CBL Options History — December 2014

In December 2014, CBL traded between $18.63 and $19.89. ATM implied volatility averaged 20.1%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 0.0% (HV 20d: 20.1%). 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 20 of 22 days. Put/call ratio averaged 0.37.

Notable Days

  • 2014-12-30: Highest Volume — 2,167 contracts
  • 2014-12-18: Largest IV spike — 62.1% change
  • 2014-12-16: Highest IV Rank — 19.9%
  • 2014-12-01: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.41$18.63$19.89$19.26$19.42
Max Pain$18.21$17.50$20.00$17.50$20.00
ATM IV20.1%11.2%29.1%23.1%17.9%
Expected Move7.4%6.5%10.3%10.3%6.5%
HV 20d20.1%16.2%24.6%17.0%24.5%
HV 60d20.0%18.3%22.0%21.2%20.6%
IV Rank9.7%0.0%19.9%12.8%7.9%
IV Percentile22.8%0.0%77.8%40.9%9.5%
Term Structure3.6%-1.9%8.1%-1.9%2.4%
VWIV25.7%22.7%30.6%27.6%22.7%
Skew 25d15.3%-4.7%107.3%-0.5%10.1%
Skew 10d18.4%-11.2%134.2%-2.4%10.9%
Call IV 25d22.6%18.4%29.4%24.1%22.3%
Put IV 25d37.8%17.9%129.0%23.6%32.4%
Bid-Ask Spread %97.6144.01119.69109.3544.01
Gamma HHI0.970.850.990.960.96
Net GEX1.1M626.1K1.5M1.1M632.8K
Net DEX-11.0M-14.9M-7.8M-10.6M-7.8M
Net VEX-41.9K-47.7K-35.2K-40.3K-35.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.001.180.091.18
Total Volume837.1361892,167631203
Total OI15,547.54510,32618,48716,64910,326

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$19.26$17.5023.1%10.3%17.0%12.8%27.6%-0.5%-1.9%1.1M-10.6M-40.3K0.09109.35N/AN/A5785315,967682
2014-12-02$19.54$17.5021.1%7.3%17.7%10.3%24.8%-1.1%0.3%1.3M-13.1M-45.6K0.6597.46N/AN/A36023316,152682
2014-12-03$19.43$17.5017.5%6.9%17.9%6.0%24.1%-0.9%1.6%1.3M-12.8M-45.9K0.2093.84N/AN/A1,22724816,192872
2014-12-04$19.73$17.5021.7%7.0%18.6%11.0%24.5%-4.7%0.0%1.4M-14.9M-47.7K0.71101.44N/AN/A14010016,227882
2014-12-05$19.25$17.5018.7%6.9%19.7%7.4%24.3%2.5%3.1%1.3M-11.8M-45.0K0.69102.01N/AN/A45831616,324977
2014-12-08$19.35$17.5022.8%7.3%19.6%12.4%25.4%4.8%4.1%1.2M-11.5M-43.2K0.6991.82N/AN/A45831616,494977
2014-12-09$19.33$17.5020.1%7.5%17.9%9.1%26.0%5.3%5.1%1.3M-12.2M-44.1K0.6590.21N/AN/A48631616,494977
2014-12-10$19.17$17.5023.7%7.6%16.4%13.4%26.6%6.0%8.1%1.2M-11.7M-42.5K0.72103.52N/AN/A44031616,608977
2014-12-11$19.35$17.5019.7%7.7%16.2%8.6%26.7%0.5%4.7%1.2M-12.1M-43.4K0.55102.80N/AN/A57231416,708977
2014-12-12$19.25$17.5022.7%7.8%16.2%12.2%26.9%3.8%3.6%1.2M-12.6M-43.9K0.2899.52N/AN/A47413416,746980
2014-12-15$18.86$17.5021.9%7.6%17.3%11.3%26.6%1.4%2.4%1.0M-11.2M-39.9K0.16110.40N/AN/A82913416,735970
2014-12-16$18.63$17.5029.1%7.9%17.8%19.9%27.7%0.8%-0.8%796.0K-8.7M-36.5K0.26100.64N/AN/A51713417,069970
2014-12-17$19.31$17.5011.2%8.3%21.9%0.0%30.6%105.1%7.6%1.2M-12.1M-41.0K0.37113.32N/AN/A36713417,269970
2014-12-18$19.49$17.5018.2%7.8%21.8%8.2%28.1%90.9%7.0%1.5M-12.8M-42.2K0.25106.53N/AN/A53413417,319960
2014-12-19$19.48$17.5019.8%7.6%21.8%10.2%26.4%2.4%4.1%1.5M-12.9M-42.7K0.00109.41N/AN/A189017,527960
2014-12-22$19.74$0.0020.5%7.6%22.2%10.9%26.6%-4.3%4.2%628.0K-8.6M-40.7K0.04119.69N/AN/A1,9838310,866483
2014-12-23$19.89$20.0018.3%7.1%22.3%8.3%24.6%-1.1%6.0%693.0K-9.2M-41.6K0.13100.73N/AN/A6408310,926483
2014-12-24$19.72$20.0019.0%7.1%22.6%9.2%24.6%-2.0%5.2%694.1K-8.7M-39.9K0.15104.70N/AN/A5187810,638483
2014-12-26$19.30$20.0017.1%6.9%23.4%6.9%24.0%1.4%5.2%626.1K-8.4M-40.3K0.35103.97N/AN/A2257810,836488
2014-12-29$19.72$20.0018.1%6.5%24.6%8.2%22.8%107.3%3.7%668.8K-9.0M-39.6K0.0470.58N/AN/A1,7707810,844488
2014-12-30$19.75$20.0019.8%6.5%24.3%10.2%22.8%8.2%2.9%736.5K-9.9M-40.7K0.0271.32N/AN/A2,1274011,053488
2014-12-31$19.42$20.0017.9%6.5%24.5%7.9%22.7%10.1%2.4%632.8K-7.8M-35.2K1.1844.01N/AN/A931109,818508