CBL Options History — February 2015

In February 2015, CBL traded between $19.86 and $21.35. ATM implied volatility averaged 22.8%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 0.3% (HV 20d: 23.1%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.18.

Notable Days

  • 2015-02-10: Highest Volume — 1,142 contracts
  • 2015-02-10: Largest IV drop — 13.8% change
  • 2015-02-04: Highest IV Rank — 17.7%
  • 2015-02-04: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.47$19.86$21.35$20.50$20.03
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV22.8%19.9%26.2%23.7%20.2%
Expected Move6.4%4.9%7.5%6.8%5.8%
HV 20d23.1%19.6%26.0%19.6%25.2%
HV 60d22.2%20.7%23.3%20.8%23.3%
IV Rank13.7%10.3%17.7%14.8%10.6%
IV Percentile46.4%22.6%68.3%55.6%25.4%
Term Structure0.5%-8.4%10.0%3.6%0.9%
VWIV26.4%19.8%83.3%25.3%20.2%
Skew 25d1.5%-102.8%63.4%2.9%2.8%
Skew 10d9.9%-126.1%126.0%1.7%4.6%
Call IV 25d27.8%17.1%130.0%23.9%19.8%
Put IV 25d29.3%21.0%81.8%26.7%22.6%
Bid-Ask Spread %71.1143.38108.43108.4395.18
Gamma HHI0.930.840.980.910.98
Net GEX1.0M783.2K1.4M866.5K1.4M
Net DEX-11.6M-15.2M-7.9M-11.1M-8.9M
Net VEX-21.6K-26.7K-18.2K-26.7K-18.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.180.000.430.000.19
Total Volume738101,142303704
Total OI10,672.21110,39311,14410,42710,470

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-02-02$20.50$20.0023.7%6.8%19.6%14.8%0.0%2.9%3.6%866.5K-11.1M-26.7K0.00108.43N/AN/A30309,924503
2015-02-03$20.86$20.0025.1%7.2%20.0%16.4%25.3%7.4%-3.5%1.1M-13.3M-22.8K0.11106.35N/AN/A98510910,224503
2015-02-04$21.03$20.0026.2%7.5%20.1%17.7%83.3%-102.8%-8.4%892.4K-13.9M-23.4K0.1175.58N/AN/A98511310,229504
2015-02-05$21.35$20.0024.6%6.6%19.7%15.8%26.8%-4.2%-7.2%783.2K-15.2M-21.1K0.1375.12N/AN/A94712110,229508
2015-02-06$20.39$20.0024.0%4.9%26.0%15.1%24.3%-3.5%10.0%842.8K-12.6M-23.9K0.1285.14N/AN/A1,00912110,233519
2015-02-09$20.35$20.0026.0%6.3%25.4%17.4%25.8%-3.9%2.2%947.7K-11.0M-24.5K0.1268.15N/AN/A1,00912110,213519
2015-02-10$20.35$20.0022.4%6.6%23.1%13.2%19.8%3.2%0.4%938.7K-10.9M-24.3K0.1278.16N/AN/A1,02112110,213519
2015-02-11$20.58$20.0022.8%6.5%23.5%13.6%25.4%-2.0%0.3%914.1K-12.4M-23.3K0.1654.94N/AN/A96015210,223519
2015-02-12$20.64$20.0023.2%6.7%22.8%14.2%25.0%-2.0%0.5%876.0K-12.9M-22.1K0.1651.05N/AN/A96115210,230552
2015-02-13$20.53$20.0023.3%6.7%22.8%14.3%23.5%-0.8%-0.6%920.4K-12.1M-22.8K0.4155.27N/AN/A41917110,230552
2015-02-17$20.35$20.0021.9%6.3%22.4%12.7%22.4%-2.5%0.4%1.1M-11.3M-21.7K0.4044.02N/AN/A42317110,246567
2015-02-18$20.68$20.0022.3%6.4%22.3%13.0%22.1%4.8%0.8%977.8K-13.1M-19.6K0.4351.14N/AN/A40017110,251567
2015-02-19$20.17$20.0022.4%6.4%23.9%13.3%0.0%1.6%0.1%1.1M-10.0M-21.2K0.0052.17N/AN/A035210,233567
2015-02-20$20.26$20.0021.5%6.2%23.8%12.1%21.5%51.7%0.8%1.1M-10.7M-20.3K0.0052.15N/AN/A01010,233911
2015-02-23$20.49$20.0021.5%6.2%23.9%12.2%21.4%6.8%1.9%1.1M-12.0M-18.2K0.1458.60N/AN/A391549,998395
2015-02-24$20.17$20.0021.0%6.0%24.4%11.5%21.4%3.6%3.0%1.2M-10.0M-19.1K0.14108.18N/AN/A3915410,008385
2015-02-25$20.25$20.0019.9%5.7%24.4%10.3%19.8%63.4%4.2%1.3M-10.5M-18.4K0.1988.12N/AN/A3666910,008385
2015-02-26$19.86$20.0020.9%6.0%25.2%11.5%21.0%2.0%-0.7%1.3M-7.9M-18.2K0.2043.38N/AN/A57411210,007395
2015-02-27$20.03$20.0020.2%5.8%25.2%10.6%20.2%2.8%0.9%1.4M-8.9M-18.3K0.1995.18N/AN/A59211210,027443