CBL Options History — October 2014

In October 2014, CBL traded between $17.37 and $19.12. ATM implied volatility averaged 23.0%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 0.7% (HV 20d: 22.3%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 1.18.

Notable Days

  • 2014-10-08: Highest Volume — 3,121 contracts
  • 2014-10-15: Largest IV spike — 43.5% change
  • 2014-10-15: Highest IV Rank — 33.8%
  • 2014-10-30: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.09$17.37$19.12$17.84$19.12
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV23.0%17.4%40.7%21.3%18.7%
Expected Move7.2%6.8%7.6%6.8%7.0%
HV 20d22.3%19.6%27.4%25.5%19.6%
HV 60d19.7%18.6%20.4%18.6%20.1%
IV Rank12.6%5.9%33.8%10.5%7.4%
IV Percentile28.4%6.7%95.6%16.7%7.9%
Term Structure3.5%-1.4%11.2%4.6%3.1%
VWIV25.7%23.8%27.2%23.8%24.9%
Skew 25d4.0%-7.4%73.2%2.8%0.1%
Skew 10d9.0%-12.1%128.3%8.2%-2.4%
Call IV 25d24.1%18.5%32.0%22.3%19.8%
Put IV 25d28.2%19.5%95.3%25.0%19.9%
Bid-Ask Spread %91.1179.77102.44101.2086.87
Gamma HHI0.760.500.970.890.89
Net GEX426.4K53.3K767.1K455.1K767.1K
Net DEX-6.4M-10.3M-3.5M-5.7M-10.3M
Net VEX-42.9K-47.2K-38.6K-44.5K-46.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.006.110.000.20
Total Volume655.739103,12110251
Total OI14,668.65213,97115,76914,32214,424

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-10-01$17.84$17.5021.3%6.8%25.5%10.5%0.0%2.8%4.6%455.1K-5.7M-44.5K0.00101.20N/AN/A01013,351971
2014-10-02$17.73$17.5021.5%6.8%25.2%10.8%23.8%1.2%2.4%430.0K-5.6M-43.7K0.0085.53N/AN/A16013,351981
2014-10-03$18.00$17.5017.4%7.0%26.0%5.9%0.0%-3.5%6.8%420.0K-6.4M-46.1K0.0096.01N/AN/A75013,362981
2014-10-06$18.09$17.5019.9%7.0%26.2%8.9%24.4%-0.1%1.4%497.6K-6.9M-46.7K0.7583.18N/AN/A644813,437981
2014-10-07$17.65$17.5024.1%7.1%27.4%13.9%26.1%-4.9%2.0%419.9K-5.8M-43.4K0.0088.37N/AN/A25013,4631,029
2014-10-08$17.62$17.5018.6%6.9%27.2%7.3%25.7%1.7%-0.5%383.2K-5.0M-39.4K2.3689.15N/AN/A9292,19213,4961,029
2014-10-09$17.46$17.5020.4%7.0%27.2%9.5%25.3%-7.2%-1.4%150.4K-3.6M-39.7K6.1179.77N/AN/A3742,28413,2781,956
2014-10-10$17.54$17.5023.9%7.2%24.7%13.6%25.9%2.6%-0.7%174.1K-3.8M-39.4K5.9185.01N/AN/A3702,18713,2992,073
2014-10-13$17.37$17.5028.3%7.5%24.6%18.9%26.8%2.9%-1.3%176.7K-3.5M-39.5K0.2390.34N/AN/A54912613,5312,078
2014-10-14$17.74$17.5028.3%7.5%19.9%19.0%26.1%73.2%-0.6%85.5K-4.9M-41.2K0.2387.76N/AN/A54912613,5652,078
2014-10-15$17.39$17.5040.7%7.5%20.0%33.8%27.2%-7.4%0.3%196.1K-3.7M-38.6K0.3391.23N/AN/A53517613,5652,088
2014-10-16$17.65$17.5027.2%7.3%20.3%17.7%25.7%6.0%-0.7%102.9K-4.5M-39.3K1.7689.55N/AN/A519013,5412,138
2014-10-17$17.71$17.5026.9%7.4%19.7%17.3%0.0%5.2%-1.3%53.3K-5.2M-40.5K0.0086.14N/AN/A74013,5412,228
2014-10-20$18.14$17.5020.5%7.3%20.6%9.6%26.2%4.3%8.6%501.7K-6.2M-41.1K0.4990.40N/AN/A30314813,156815
2014-10-21$18.32$17.5019.8%7.3%20.1%8.7%24.8%4.4%8.5%565.2K-7.2M-42.6K1.0786.92N/AN/A21723313,240815
2014-10-22$18.47$17.5021.8%7.3%20.1%11.2%26.8%-0.6%6.0%601.0K-7.9M-45.5K1.1291.88N/AN/A20823313,279884
2014-10-23$18.68$17.5022.0%7.4%20.1%11.4%24.8%-0.2%7.1%619.7K-8.5M-46.3K0.9697.38N/AN/A21520713,279884
2014-10-24$18.70$17.5021.7%7.3%20.0%11.1%26.2%1.0%7.1%637.1K-8.9M-47.2K0.8395.89N/AN/A20016613,291900
2014-10-27$18.68$17.5021.7%7.1%19.9%11.0%24.5%1.9%11.2%638.8K-8.4M-43.9K0.6997.72N/AN/A20013713,296903
2014-10-28$18.68$17.5024.1%7.0%19.8%13.9%25.6%7.2%4.7%649.9K-8.5M-43.9K1.0498.39N/AN/A23724613,296907
2014-10-29$18.67$17.5018.9%7.0%19.7%7.6%26.0%-3.3%7.7%613.8K-8.6M-44.3K1.06102.44N/AN/A23324613,321989
2014-10-30$18.82$17.5022.5%7.6%19.6%12.0%26.3%5.0%6.4%669.1K-8.7M-43.8K0.8094.38N/AN/A30624613,320989
2014-10-31$19.12$17.5018.7%7.0%19.6%7.4%24.9%0.1%3.1%767.1K-10.3M-46.8K0.2086.87N/AN/A2104113,435989