CBL Options History — March 2015

In March 2015, CBL traded between $18.80 and $20.16. ATM implied volatility averaged 21.3%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 2.2% (HV 20d: 23.6%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.08.

Notable Days

  • 2015-03-23: Highest Volume — 2,351 contracts
  • 2015-03-10: Largest IV spike — 83.7% change
  • 2015-03-10: Highest IV Rank — 30.4%
  • 2015-03-18: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.52$18.80$20.16$20.10$19.82
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV21.3%18.3%37.0%21.0%19.8%
Expected Move5.8%5.3%6.8%6.0%5.7%
HV 20d23.6%21.7%26.3%25.0%24.9%
HV 60d23.3%22.4%24.0%23.1%23.0%
IV Rank11.9%8.4%30.4%11.5%10.1%
IV Percentile33.2%11.5%96.4%32.5%23.4%
Term Structure1.0%-3.4%3.4%-0.4%2.5%
VWIV21.0%18.4%27.0%21.0%19.8%
Skew 25d6.3%-8.4%37.6%3.3%37.6%
Skew 10d6.2%-38.7%50.7%5.6%49.8%
Call IV 25d24.0%19.5%42.4%20.7%30.2%
Put IV 25d30.3%16.8%67.8%24.0%67.8%
Bid-Ask Spread %88.8331.11136.73102.79130.26
Gamma HHI0.890.430.990.980.84
Net GEX956.7K24.9K4.0M1.4M256.7K
Net DEX-3.4M-9.5M-135.2K-9.5M-2.6M
Net VEX-10.9K-17.2K-3.6K-17.2K-12.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.007.520.187.52
Total Volume424.81852,351724673
Total OI8,715.3181,43011,58210,5074,018

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$20.10$20.0021.0%6.0%25.0%11.5%21.0%3.3%-0.4%1.4M-9.5M-17.2K0.18102.79N/AN/A61211210,064443
2015-03-03$20.04$20.0022.4%6.4%25.0%13.2%22.4%0.4%0.1%1.4M-8.9M-16.9K0.22105.48N/AN/A51611210,064443
2015-03-04$19.73$20.0021.7%6.2%24.5%12.4%21.8%1.0%-0.7%1.4M-6.7M-15.9K0.2041.95N/AN/A56311210,059443
2015-03-05$19.76$20.0021.8%5.9%24.2%12.4%20.5%-1.6%1.3%1.5M-6.9M-15.6K0.2170.95N/AN/A52611210,147443
2015-03-06$19.00$20.0023.5%5.4%26.3%14.5%18.6%3.2%2.4%977.2K-3.7M-11.6K0.8532.60N/AN/A61952810,158443
2015-03-09$18.86$20.0020.1%5.6%21.7%10.5%27.0%7.3%3.0%566.4K-1.1M-7.6K4.2583.51N/AN/A6125910,298845
2015-03-10$18.84$20.0037.0%6.1%21.7%30.4%0.0%3.6%-0.5%852.9K-4.1M-13.4K0.0047.30N/AN/A23010,3431,083
2015-03-11$18.80$20.0021.2%6.1%21.7%11.8%0.0%1.4%-1.6%745.2K-2.5M-10.7K0.0044.82N/AN/A11010,3511,083
2015-03-12$19.04$20.0021.6%6.2%21.8%12.3%24.1%2.0%-1.6%740.5K-2.2M-9.9K0.0031.11N/AN/A40010,3511,083
2015-03-13$19.11$20.0019.8%5.7%21.8%10.1%0.0%5.9%1.1%877.5K-2.4M-9.6K0.0042.31N/AN/A8010,3821,083
2015-03-16$19.28$20.0020.0%5.7%22.3%10.4%0.0%-6.3%0.5%1.1M-3.3M-9.0K0.00102.69N/AN/A7010,3781,083
2015-03-17$19.18$20.0020.0%5.7%22.2%10.4%0.0%-8.4%0.4%1.0M-2.7M-7.5K0.00126.97N/AN/A5010,3741,083
2015-03-18$19.64$20.0023.7%6.8%23.2%14.8%24.8%16.5%-3.4%1.9M-4.6M-7.6K0.0091.79N/AN/A120010,3791,083
2015-03-19$19.39$20.0019.9%5.7%22.0%10.2%0.0%-4.6%-0.7%1.3M-2.8M-5.9K0.00136.73N/AN/A21010,4841,083
2015-03-20$19.96$20.0018.9%5.4%24.5%9.1%18.9%29.8%2.9%4.0M-135.2K-3.6K0.16133.09N/AN/A32510,4991,083
2015-03-23$20.16$20.0020.2%5.8%24.5%10.7%20.2%-4.1%1.9%24.9K-246.0K-3.7K0.00117.72N/AN/A2,3510652778
2015-03-24$20.09$20.0019.9%5.7%23.8%10.2%19.9%-2.0%2.5%195.4K-2.4M-12.3K0.0091.40N/AN/A1502,869778
2015-03-25$19.78$20.0018.3%5.3%24.4%8.4%18.4%0.6%3.1%194.2K-1.9M-11.7K0.00102.87N/AN/A35502,842778
2015-03-26$19.46$20.0019.1%5.5%24.1%9.3%19.2%0.5%3.4%211.1K-2.1M-12.5K2.3566.28N/AN/A2545983,165778
2015-03-27$19.53$20.0019.9%5.7%23.9%10.2%19.8%17.7%3.0%217.8K-2.1M-12.3K0.28127.88N/AN/A1853,172787
2015-03-30$19.90$20.0019.4%5.6%24.9%9.7%19.4%35.6%3.3%245.9K-2.6M-12.5K7.52123.77N/AN/A795943,190792
2015-03-31$19.82$20.0019.8%5.7%24.9%10.1%19.8%37.6%2.5%256.7K-2.6M-12.6K7.52130.26N/AN/A795943,226792