CBL Options History — May 2015

In May 2015, CBL traded between $17.40 and $18.32. ATM implied volatility averaged 23.8%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 0.5% (HV 20d: 23.3%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.37.

Notable Days

  • 2015-05-29: Highest Volume — 679 contracts
  • 2015-05-11: Largest IV spike — 63.6% change
  • 2015-05-11: Highest IV Rank — 25.7%
  • 2015-05-19: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.99$17.40$18.32$18.18$17.64
Max Pain$19.88$17.50$20.00$17.50$20.00
ATM IV23.8%20.2%37.0%21.7%22.0%
Expected Move6.3%5.8%6.8%6.2%6.3%
HV 20d23.3%20.3%25.4%21.1%21.2%
HV 60d22.1%21.5%23.1%23.1%22.0%
IV Rank12.6%8.9%25.7%10.4%10.7%
IV Percentile59.5%29.0%95.2%45.2%50.4%
Term Structure1.6%-2.0%7.2%5.0%-0.2%
VWIV22.8%20.4%24.5%20.4%22.0%
Skew 25d4.5%-3.9%29.0%-0.2%-1.1%
Skew 10d10.7%-1.7%120.1%-1.3%-1.6%
Call IV 25d19.6%13.7%26.6%23.4%23.1%
Put IV 25d24.1%20.9%44.8%23.2%22.0%
Bid-Ask Spread %66.6122.74114.7052.32104.39
Gamma HHI0.590.490.710.710.52
Net GEX58.2K-25.7K113.3K113.3K-25.7K
Net DEX-49.4K-599.7K372.1K-599.7K372.1K
Net VEX-4.4K-7.0K-2.8K-7.0K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.001.200.541.20
Total Volume179.354679146679
Total OI3,664.83,5803,9273,5863,927

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$18.18$17.5021.7%6.2%21.1%10.4%20.4%-0.2%5.0%113.3K-599.7K-7.0K0.5452.32N/AN/A95513,012574
2015-05-04$18.10$20.0026.5%6.5%20.7%15.2%20.6%5.6%-0.4%83.8K-229.5K-5.6K0.13103.01N/AN/A1523,006574
2015-05-05$17.63$20.0025.3%6.5%21.9%14.0%24.0%2.1%-0.0%42.0K102.1K-4.5K0.3669.60N/AN/A86313,004576
2015-05-06$17.40$20.0022.5%6.5%22.1%11.3%22.6%0.8%-2.0%19.7K289.5K-3.7K0.4549.34N/AN/A86393,004586
2015-05-07$17.62$20.0025.9%6.3%21.4%14.6%22.9%3.9%0.6%33.1K179.5K-3.8K0.4066.67N/AN/A97393,004594
2015-05-08$18.06$20.0022.6%6.6%23.6%11.4%0.0%6.2%-0.7%74.5K-145.3K-5.0K0.0061.39N/AN/A1503,015594
2015-05-11$17.87$20.0037.0%6.4%23.7%25.7%0.0%3.2%-0.1%47.7K41.8K-4.3K0.0075.81N/AN/A903,030594
2015-05-12$17.88$20.0033.4%6.5%23.2%22.2%24.5%4.4%1.8%49.5K44.6K-4.3K0.3983.85N/AN/A100393,035594
2015-05-13$17.75$20.0022.3%6.4%23.2%11.1%22.1%2.4%-0.2%33.7K140.4K-3.7K0.3983.79N/AN/A98383,035594
2015-05-14$18.20$20.0023.1%6.6%25.4%11.9%22.8%29.0%-0.8%80.3K-201.3K-4.8K0.4848.44N/AN/A103493,048597
2015-05-15$18.32$20.0020.2%5.8%25.4%8.9%21.3%9.3%5.6%98.0K-329.0K-5.2K0.4550.69N/AN/A108493,053597
2015-05-18$18.28$20.0020.4%5.8%25.4%9.1%23.0%8.8%7.2%97.8K-269.2K-4.8K0.0089.57N/AN/A042,993596
2015-05-19$18.15$20.0023.8%6.8%24.8%12.5%24.3%8.6%0.5%95.4K-257.4K-4.7K0.0029.00N/AN/A0252,993597
2015-05-20$18.16$20.0021.2%6.1%24.8%9.9%24.0%0.9%5.0%92.8K-248.9K-4.9K0.5078.86N/AN/A94472,993617
2015-05-21$18.05$20.0022.7%6.5%24.5%11.4%23.4%-3.1%-0.0%47.6K37.9K-3.8K0.2242.95N/AN/A210472,991619
2015-05-22$18.15$20.0021.6%6.2%24.7%10.4%22.7%-3.9%1.2%54.2K-4.8K-3.8K0.3422.74N/AN/A137473,088619
2015-05-26$18.09$20.0022.2%6.4%24.7%11.0%22.7%3.5%0.3%31.3K93.2K-3.4K0.2354.79N/AN/A307713,087619
2015-05-27$18.18$20.0020.2%5.8%24.8%8.9%22.4%5.1%5.1%28.7K64.5K-3.7K0.2550.38N/AN/A308773,276634
2015-05-28$18.10$20.0022.4%6.4%20.3%11.1%24.1%4.4%3.9%67.4K-68.8K-4.1K0.25114.70N/AN/A308773,287640
2015-05-29$17.64$20.0022.0%6.3%21.2%10.7%22.0%-1.1%-0.2%-25.7K372.1K-2.8K1.20104.39N/AN/A3083713,287640