CBL Options History — April 2014

In April 2014, CBL traded between $17.67 and $18.28. ATM implied volatility averaged 28.9%, placing in the 38.5% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 9.7% (HV 20d: 19.2%). 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 4 of 21 days. Put/call ratio averaged 3.10.

Notable Days

  • 2014-04-01: Highest Volume — 699 contracts
  • 2014-04-30: Largest IV drop — 20.1% change
  • 2014-04-03: Highest IV Rank — 47.8%
  • 2014-04-03: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.92$17.67$18.28$17.69$18.17
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV28.9%22.0%32.6%30.9%22.0%
Expected Move8.4%6.3%9.3%8.9%6.3%
HV 20d19.2%15.5%23.4%23.4%16.0%
HV 60d29.1%27.7%30.0%30.0%27.7%
IV Rank38.5%21.6%47.8%45.8%21.6%
IV Percentile60.8%14.7%86.9%79.4%14.7%
Term Structure-0.9%-4.5%8.5%-2.5%8.5%
VWIV29.1%26.6%33.2%30.9%26.6%
Skew 25d6.3%-1.3%22.4%-1.3%7.0%
Skew 10d10.9%-2.0%44.2%-2.0%5.7%
Call IV 25d26.8%20.6%32.3%32.3%20.6%
Put IV 25d33.1%27.6%46.3%30.9%27.6%
Bid-Ask Spread %110.3793.29125.23116.73103.54
Gamma HHI0.510.390.700.410.70
Net GEX128.1K59.8K228.3K91.7K113.0K
Net DEX-1.5M-2.6M-565.8K-943.2K-1.5M
Net VEX-13.9K-15.7K-11.9K-14.9K-12.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.100.0038.500.000.18
Total Volume123.667069969967
Total OI6,385.7145,6546,8776,1456,221

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$17.69$17.5030.9%8.9%23.4%45.8%30.9%-1.3%-2.5%91.7K-943.2K-14.9K0.00116.73N/AN/A69633,9242,221
2014-04-02$17.81$17.5031.5%9.0%23.1%47.0%0.0%4.9%-1.3%133.3K-1.7M-15.7K0.00106.13N/AN/A0454,2852,221
2014-04-03$17.92$17.5032.6%9.3%23.2%47.8%0.0%4.5%-2.6%135.8K-1.8M-15.5K0.00100.94N/AN/A0304,2852,191
2014-04-04$18.20$17.5029.8%8.5%21.7%40.2%28.8%-0.2%-0.3%143.8K-2.3M-15.5K0.0093.29N/AN/A29404,2852,213
2014-04-07$18.20$17.5029.9%8.8%20.4%40.6%0.0%1.8%-2.3%151.0K-2.4M-15.4K0.15100.90N/AN/A67104,5012,213
2014-04-08$18.28$17.5024.0%9.1%20.4%26.4%33.2%-0.9%-3.6%159.4K-2.6M-15.0K0.17105.50N/AN/A3564,4882,213
2014-04-09$18.11$17.5028.0%8.8%20.3%36.0%30.5%2.1%-0.9%160.1K-2.3M-15.2K38.50104.54N/AN/A2774,5032,216
2014-04-10$17.94$17.5030.4%8.7%20.6%41.8%28.1%4.3%-1.7%155.5K-1.8M-15.1K0.03121.10N/AN/A10034,5052,264
2014-04-11$17.91$17.5030.4%8.7%19.9%41.8%30.4%7.6%1.1%174.0K-2.0M-15.4K0.75101.85N/AN/A864,6052,267
2014-04-14$17.70$17.5030.5%8.8%20.1%42.1%0.0%8.7%-1.9%164.2K-1.6M-14.5K0.00111.90N/AN/A004,6042,273
2014-04-15$17.81$17.5030.7%8.8%20.2%42.5%0.0%5.3%-0.9%178.3K-1.7M-14.0K0.00118.94N/AN/A004,6042,273
2014-04-16$17.90$17.5028.7%8.2%18.6%37.8%27.3%22.4%1.5%176.8K-1.8M-13.7K0.33125.23N/AN/A39134,4172,261
2014-04-17$17.71$17.5028.2%8.1%18.6%36.6%26.6%7.9%-0.4%228.3K-1.5M-13.1K5.08115.71N/AN/A241224,4562,261
2014-04-21$17.73$17.5028.9%8.3%15.5%38.2%0.0%4.6%-1.8%59.8K-565.8K-12.1K1.04121.86N/AN/A23243,5252,129
2014-04-22$18.01$17.5030.0%8.6%15.8%40.9%0.0%4.3%-2.0%63.2K-789.5K-12.1K0.09111.07N/AN/A110103,5482,143
2014-04-23$17.67$17.5028.8%8.3%17.6%37.9%0.0%15.0%-1.1%76.0K-892.1K-12.4K0.00119.06N/AN/A4003,6462,142
2014-04-24$17.86$17.5028.5%8.2%17.6%37.1%28.5%6.4%-0.5%72.1K-802.9K-12.5K0.01108.78N/AN/A47843,6862,142
2014-04-25$17.74$17.5026.4%7.6%17.1%32.1%0.0%19.6%1.0%77.1K-802.7K-13.0K0.00119.53N/AN/A033,9282,146
2014-04-28$18.02$17.5029.0%8.3%16.8%38.4%28.9%3.0%-1.7%82.0K-1.0M-12.5K0.11113.96N/AN/A231253,9282,144
2014-04-29$17.99$17.5027.6%7.9%15.7%35.0%0.0%6.0%-4.5%93.9K-1.1M-11.9K0.0097.25N/AN/A024,0802,143
2014-04-30$18.17$17.5022.0%6.3%16.0%21.6%26.6%7.0%8.5%113.0K-1.5M-12.3K0.18103.54N/AN/A57104,0802,141