CBL Options History — June 2014

In June 2014, CBL traded between $18.48 and $19.18. ATM implied volatility averaged 21.9%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 3.5% (HV 20d: 18.4%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.24.

Notable Days

  • 2014-06-10: Highest Volume — 1,020 contracts
  • 2014-06-20: Largest IV spike — 49.6% change
  • 2014-06-11: Highest IV Rank — 36.9%
  • 2014-06-10: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.87$18.48$19.18$18.92$19.00
Max Pain$18.10$17.50$20.00$17.50$20.00
ATM IV21.9%16.0%30.2%22.1%19.3%
Expected Move6.3%4.6%8.2%6.3%5.5%
HV 20d18.4%12.5%25.0%25.0%13.5%
HV 60d19.8%18.6%21.5%21.5%18.6%
IV Rank15.6%0.4%36.9%16.0%8.9%
IV Percentile15.7%0.8%71.8%9.9%4.8%
Term Structure4.1%-5.3%10.0%3.8%7.2%
VWIV25.2%15.0%39.3%29.5%22.7%
Skew 25d3.9%-7.8%15.3%4.3%3.8%
Skew 10d3.0%-12.8%10.0%3.0%-1.1%
Call IV 25d19.3%14.2%29.1%19.2%16.3%
Put IV 25d23.3%15.6%30.1%23.5%20.1%
Bid-Ask Spread %73.2810.35118.9485.9825.79
Gamma HHI0.790.620.930.930.75
Net GEX138.9K61.8K270.9K242.0K86.4K
Net DEX-2.4M-3.8M-772.1K-2.7M-901.1K
Net VEX-7.8K-11.4K-6.2K-8.7K-6.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.240.000.910.830.07
Total Volume199.95201,0204496
Total OI6,502.6672,4528,6917,5812,657

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$18.92$17.5022.1%6.3%25.0%16.0%0.0%4.3%3.8%242.0K-2.7M-8.7K0.8385.98N/AN/A24205,3642,217
2014-06-03$18.93$17.5026.9%7.7%24.4%28.5%29.5%-7.8%-5.3%226.7K-2.8M-9.4K0.9194.74N/AN/A2202005,3882,237
2014-06-04$18.78$17.5022.2%6.4%24.7%16.2%26.2%-4.9%-2.0%205.2K-2.4M-9.5K0.0031.16N/AN/A50105,3882,437
2014-06-05$19.18$17.5026.1%7.5%24.6%26.4%33.2%15.3%9.8%214.5K-3.2M-11.4K0.0890.51N/AN/A6255,1972,437
2014-06-06$19.07$17.5020.8%5.4%24.2%12.6%0.0%3.5%3.4%270.9K-3.0M-9.4K0.1334.83N/AN/A3045,2032,437
2014-06-09$18.96$17.5017.0%5.8%24.2%3.0%28.9%4.3%0.8%203.7K-2.6M-8.3K0.1191.95N/AN/A250285,2282,438
2014-06-10$18.78$17.5020.3%8.2%24.4%11.4%26.2%2.6%0.3%159.0K-2.3M-8.1K0.06109.27N/AN/A965555,1762,440
2014-06-11$18.70$17.5030.2%7.2%23.4%36.9%0.0%4.8%4.0%178.3K-3.4M-8.8K0.00104.62N/AN/A1406,0802,490
2014-06-12$18.69$17.5024.1%6.9%23.1%21.3%39.3%7.7%-0.4%155.0K-3.3M-8.3K0.60118.38N/AN/A1066,0832,490
2014-06-13$18.65$20.0022.4%6.4%21.8%17.0%19.0%9.3%5.9%124.1K-3.3M-7.8K0.35118.94N/AN/A2076,0832,496
2014-06-16$18.48$20.0022.8%6.5%13.3%18.0%20.9%7.8%3.3%126.2K-3.0M-7.6K0.18116.40N/AN/A113206,0842,496
2014-06-17$18.60$17.5021.6%6.2%13.4%14.9%0.0%6.9%7.1%74.6K-3.4M-6.8K0.00105.22N/AN/A006,1852,506
2014-06-18$18.90$17.5020.0%5.7%14.7%10.8%0.0%10.3%8.5%136.3K-3.8M-7.3K0.0047.16N/AN/A50416,1852,506
2014-06-19$18.94$17.5016.1%4.6%12.6%0.7%0.0%10.7%10.0%110.0K-2.9M-6.8K0.0095.61N/AN/A505,5452,469
2014-06-20$19.11$17.5024.1%6.9%12.5%21.3%0.0%0.2%-2.9%63.2K-2.9M-6.3K0.06100.47N/AN/A578345,5472,469
2014-06-23$18.91$17.5020.2%5.8%13.1%11.1%16.5%-7.0%0.5%65.0K-963.6K-6.5K0.2416.58N/AN/A3791,723729
2014-06-24$18.93$17.5016.0%4.6%13.1%0.4%0.0%-0.3%7.2%61.8K-787.2K-6.7K0.0014.35N/AN/A001,754738
2014-06-25$18.91$17.5023.8%6.8%13.1%20.4%15.0%4.0%9.3%64.1K-922.5K-6.2K0.00103.58N/AN/A27111,754738
2014-06-26$18.79$20.0023.8%6.8%13.3%20.4%0.0%3.2%8.8%69.0K-772.1K-6.5K0.0010.35N/AN/A6601,811737
2014-06-27$18.94$20.0020.3%5.8%13.6%11.5%0.0%3.7%7.8%80.5K-870.4K-6.6K0.8722.95N/AN/A23201,877737
2014-06-30$19.00$20.0019.3%5.5%13.5%8.9%22.7%3.8%7.2%86.4K-901.1K-6.6K0.0725.79N/AN/A9061,900757