CBL Options History — August 2014

In August 2014, CBL traded between $18.39 and $19.31. ATM implied volatility averaged 29.0%, placing in the 22.9% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 13.7% (HV 20d: 15.3%). 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 17 of 21 days. Put/call ratio averaged 0.03.

Notable Days

  • 2014-08-22: Highest Volume — 1,624 contracts
  • 2014-08-11: Largest IV spike — 169.8% change
  • 2014-08-06: Highest IV Rank — 100.0%
  • 2014-08-01: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.90$18.39$19.31$18.70$19.00
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV29.0%12.5%95.9%25.7%15.6%
Expected Move6.5%6.1%6.8%6.8%6.2%
HV 20d15.3%12.9%16.9%15.4%13.0%
HV 60d15.5%13.7%18.2%18.2%13.7%
IV Rank22.9%0.0%100.0%25.3%3.7%
IV Percentile35.7%0.0%100.0%34.9%2.4%
Term Structure2.6%-4.7%8.4%-4.7%2.5%
VWIV22.3%19.2%25.9%23.1%21.5%
Skew 25d5.3%-4.7%14.1%2.8%13.1%
Skew 10d11.1%-7.0%65.3%2.7%11.5%
Call IV 25d18.3%10.7%22.8%22.2%14.9%
Put IV 25d23.7%10.6%28.0%25.0%28.0%
Bid-Ask Spread %95.6083.18112.2986.1495.30
Gamma HHI0.850.770.940.800.90
Net GEX163.8K88.0K278.1K108.0K278.1K
Net DEX-1.4M-3.0M-559.1K-738.7K-2.9M
Net VEX-8.5K-18.8K-3.9K-5.6K-18.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.030.000.430.000.01
Total Volume232.95201,6245572
Total OI3,818.2862,5386,0543,1136,054

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$18.70$17.5025.7%6.8%15.4%25.3%0.0%2.8%-4.7%108.0K-738.7K-5.6K0.0086.14N/AN/A502,365748
2014-08-04$18.74$17.5027.1%6.7%15.3%28.9%0.0%3.0%0.4%110.1K-704.5K-5.1K0.0083.55N/AN/A012,361748
2014-08-05$18.49$17.5048.7%6.7%15.5%84.7%0.0%2.1%8.0%106.7K-779.8K-5.3K0.0092.56N/AN/A012,361749
2014-08-06$18.39$17.5079.1%6.6%15.4%100.0%23.1%1.4%5.7%88.0K-712.1K-5.0K0.0098.91N/AN/A502,361748
2014-08-07$18.59$17.5030.6%6.7%15.5%23.3%0.0%1.3%7.7%93.0K-559.1K-4.7K0.0090.70N/AN/A0502,366748
2014-08-08$18.74$17.5035.5%6.6%15.9%31.1%23.2%2.2%8.4%109.6K-656.9K-4.7K0.0093.02N/AN/A1702,366786
2014-08-11$18.89$17.5095.9%6.7%15.8%100.0%25.0%2.3%0.9%118.3K-1.0M-5.0K0.00103.09N/AN/A1002,382786
2014-08-12$18.81$17.5034.3%6.7%15.9%23.0%0.0%2.6%0.9%115.8K-737.1K-4.7K0.00101.15N/AN/A002,382786
2014-08-13$19.08$17.5045.3%6.7%16.6%36.8%25.9%6.5%1.9%157.4K-915.5K-4.7K0.00106.57N/AN/A102,382786
2014-08-14$19.15$17.5018.9%6.5%16.6%3.8%0.0%5.8%2.3%165.5K-952.6K-4.6K0.0083.18N/AN/A0502,336786
2014-08-15$18.93$17.5017.4%6.6%16.8%2.0%0.0%5.4%1.7%101.9K-825.4K-4.5K0.0090.57N/AN/A2002,336787
2014-08-18$19.07$17.5017.4%6.4%16.7%1.9%20.9%2.2%-0.7%92.0K-737.4K-3.9K0.0092.56N/AN/A1201,771767
2014-08-19$19.18$17.5017.1%6.4%16.9%1.6%0.0%3.0%-1.4%104.1K-821.5K-4.1K0.4392.30N/AN/A115491,783767
2014-08-20$19.31$17.5013.0%6.3%15.9%0.0%0.0%-4.7%4.0%151.8K-888.4K-4.0K0.0196.38N/AN/A1,508101,898759
2014-08-21$19.16$17.5015.1%6.1%14.3%2.6%19.2%7.9%2.2%246.6K-2.1M-10.7K0.0094.06N/AN/A12503,404749
2014-08-22$18.93$17.5017.4%6.4%14.7%5.3%22.1%7.3%-1.4%219.4K-1.8M-10.2K0.0199.31N/AN/A1,604203,468728
2014-08-25$18.87$17.5014.1%6.3%14.7%1.4%21.4%9.2%2.1%263.6K-2.8M-18.6K0.05112.29N/AN/A400205,178748
2014-08-26$19.01$17.5013.7%6.6%14.7%0.9%22.5%14.1%6.9%264.3K-2.8M-17.6K0.0098.11N/AN/A15304,992768
2014-08-27$19.00$17.5012.5%6.1%13.6%0.0%21.7%13.6%4.9%273.1K-3.0M-18.8K0.0097.82N/AN/A7405,142768
2014-08-28$18.91$17.5015.4%6.2%12.9%3.4%21.3%10.7%2.3%272.4K-2.9M-18.5K0.0099.96N/AN/A7005,216768
2014-08-29$19.00$17.5015.6%6.2%13.0%3.7%21.5%13.1%2.5%278.1K-2.9M-18.8K0.0195.30N/AN/A56665,286768