CBL Options History — May 2014

In May 2014, CBL traded between $17.99 and $18.98. ATM implied volatility averaged 26.2%, placing in the 29.3% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 4.6% (HV 20d: 21.6%). 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 10 of 21 days. Put/call ratio averaged 4.17.

Notable Days

  • 2014-05-08: Highest Volume — 715 contracts
  • 2014-05-07: Largest IV spike — 72.7% change
  • 2014-05-14: Highest IV Rank — 86.6%
  • 2014-05-16: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.62$17.99$18.98$18.13$18.82
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV26.2%19.1%49.2%22.2%19.1%
Expected Move6.5%5.5%8.7%6.4%5.5%
HV 20d21.6%15.9%26.4%15.9%25.3%
HV 60d23.9%21.4%27.6%27.6%21.4%
IV Rank29.3%8.5%86.6%22.1%8.5%
IV Percentile32.7%2.8%99.6%15.9%2.8%
Term Structure0.8%-6.2%7.4%3.9%4.6%
VWIV23.3%15.5%29.9%24.1%19.7%
Skew 25d0.1%-7.2%8.5%3.2%2.5%
Skew 10d4.2%-8.2%24.3%11.2%2.4%
Call IV 25d23.9%18.0%29.6%22.0%18.0%
Put IV 25d24.0%16.0%29.9%25.3%20.4%
Bid-Ask Spread %89.5657.27113.54111.88101.04
Gamma HHI0.830.690.910.700.91
Net GEX187.4K117.0K232.4K117.0K206.6K
Net DEX-2.4M-3.2M-1.5M-1.5M-2.5M
Net VEX-11.5K-13.2K-8.1K-12.5K-8.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.170.0065.501.090.00
Total Volume140.52467152338
Total OI7,250.0956,2677,6726,2677,545

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$18.13$17.5022.2%6.4%15.9%22.1%24.1%3.2%3.9%117.0K-1.5M-12.5K1.09111.88N/AN/A11124,1162,151
2014-05-02$18.37$17.5019.8%5.7%16.4%16.2%0.0%8.5%3.6%128.3K-1.8M-11.8K0.0057.27N/AN/A12204,1272,152
2014-05-05$18.15$17.5023.0%7.1%16.1%24.0%23.3%1.9%-0.1%133.7K-1.8M-12.0K0.00113.54N/AN/A59304,2192,152
2014-05-06$18.18$17.5019.2%6.8%16.1%13.1%0.0%-0.0%-0.5%139.7K-1.7M-12.2K0.0096.36N/AN/A0104,6692,152
2014-05-07$18.59$17.5033.1%6.1%17.9%47.2%23.5%1.2%7.4%172.6K-2.3M-12.3K0.0093.27N/AN/A1104,6692,162
2014-05-08$18.86$17.5027.6%7.1%18.1%33.7%23.0%1.9%-2.8%198.4K-2.9M-13.2K0.0091.17N/AN/A71234,6642,162
2014-05-09$18.76$17.5027.7%5.9%17.8%34.0%15.5%0.5%-0.7%187.8K-2.7M-12.7K0.0088.73N/AN/A10405,2162,159
2014-05-12$18.89$17.5028.6%6.7%17.8%36.3%24.2%1.8%-1.3%221.3K-3.2M-12.4K0.0588.13N/AN/A328155,3102,159
2014-05-13$18.54$17.5046.8%6.3%18.7%80.8%24.5%-0.4%6.1%207.7K-2.7M-11.9K0.0086.00N/AN/A0105,5082,164
2014-05-14$18.34$17.5049.2%6.4%19.2%86.6%25.3%-0.6%5.9%179.5K-2.3M-11.0K65.5089.71N/AN/A21315,5082,164
2014-05-15$17.99$17.5025.4%7.3%20.5%28.4%0.0%4.2%-1.0%129.2K-1.5M-11.1K0.0089.45N/AN/A705,4132,240
2014-05-16$18.89$17.5030.4%8.7%26.4%40.8%29.9%-3.0%-6.2%187.5K-2.8M-11.0K0.1588.02N/AN/A226355,4182,240
2014-05-19$18.98$17.5024.3%7.0%26.3%25.7%0.0%1.8%2.0%220.3K-2.8M-11.5K0.0070.07N/AN/A25005,0922,227
2014-05-20$18.95$17.5020.7%5.9%26.0%16.8%0.0%-5.6%1.2%232.4K-2.9M-11.9K3.0692.55N/AN/A18555,2292,227
2014-05-21$18.57$17.5024.0%6.9%26.1%25.0%25.3%-0.9%3.1%183.6K-2.3M-11.3K0.0086.71N/AN/A01205,2472,237
2014-05-22$18.76$17.5020.9%6.0%26.1%13.1%21.7%0.7%-0.3%213.0K-2.6M-11.7K0.0080.70N/AN/A7105,2472,210
2014-05-23$18.82$17.5020.7%5.9%25.9%12.5%0.0%-7.2%0.5%207.7K-2.6M-10.7K0.0090.20N/AN/A0305,3032,210
2014-05-27$18.82$17.5022.1%6.3%25.5%16.0%19.7%-6.9%-2.4%229.2K-2.8M-10.4K0.4080.60N/AN/A525,3032,216
2014-05-28$18.82$17.5022.3%6.4%25.4%16.7%0.0%-5.1%-2.5%219.0K-2.6M-10.2K0.7195.05N/AN/A14105,3082,218
2014-05-29$18.78$17.5022.9%6.6%25.3%18.1%0.0%3.3%-4.3%219.8K-2.8M-10.9K0.0090.29N/AN/A605,3222,217
2014-05-30$18.82$17.5019.1%5.5%25.3%8.5%0.0%2.5%4.6%206.6K-2.5M-8.1K0.00101.04N/AN/A3805,3282,217