CBL Options History — September 2014

In September 2014, CBL traded between $17.63 and $19.15. ATM implied volatility averaged 22.0%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 2.9% (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 17 of 21 days. Put/call ratio averaged 0.22.

Notable Days

  • 2014-09-16: Highest Volume — 7,807 contracts
  • 2014-09-18: Largest IV spike — 69.5% change
  • 2014-09-18: Highest IV Rank — 42.5%
  • 2014-09-16: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.35$17.63$19.15$19.09$17.90
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV22.0%14.4%47.9%16.1%19.5%
Expected Move6.8%6.2%7.6%6.5%6.9%
HV 20d19.2%11.4%25.6%13.0%25.6%
HV 60d16.4%13.7%19.0%13.7%18.7%
IV Rank11.4%2.3%42.5%4.3%8.4%
IV Percentile21.3%1.6%98.0%3.6%10.7%
Term Structure-1.6%-52.3%9.2%4.5%4.7%
VWIV24.2%21.7%26.9%22.3%26.5%
Skew 25d9.4%-14.2%76.9%17.7%-0.4%
Skew 10d27.0%-2.4%119.3%14.3%6.1%
Call IV 25d20.6%13.4%34.8%14.1%22.2%
Put IV 25d30.0%14.6%99.3%31.7%21.8%
Bid-Ask Spread %95.1886.87107.4690.6995.72
Gamma HHI0.830.560.960.910.89
Net GEX359.9K108.0K516.4K318.7K450.3K
Net DEX-4.4M-7.4M-1.8M-3.4M-5.7M
Net VEX-31.2K-42.9K-19.2K-20.4K-42.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.220.002.840.020.00
Total Volume1,614.81507,80768250
Total OI10,581.1436,55414,3526,55414,352

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$19.09$17.5016.1%6.5%13.0%4.3%22.3%17.7%4.5%318.7K-3.4M-20.4K0.0290.69N/AN/A671115,786768
2014-09-03$19.15$17.5014.4%6.3%11.9%2.3%21.8%0.2%4.5%341.8K-3.3M-19.8K0.1790.42N/AN/A6731155,790773
2014-09-04$18.89$17.5016.1%6.4%12.9%4.3%21.9%-4.7%1.1%297.1K-3.1M-19.2K0.0093.94N/AN/A44405,899883
2014-09-05$18.90$17.5016.8%6.3%12.4%5.1%21.9%2.5%1.8%305.0K-3.1M-19.9K0.3886.87N/AN/A2601006,279883
2014-09-08$18.84$17.5019.1%6.2%12.1%7.9%21.7%6.8%8.6%315.0K-3.3M-21.2K0.0086.99N/AN/A16706,539983
2014-09-09$18.80$17.5022.0%6.5%11.8%11.4%22.8%12.3%9.2%315.0K-3.2M-21.9K0.0095.38N/AN/A1,40506,608983
2014-09-10$18.57$17.5026.5%6.4%12.5%16.8%22.4%-1.6%-19.0%278.4K-3.0M-22.3K0.0798.80N/AN/A503357,077983
2014-09-11$18.43$17.5022.3%6.4%11.4%11.8%23.3%5.5%0.3%267.3K-3.0M-23.5K0.0096.86N/AN/A46207,5601,018
2014-09-12$17.82$17.5020.9%6.5%15.9%10.0%24.1%2.0%1.1%152.0K-1.8M-19.3K0.0389.36N/AN/A3,9581358,0151,018
2014-09-15$17.63$17.5020.1%6.8%15.8%9.1%23.3%1.3%3.0%108.0K-1.8M-21.9K0.0190.94N/AN/A6,785357,9071,153
2014-09-16$18.43$17.5022.8%7.6%23.0%12.4%25.2%-6.1%0.1%318.4K-5.8M-31.8K0.0094.81N/AN/A7,777309,2241,154
2014-09-17$18.68$17.5028.3%7.5%23.5%18.9%26.4%-3.0%-9.6%516.4K-7.4M-42.7K0.0090.31N/AN/A689012,2961,174
2014-09-18$18.35$17.5047.9%7.1%24.0%42.5%25.2%-14.2%-52.3%434.3K-6.2M-40.1K0.0088.03N/AN/A680312,0341,174
2014-09-19$18.58$17.5019.8%7.1%24.5%8.7%26.0%5.6%5.1%470.2K-6.4M-41.9K0.0097.19N/AN/A300012,6091,174
2014-09-22$18.20$17.5027.0%6.9%25.2%17.3%25.2%1.4%-10.2%471.2K-5.6M-39.1K0.01101.42N/AN/A4,1525111,515342
2014-09-23$17.94$17.5023.2%7.0%25.5%12.9%25.3%5.2%1.5%453.6K-5.2M-41.0K0.0091.77N/AN/A2,565012,268393
2014-09-24$17.83$17.5020.7%7.0%25.3%9.9%25.2%2.0%3.1%482.8K-5.6M-41.0K0.34102.52N/AN/A91030913,325393
2014-09-25$17.70$17.5020.6%6.9%25.3%9.7%26.9%76.9%2.8%403.8K-4.5M-40.2K0.37107.46N/AN/A1365013,081685
2014-09-26$17.84$17.5019.6%6.8%25.6%8.5%26.7%43.5%2.5%440.9K-5.4M-42.5K2.84103.92N/AN/A7019913,206729
2014-09-29$17.77$17.5019.2%6.8%25.5%8.0%26.5%43.6%4.5%418.1K-5.1M-42.6K0.45105.31N/AN/A1255613,256915
2014-09-30$17.90$17.5019.5%6.9%25.6%8.4%0.0%-0.4%4.7%450.3K-5.7M-42.9K0.0095.72N/AN/A50013,381971