In February 2014, CBL traded between $16.50 and $18.62. ATM implied volatility averaged 30.8%, placing in the 46.8% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 3.3% (HV 20d: 34.2%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 3.80.

Notable Days

  • 2014-02-27: Highest Volume — 16,878 contracts
  • 2014-02-06: Largest IV spike — 44.2% change
  • 2014-02-03: Highest IV Rank — 69.6%
  • 2014-02-03: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.45$16.50$18.62$17.11$17.79
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV30.8%21.4%41.0%41.0%27.4%
Expected Move8.8%6.1%11.8%11.8%7.9%
HV 20d34.2%24.9%41.7%24.9%39.6%
HV 60d26.0%22.2%29.6%23.2%29.4%
IV Rank46.8%25.7%69.6%69.6%39.1%
IV Percentile73.1%32.1%98.8%98.8%54.4%
Term Structure0.4%-8.0%8.3%-5.0%1.2%
VWIV32.1%21.4%41.1%41.1%27.6%
Skew 25d0.6%-10.2%8.1%-1.5%-7.8%
Skew 10d3.2%-17.3%16.6%-0.9%-10.0%
Call IV 25d32.8%26.5%46.2%38.5%37.4%
Put IV 25d33.4%24.5%45.9%36.9%29.6%
Bid-Ask Spread %94.1461.46116.38103.2289.24
Gamma HHI0.630.370.820.630.42
Net GEX176.0K-178.3K677.8K-141.8K283.9K
Net DEX-3.3M-12.7M2.2M1.4M-3.7M
Net VEX-21.2K-40.0K-12.4K-14.3K-26.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.800.0037.3317.620.81
Total Volume2,262.158016,87824267
Total OI16,148.7899,99630,7039,99622,640

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-02-03$17.11$17.5041.0%11.8%24.9%69.6%41.1%-1.5%-5.0%-141.8K1.4M-14.3K17.62103.22N/AN/A132293,8576,139
2014-02-04$17.36$17.5036.8%10.5%25.7%60.0%36.8%-10.2%-6.0%-119.6K1.1M-12.4K0.1395.38N/AN/A449573,8696,332
2014-02-05$16.50$17.5021.4%6.1%30.6%25.7%0.0%-2.0%7.7%-163.6K2.2M-13.9K37.33107.06N/AN/A93364,3056,300
2014-02-06$16.66$17.5030.9%8.8%31.0%46.8%26.1%5.4%3.7%-178.3K2.0M-14.5K0.74108.32N/AN/A23174,3116,586
2014-02-07$16.86$17.5033.0%8.5%31.2%51.6%32.0%8.1%-0.4%-144.8K1.6M-13.8K3.31116.38N/AN/A13434,3346,590
2014-02-10$16.81$17.5030.0%8.6%30.8%44.8%32.6%5.0%-1.4%-135.7K1.9M-14.1K0.4788.09N/AN/A1574,3446,617
2014-02-11$16.57$17.5027.4%8.7%31.1%39.0%0.0%-0.6%-2.2%-168.4K2.2M-13.8K0.00105.59N/AN/A004,3556,612
2014-02-12$16.92$17.5029.4%8.2%31.8%43.6%29.9%3.5%-0.5%-115.3K1.5M-12.5K0.58111.24N/AN/A50294,3556,612
2014-02-13$16.97$17.5032.4%9.3%31.9%50.2%32.4%4.3%-3.4%-134.5K1.5M-13.3K0.0077.13N/AN/A7,75804,4056,599
2014-02-14$17.10$17.5029.0%8.3%31.3%42.7%28.9%7.4%-1.0%446.7K-4.0M-27.7K0.0194.95N/AN/A146111,7176,599
2014-02-18$17.14$17.5029.5%8.5%30.6%43.7%29.5%7.0%-0.8%476.9K-4.1M-25.5K0.1098.93N/AN/A63611,8036,600
2014-02-19$18.44$17.5026.8%7.7%40.2%37.7%21.4%6.9%8.3%677.8K-11.0M-21.9K0.0992.88N/AN/A3963511,8256,606
2014-02-20$18.05$17.5028.2%8.1%40.8%40.9%28.1%-0.5%-0.9%616.7K-9.5M-23.2K0.0094.38N/AN/A25011,6396,553
2014-02-21$18.53$17.5028.7%8.2%41.7%42.0%35.8%1.4%8.3%560.4K-11.1M-21.8K0.0190.86N/AN/A2,4623511,6196,553
2014-02-24$18.56$17.5033.6%9.6%39.4%53.0%40.7%-6.3%3.1%541.2K-11.9M-27.6K0.0083.54N/AN/A3,167212,8886,369
2014-02-25$18.62$17.5033.9%9.7%36.7%53.5%35.4%-4.6%4.3%642.6K-12.7M-28.1K3.3189.68N/AN/A1,2114,01314,2876,369
2014-02-26$17.94$17.5039.6%11.4%39.8%66.5%40.7%3.3%-8.0%346.7K-6.9M-37.1K2.8361.46N/AN/A1,4164,01015,16510,370
2014-02-27$17.70$17.5027.1%7.8%40.3%38.5%27.2%-7.7%0.9%52.5K-2.5M-40.0K1.0080.37N/AN/A8,4228,45616,51714,186
2014-02-28$17.79$17.5027.4%7.9%39.6%39.1%27.6%-7.8%1.2%283.9K-3.7M-26.7K0.8189.24N/AN/A373013,6229,018