CBL Options History — November 2014

In November 2014, CBL traded between $18.69 and $19.45. ATM implied volatility averaged 20.8%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 3.1% (HV 20d: 17.6%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.10.

Notable Days

2014-11-20: Highest Volume — 1,965 contracts
2014-11-04: Largest IV spike — 34.1% change
2014-11-12: Highest IV Rank — 22.0%
2014-11-26: Largest Expected Move — 10.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.03	$18.69	$19.45	$19.12	$19.45
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	20.8%	15.9%	30.8%	15.9%	18.3%
Expected Move	7.4%	6.8%	10.5%	7.0%	7.3%
HV 20d	17.6%	16.6%	19.7%	19.7%	17.4%
HV 60d	20.7%	20.0%	21.3%	20.1%	21.1%
IV Rank	9.9%	4.1%	22.0%	4.1%	7.0%
IV Percentile	21.6%	3.2%	80.2%	3.2%	8.3%
Term Structure	0.7%	-5.1%	10.3%	10.3%	3.0%
VWIV	24.8%	23.5%	30.7%	24.2%	25.1%
Skew 25d	6.0%	-7.4%	121.8%	6.6%	0.0%
Skew 10d	10.3%	-8.1%	143.8%	3.8%	-2.0%
Call IV 25d	22.4%	14.8%	28.5%	14.8%	20.0%
Put IV 25d	28.4%	15.8%	150.3%	21.4%	20.0%
Bid-Ask Spread %	93.59	88.74	100.18	94.64	99.25
Gamma HHI	0.90	0.86	0.99	0.89	0.98
Net GEX	848.9K	489.5K	1.3M	771.0K	1.3M
Net DEX	-10.1M	-12.6M	-8.0M	-10.3M	-12.6M
Net VEX	-42.6K	-46.5K	-31.6K	-45.9K	-46.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.10	0.00	0.21	0.15	0.00
Total Volume	559.421	86	1,965	309	89
Total OI	15,216.474	14,431	16,587	14,431	16,587

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2014-11-03	$19.12	$17.50	15.9%	7.0%	19.7%	4.1%	24.2%	6.6%	10.3%	771.0K	-10.3M	-45.9K	0.15	94.64	N/A	N/A	268	41	13,434	997
2014-11-04	$19.16	$17.50	21.3%	7.0%	16.8%	10.6%	24.4%	-3.9%	-1.9%	808.0K	-10.2M	-44.6K	0.13	96.28	N/A	N/A	326	41	13,434	997
2014-11-05	$19.11	$17.50	20.6%	6.8%	16.8%	9.8%	24.1%	0.1%	0.8%	791.3K	-10.3M	-45.7K	0.17	88.74	N/A	N/A	237	41	13,574	997
2014-11-06	$18.79	$17.50	17.0%	6.8%	17.8%	5.3%	23.5%	0.6%	5.4%	770.5K	-9.9M	-43.9K	0.16	89.30	N/A	N/A	251	41	13,611	997
2014-11-07	$18.97	$17.50	19.4%	7.5%	18.0%	8.3%	24.7%	1.6%	2.3%	772.7K	-9.8M	-44.0K	0.19	90.77	N/A	N/A	214	41	13,651	997
2014-11-10	$19.39	$17.50	22.0%	7.1%	18.3%	11.4%	24.9%	5.9%	1.7%	862.8K	-11.8M	-45.7K	0.18	91.56	N/A	N/A	224	41	13,661	997
2014-11-11	$18.98	$17.50	24.9%	6.9%	19.6%	14.9%	23.5%	2.0%	-1.0%	798.4K	-10.1M	-43.6K	0.07	92.11	N/A	N/A	570	42	13,620	989
2014-11-12	$18.78	$17.50	30.8%	7.0%	18.4%	22.0%	26.0%	121.8%	-4.1%	489.5K	-8.0M	-31.6K	0.16	95.37	N/A	N/A	267	42	13,929	998
2014-11-13	$18.92	$17.50	21.1%	7.3%	18.0%	10.3%	25.2%	-0.7%	1.4%	783.8K	-9.5M	-42.8K	0.21	89.57	N/A	N/A	196	42	14,004	998
2014-11-14	$18.69	$17.50	24.1%	6.9%	18.9%	13.9%	25.2%	-5.3%	-5.1%	734.8K	-8.8M	-41.8K	0.06	94.03	N/A	N/A	81	5	13,996	998
2014-11-17	$18.77	$17.50	21.3%	7.4%	17.1%	10.5%	25.8%	1.0%	1.9%	768.0K	-9.0M	-40.1K	0.17	93.02	N/A	N/A	230	39	14,070	1,003
2014-11-18	$18.83	$17.50	20.7%	6.9%	16.9%	9.8%	23.9%	2.4%	1.0%	780.6K	-8.7M	-39.1K	0.03	90.98	N/A	N/A	1,230	39	14,085	1,004
2014-11-19	$19.04	$17.50	19.5%	7.1%	17.0%	8.4%	24.6%	-5.0%	1.9%	895.2K	-9.9M	-41.8K	0.00	93.57	N/A	N/A	1,215	0	14,893	1,005
2014-11-20	$19.06	$17.50	20.2%	7.0%	16.6%	9.2%	23.7%	-7.4%	0.3%	906.5K	-10.3M	-42.9K	0.02	96.44	N/A	N/A	1,926	39	14,815	931
2014-11-21	$19.00	$17.50	18.5%	8.7%	16.7%	7.2%	24.0%	-3.8%	1.5%	952.0K	-11.1M	-44.6K	0.13	100.18	N/A	N/A	454	59	14,988	931
2014-11-24	$19.03	$17.50	18.8%	6.9%	16.7%	7.5%	23.6%	-2.7%	-2.5%	937.1K	-9.9M	-42.2K	0.00	89.84	N/A	N/A	200	0	14,982	682
2014-11-25	$19.06	$17.50	19.1%	9.0%	16.7%	7.9%	24.9%	1.9%	-1.7%	936.9K	-9.8M	-41.3K	0.03	97.13	N/A	N/A	1,564	53	15,182	682
2014-11-26	$19.37	$17.50	20.7%	10.5%	17.5%	9.9%	30.7%	-2.1%	-1.2%	1.1M	-10.9M	-41.4K	0.00	95.44	N/A	N/A	481	0	15,712	682
2014-11-28	$19.45	$17.50	18.3%	7.3%	17.4%	7.0%	25.1%	0.0%	3.0%	1.3M	-12.6M	-46.5K	0.00	99.25	N/A	N/A	89	0	15,905	682