CBL Options History — January 2015

In January 2015, CBL traded between $19.74 and $21.09. ATM implied volatility averaged 24.1%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 0.6% (HV 20d: 23.4%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.27.

Notable Days

  • 2015-01-02: Highest Volume — 1,879 contracts
  • 2015-01-12: Largest IV spike — 59.1% change
  • 2015-01-13: Highest IV Rank — 32.5%
  • 2015-01-30: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.51$19.74$21.09$19.74$20.62
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV24.1%18.5%38.8%20.3%25.7%
Expected Move6.7%5.5%7.4%6.6%7.4%
HV 20d23.4%20.1%26.3%25.1%20.1%
HV 60d20.4%20.1%20.7%20.1%20.7%
IV Rank15.2%8.6%32.5%10.7%17.1%
IV Percentile49.6%11.5%94.8%24.2%65.9%
Term Structure2.1%-1.9%7.7%2.9%-0.1%
VWIV23.4%20.8%24.9%23.2%23.9%
Skew 25d10.4%-2.7%46.9%-1.7%6.3%
Skew 10d37.2%-3.8%100.7%-3.8%17.8%
Call IV 25d20.7%15.7%27.7%21.9%20.5%
Put IV 25d31.1%20.2%62.5%20.2%26.8%
Bid-Ask Spread %98.6145.49130.6670.84130.66
Gamma HHI0.890.840.960.960.87
Net GEX681.4K359.1K817.5K633.0K740.0K
Net DEX-11.6M-14.3M-8.5M-8.5M-12.4M
Net VEX-30.9K-35.6K-26.7K-35.6K-26.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.270.001.330.070.13
Total Volume824.901,8791,8791,017
Total OI10,603.6510,26111,19210,45210,419

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$19.74$20.0020.3%6.6%25.1%10.7%23.2%-1.7%2.9%633.0K-8.5M-35.6K0.0770.84N/AN/A1,7511289,901551
2015-01-05$20.01$20.0022.3%7.0%25.0%13.1%24.2%2.4%7.7%654.6K-8.6M-33.7K0.1171.82N/AN/A1,4571649,960596
2015-01-06$20.03$20.0022.4%6.6%23.2%13.2%23.2%2.1%0.3%656.6K-9.7M-34.6K0.1045.49N/AN/A472469,649699
2015-01-07$20.42$20.0018.5%6.8%24.0%8.6%23.9%5.5%0.4%638.2K-11.3M-33.6K0.0066.27N/AN/A65319,516745
2015-01-08$20.27$20.0021.9%6.9%24.2%12.6%24.6%3.4%0.5%585.3K-10.3M-34.8K0.2649.25N/AN/A79420810,030745
2015-01-09$19.99$20.0022.1%6.8%24.6%12.8%23.5%4.2%6.8%359.1K-9.3M-34.7K0.26100.36N/AN/A79420810,014745
2015-01-12$20.58$20.0035.1%7.1%26.3%28.2%24.8%46.9%-0.9%718.5K-11.6M-32.8K0.3198.77N/AN/A87626810,014745
2015-01-13$20.59$20.0038.8%6.8%26.1%32.5%23.3%0.8%3.0%555.3K-11.5M-33.3K0.3046.22N/AN/A89026810,239945
2015-01-14$20.93$20.0019.4%5.5%24.9%9.6%20.8%-2.7%7.3%725.4K-13.4M-30.2K0.34122.33N/AN/A87229410,247945
2015-01-15$20.83$20.0024.1%6.9%24.4%15.3%24.4%0.2%0.8%649.9K-13.6M-30.9K0.34100.60N/AN/A87229610,212921
2015-01-16$21.09$20.0021.0%6.0%21.8%11.5%0.0%0.8%6.3%714.8K-14.3M-28.7K0.0098.55N/AN/A0810,217921
2015-01-20$20.70$20.0023.2%6.6%23.2%14.1%23.3%13.9%-0.1%674.8K-12.9M-29.0K1.33125.71N/AN/A55739,874424
2015-01-21$20.53$20.0025.0%7.2%23.5%16.3%0.0%5.7%-0.6%722.1K-12.0M-29.9K0.00103.42N/AN/A009,879497
2015-01-22$20.68$20.0022.9%6.6%23.2%13.8%22.6%28.5%0.7%774.0K-11.9M-29.3K0.13108.40N/AN/A8921199,879497
2015-01-23$20.47$20.0024.6%7.0%23.6%15.7%23.1%31.2%2.2%693.3K-11.9M-29.2K0.14127.78N/AN/A8751199,883497
2015-01-26$20.59$20.0022.9%6.6%23.3%13.8%0.0%3.1%-1.9%799.0K-11.9M-28.4K0.00122.82N/AN/A009,914497
2015-01-27$20.64$20.0024.2%6.9%21.6%15.3%24.9%27.3%0.5%771.5K-12.0M-28.2K0.50125.52N/AN/A429,914497
2015-01-28$20.71$20.0025.3%7.2%20.5%16.6%23.7%21.6%0.4%744.5K-12.5M-27.9K0.13130.55N/AN/A8831189,910495
2015-01-29$20.88$20.0022.0%6.3%20.6%12.8%21.0%8.3%5.4%817.5K-13.0M-26.7K0.13126.86N/AN/A9031189,945495
2015-01-30$20.62$20.0025.7%7.4%20.1%17.1%23.9%6.3%-0.1%740.0K-12.4M-26.9K0.13130.66N/AN/A9031149,924495