CBL Options History — March 2014

In March 2014, CBL traded between $16.57 and $17.86. ATM implied volatility averaged 26.5%, placing in the 36.1% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 4.6% (HV 20d: 31.1%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 5.81.

Notable Days

  • 2014-03-21: Highest Volume — 1,184 contracts
  • 2014-03-27: Largest IV spike — 40.6% change
  • 2014-03-10: Highest IV Rank — 55.9%
  • 2014-03-14: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.23$16.57$17.86$17.61$17.75
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV26.5%19.4%34.9%26.5%27.3%
Expected Move7.5%5.6%8.3%7.6%7.8%
HV 20d31.1%20.9%39.8%39.8%23.4%
HV 60d29.6%29.0%30.3%29.4%30.3%
IV Rank36.1%19.6%55.9%37.0%37.5%
IV Percentile46.0%14.3%94.0%46.0%50.4%
Term Structure1.8%-0.3%9.8%1.3%2.0%
VWIV27.9%21.7%32.5%26.4%27.3%
Skew 25d4.5%-6.5%19.4%17.4%4.0%
Skew 10d8.4%-5.6%44.2%31.0%8.6%
Call IV 25d27.9%19.8%40.8%28.6%28.4%
Put IV 25d32.4%21.7%51.4%46.1%32.3%
Bid-Ask Spread %108.5490.25130.85114.32126.60
Gamma HHI0.460.350.580.470.43
Net GEX149.7K12.4K276.2K269.4K82.9K
Net DEX306.6K-3.8M5.1M-2.6M-928.2K
Net VEX-18.7K-26.0K-12.5K-24.0K-14.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.810.0044.540.960.25
Total Volume298.66711,1841,094277
Total OI19,066.9055,49625,36822,6595,979

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$17.61$17.5026.5%7.6%39.8%37.0%26.4%17.4%1.3%269.4K-2.6M-24.0K0.96114.32N/AN/A55953513,6319,028
2014-03-04$17.64$17.5027.9%8.0%39.7%40.2%32.5%10.7%-0.3%265.6K-2.6M-25.1K4.06109.22N/AN/A7831714,0469,529
2014-03-05$17.86$17.5026.4%7.6%39.7%36.9%26.3%19.4%1.9%276.2K-3.7M-26.0K3.1299.93N/AN/A3410614,0629,816
2014-03-06$17.85$17.5023.7%6.8%34.6%30.8%0.0%-4.8%1.4%270.0K-3.8M-25.7K0.00130.85N/AN/A1014,0639,920
2014-03-07$17.40$17.5026.4%7.8%36.0%36.8%31.7%-1.7%2.2%200.9K-720.0K-24.3K0.1190.25N/AN/A4074314,0749,920
2014-03-10$17.09$17.5034.9%7.7%36.5%55.9%26.7%3.1%2.2%137.1K563.0K-22.4K5.5098.69N/AN/A2011014,4509,928
2014-03-11$17.12$17.5028.8%8.0%36.5%40.9%27.9%4.4%1.5%164.5K1.2M-21.2K0.0093.84N/AN/A13014,47010,027
2014-03-12$17.39$17.5024.5%8.1%36.4%31.1%28.3%7.3%0.5%222.3K-28.1K-21.0K10.6095.13N/AN/A55314,47210,027
2014-03-13$17.36$17.5027.6%7.9%35.7%38.2%28.6%8.0%1.1%223.4K-118.2K-21.1K0.3199.37N/AN/A16514,47710,051
2014-03-14$17.12$17.5029.0%8.3%36.1%41.4%29.0%3.1%1.7%178.9K419.5K-20.2K0.00107.60N/AN/A070914,49310,056
2014-03-17$16.98$17.5028.1%8.1%36.1%39.3%0.0%3.1%1.9%197.4K1.1M-19.2K0.00104.86N/AN/A027114,49310,666
2014-03-18$17.06$17.5026.8%7.7%36.2%36.3%26.8%4.1%2.5%176.0K2.4M-18.2K1.48114.82N/AN/A9313814,49310,875
2014-03-19$16.74$17.5024.8%7.1%24.2%31.7%0.0%1.6%0.8%90.6K5.1M-15.3K0.00115.57N/AN/A07314,44510,870
2014-03-20$16.57$17.5025.9%7.4%23.5%34.3%31.5%0.4%-0.1%12.8K4.8M-14.0K3.00114.37N/AN/A5215614,26410,481
2014-03-21$17.09$17.5025.0%7.2%24.3%32.4%21.7%-6.5%0.6%244.3K3.9M-14.1K44.54110.99N/AN/A261,15814,31010,508
2014-03-24$16.96$17.5025.8%7.4%24.3%34.1%29.5%4.5%1.3%12.4K499.5K-12.6K19.50114.20N/AN/A2393,2112,303
2014-03-25$16.91$17.5024.1%6.9%24.1%30.3%26.7%8.0%0.4%12.4K558.7K-12.5K0.00106.71N/AN/A34403,2112,285
2014-03-26$16.83$17.5019.4%5.6%20.9%19.6%0.0%4.4%9.8%20.3K534.5K-13.1K0.57125.07N/AN/A21123,5462,285
2014-03-27$17.12$17.5027.3%7.8%21.7%37.6%0.0%-2.5%5.3%31.2K206.3K-13.2K9.80102.98N/AN/A151473,5512,285
2014-03-28$17.44$17.5026.2%7.5%22.7%35.1%26.2%5.7%0.9%54.2K-361.4K-14.0K0.71103.87N/AN/A2561813,5662,238
2014-03-31$17.75$17.5027.3%7.8%23.4%37.5%27.3%4.0%2.0%82.9K-928.2K-14.8K0.25126.60N/AN/A221563,7262,253