CBL Options History — April 2015

In April 2015, CBL traded between $18.01 and $19.91. ATM implied volatility averaged 32.3%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 12.4% (HV 20d: 19.8%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 2.88.

Notable Days

  • 2015-04-15: Highest Volume — 844 contracts
  • 2015-04-22: Largest IV spike — 212.5% change
  • 2015-04-29: Highest IV Rank — 100.0%
  • 2015-04-29: Largest Expected Move — 31.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.19$18.01$19.91$19.72$18.01
Max Pain$17.62$17.50$20.00$20.00$17.50
ATM IV32.3%19.5%111.3%20.1%25.0%
Expected Move9.3%5.8%31.9%5.8%7.2%
HV 20d19.8%14.4%24.4%24.4%20.7%
HV 60d22.2%21.6%23.1%22.9%23.0%
IV Rank23.9%9.8%100.0%10.4%13.8%
IV Percentile67.2%20.6%100.0%27.8%81.0%
Term Structure-1.6%-16.7%27.8%2.3%-4.0%
VWIV27.2%20.5%44.2%27.3%24.4%
Skew 25d10.2%-11.8%140.1%4.2%1.7%
Skew 10d9.1%-65.9%141.6%-0.1%9.6%
Call IV 25d26.3%18.9%44.9%29.4%24.1%
Put IV 25d36.5%19.1%178.0%33.6%25.8%
Bid-Ask Spread %89.0124.32130.20116.0084.88
Gamma HHI0.800.670.910.840.67
Net GEX200.2K94.2K263.3K250.2K94.2K
Net DEX-1.6M-2.7M-339.2K-2.5M-339.2K
Net VEX-9.6K-12.4K-3.7K-12.4K-6.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.880.367.586.910.54
Total Volume457.1430844680146
Total OI3,822.3333,4374,0874,0183,566

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$19.72$20.0020.1%5.8%24.4%10.4%27.3%4.2%2.3%250.2K-2.5M-12.4K6.91116.00N/AN/A865943,226792
2015-04-02$19.80$17.5019.5%6.1%24.4%9.8%21.3%1.4%0.1%256.9K-2.6M-12.4K6.9146.78N/AN/A865943,230792
2015-04-06$19.91$17.5021.5%6.6%19.5%12.2%23.0%1.6%-0.1%258.9K-2.7M-12.0K7.5858.07N/AN/A765763,230792
2015-04-07$19.65$17.5021.3%7.0%20.0%11.9%24.5%-0.0%-3.7%263.3K-2.3M-11.8K6.9938.72N/AN/A835803,242790
2015-04-08$19.61$17.5022.3%6.4%20.0%13.1%0.0%-1.0%-0.2%259.4K-2.3M-11.5K0.0046.20N/AN/A003,252794
2015-04-09$19.07$17.5024.9%7.1%22.6%16.2%28.4%4.4%-3.5%195.6K-1.7M-11.0K2.2524.58N/AN/A2585803,252794
2015-04-10$19.10$17.5023.6%6.8%22.2%14.7%23.3%5.3%-0.8%194.9K-1.6M-10.8K2.2524.32N/AN/A2585803,289794
2015-04-13$19.13$17.5026.6%7.6%22.2%18.1%25.7%1.7%-4.4%187.5K-1.6M-10.4K2.25103.58N/AN/A2585803,289794
2015-04-14$19.33$17.5025.1%7.2%22.3%16.4%25.2%-11.8%-4.0%232.8K-1.6M-10.0K2.25113.44N/AN/A2585803,289794
2015-04-15$19.20$17.5021.7%6.2%22.3%12.3%24.7%-6.6%-2.8%201.7K-1.6M-10.2K2.21113.44N/AN/A2635813,289794
2015-04-16$19.19$17.5024.8%7.1%20.5%16.0%24.0%5.8%-3.0%209.8K-1.5M-9.8K6.5393.60N/AN/A895813,294788
2015-04-17$19.00$17.5022.3%6.4%20.3%13.0%23.8%2.8%-3.3%173.8K-1.2M-9.4K6.53107.39N/AN/A895813,299788
2015-04-20$18.86$17.5022.1%6.3%17.0%12.8%20.5%10.0%0.7%170.6K-1.1M-8.3K0.78105.84N/AN/A79622,910527
2015-04-21$19.11$17.5022.0%6.3%17.4%12.7%22.0%-0.4%-2.7%195.4K-1.4M-9.0K0.6296.77N/AN/A99612,910531
2015-04-22$19.15$17.5068.7%19.7%17.4%67.9%38.5%5.0%-16.7%184.2K-1.4M-9.1K0.62127.45N/AN/A99612,930534
2015-04-23$19.29$17.5027.7%7.9%17.0%19.5%29.3%-7.3%-7.2%193.5K-1.6M-9.2K0.46109.71N/AN/A134612,930534
2015-04-24$19.30$17.5025.7%7.4%16.1%17.1%26.0%-6.6%-4.9%200.8K-1.7M-9.5K0.4888.34N/AN/A106512,988534
2015-04-27$19.18$17.5027.4%7.8%16.1%19.1%28.3%-6.8%7.4%147.3K-379.0K-3.7K0.51112.33N/AN/A100513,004554
2015-04-28$19.12$17.5074.5%21.4%14.4%74.7%39.6%69.8%-11.0%151.4K-896.7K-6.9K0.52130.20N/AN/A99513,016554
2015-04-29$18.35$17.50111.3%31.9%20.0%100.0%44.2%140.1%27.8%181.4K-1.1M-7.8K0.36127.65N/AN/A95343,006554
2015-04-30$18.01$17.5025.0%7.2%20.7%13.8%24.4%1.7%-4.0%94.2K-339.2K-6.1K0.5484.88N/AN/A95513,012554