CBL Options History — July 2014

In July 2014, CBL traded between $18.70 and $19.90. ATM implied volatility averaged 23.2%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 9.5% (HV 20d: 13.7%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.81.

Notable Days

  • 2014-07-30: Highest Volume — 500 contracts
  • 2014-07-31: Largest IV spike — 28.6% change
  • 2014-07-31: Highest IV Rank — 39.5%
  • 2014-07-07: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.42$18.70$19.90$19.27$18.70
Max Pain$18.08$17.50$20.00$20.00$17.50
ATM IV23.2%19.3%31.2%21.8%31.2%
Expected Move6.6%5.5%7.1%6.2%6.9%
HV 20d13.7%11.9%16.3%14.4%16.3%
HV 60d18.5%17.8%18.9%18.6%18.7%
IV Rank18.9%8.7%39.5%15.3%39.5%
IV Percentile21.3%3.6%81.3%11.9%81.3%
Term Structure-1.4%-24.8%8.1%8.1%-24.8%
VWIV23.3%22.6%24.0%23.1%23.5%
Skew 25d4.8%-6.5%85.5%6.8%-2.9%
Skew 10d10.8%-7.0%130.6%-0.3%0.3%
Call IV 25d22.3%16.8%26.0%16.8%23.9%
Put IV 25d27.1%19.5%106.7%23.6%21.0%
Bid-Ask Spread %59.2512.7999.2723.9981.90
Gamma HHI0.850.770.910.810.83
Net GEX133.2K96.1K208.8K102.1K116.5K
Net DEX-1.3M-1.7M-778.7K-1.2M-778.7K
Net VEX-6.5K-7.3K-5.3K-7.0K-5.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.0012.500.000.94
Total Volume61.54505004064
Total OI2,782.1362,5173,0572,7443,057

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$19.27$20.0021.8%6.2%14.4%15.3%0.0%6.8%8.1%102.1K-1.2M-7.0K0.0023.99N/AN/A4001,987757
2014-07-02$19.31$20.0022.7%6.5%14.0%17.6%0.0%-6.5%-2.1%107.8K-1.2M-7.3K0.0042.96N/AN/A1002,027757
2014-07-03$19.00$20.0019.3%5.5%13.3%8.7%0.0%-1.0%2.9%96.1K-1.1M-7.1K0.0044.33N/AN/A002,037757
2014-07-07$19.09$17.5024.0%7.1%13.3%21.0%0.0%3.1%-3.1%105.5K-994.4K-6.5K0.0072.84N/AN/A002,037757
2014-07-08$19.25$17.5022.6%6.7%13.4%17.5%0.0%3.9%-0.6%113.3K-1.1M-6.7K0.0030.37N/AN/A002,037757
2014-07-09$19.33$17.5022.5%6.8%12.9%17.0%0.0%2.6%-1.3%120.1K-1.2M-6.8K0.0039.26N/AN/A1202,037757
2014-07-10$19.52$17.5022.9%6.6%13.0%18.0%0.0%6.5%0.7%118.6K-1.4M-7.0K0.0051.30N/AN/A1902,049757
2014-07-11$19.54$17.5023.1%6.6%13.0%18.7%23.1%-0.9%-0.2%141.6K-1.4M-6.8K0.0025.40N/AN/A102,049757
2014-07-14$19.71$17.5024.0%6.9%13.1%21.0%24.0%-1.4%-1.3%145.1K-1.6M-6.7K0.2912.79N/AN/A2882,049757
2014-07-15$19.68$17.5022.8%6.5%12.4%18.0%0.0%-1.9%0.0%164.1K-1.5M-6.7K0.0034.75N/AN/A402,069757
2014-07-16$19.83$17.5023.0%6.6%12.4%18.4%0.0%-0.9%0.5%170.1K-1.7M-6.7K0.0029.16N/AN/A402,072757
2014-07-17$19.71$17.5023.2%6.6%11.9%18.9%0.0%-1.3%-0.2%184.3K-1.6M-6.6K0.0036.12N/AN/A502,061749
2014-07-18$19.79$17.5022.6%6.5%11.9%17.4%22.6%0.1%0.1%208.8K-1.6M-6.4K0.0080.42N/AN/A1302,066749
2014-07-21$19.55$0.0022.9%6.9%12.7%18.2%0.0%2.4%-0.4%108.1K-1.4M-6.2K0.0092.52N/AN/A041,829688
2014-07-22$19.58$0.0022.8%6.8%11.9%18.0%0.0%3.2%-0.8%111.2K-1.4M-6.1K0.0093.01N/AN/A14601,829692
2014-07-23$19.90$0.0023.0%6.6%12.9%18.4%0.0%85.5%-0.9%135.3K-1.7M-6.2K0.0087.35N/AN/A2001,944692
2014-07-24$19.48$0.0023.5%6.6%15.4%19.7%0.0%4.9%-0.9%123.8K-1.4M-6.4K0.0082.22N/AN/A001,963692
2014-07-25$19.35$0.0022.9%6.5%15.5%18.1%0.0%4.5%-1.8%127.0K-1.3M-6.0K0.0083.22N/AN/A18501,963692
2014-07-28$19.41$0.0023.7%6.6%15.3%20.1%0.0%0.5%-1.8%151.7K-1.4M-6.2K12.5076.97N/AN/A2252,148692
2014-07-29$19.24$0.0021.4%6.5%15.7%14.3%0.0%-3.3%-0.9%143.2K-1.2M-6.0K0.0083.28N/AN/A26402,150717
2014-07-30$18.94$0.0024.3%6.3%15.8%21.6%0.0%1.6%-1.3%135.9K-1.1M-5.7K0.0099.27N/AN/A50002,340717
2014-07-31$18.70$0.0031.2%6.9%16.3%39.5%23.5%-2.9%-24.8%116.5K-778.7K-5.3K0.9481.90N/AN/A33312,340717