CBL Options History — June 2015

In June 2015, CBL traded between $16.04 and $17.76. ATM implied volatility averaged 23.6%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 4.8% (HV 20d: 18.8%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.50.

Notable Days

  • 2015-06-23: Highest Volume — 3,080 contracts
  • 2015-06-17: Largest IV spike — 132.1% change
  • 2015-06-17: Highest IV Rank — 33.7%
  • 2015-06-17: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.98$16.04$17.76$17.76$16.16
Max Pain$17.84$17.50$20.00$20.00$17.50
ATM IV23.6%18.5%44.9%23.7%24.8%
Expected Move6.6%5.3%12.9%6.8%7.1%
HV 20d18.8%15.3%21.3%21.1%20.0%
HV 60d20.6%19.4%22.0%22.0%20.4%
IV Rank12.4%7.3%33.7%12.5%13.6%
IV Percentile56.1%11.1%96.8%72.6%80.6%
Term Structure-1.9%-25.3%6.0%-0.9%-11.6%
VWIV23.3%18.5%44.9%25.0%34.1%
Skew 25d18.9%-4.6%115.2%9.4%3.2%
Skew 10d25.2%-5.8%149.3%21.3%-0.1%
Call IV 25d22.1%16.2%31.1%24.4%22.4%
Put IV 25d40.9%16.8%138.5%33.7%25.6%
Bid-Ask Spread %84.0913.87128.4690.4628.16
Gamma HHI0.750.530.930.530.62
Net GEX-4.9K-126.1K140.7K-30.8K123.1K
Net DEX383.3K-1.3M1.1M605.4K-1.1M
Net VEX-5.5K-12.1K-3.1K-4.3K-11.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.001.151.150.05
Total Volume911.18263,080674691
Total OI4,247.8641,4344,5914,2354,591

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$17.76$20.0023.7%6.8%21.1%12.5%25.0%9.4%-0.9%-30.8K605.4K-4.3K1.1590.46N/AN/A3133613,287948
2015-06-02$17.71$20.0022.4%6.4%21.0%11.2%0.0%1.8%-1.2%-48.8K657.6K-4.1K0.0097.35N/AN/A603,293948
2015-06-03$17.54$20.0022.4%6.4%19.1%11.2%22.5%1.8%-3.1%-51.7K659.1K-4.0K0.8788.47N/AN/A4163613,293948
2015-06-04$17.44$17.5022.9%6.3%18.6%11.7%21.9%-0.5%-0.2%-61.4K782.4K-3.9K0.8815.45N/AN/A4163653,423948
2015-06-05$17.16$17.5023.5%6.3%18.9%12.3%22.1%-3.1%-0.5%-60.8K926.4K-3.6K0.8820.83N/AN/A4163653,423948
2015-06-08$17.11$17.5025.5%6.3%16.2%14.2%22.1%-3.0%-0.0%-61.4K955.0K-3.4K0.8215.43N/AN/A4533733,423948
2015-06-09$16.83$17.5024.2%5.5%16.7%12.9%19.2%85.8%1.5%-50.3K1.0M-3.3K0.79118.05N/AN/A4603633,483971
2015-06-10$17.14$17.5024.0%6.9%18.3%12.7%24.0%5.6%-2.8%-53.2K957.4K-3.5K0.83123.44N/AN/A4393633,500971
2015-06-11$17.24$17.5021.4%6.1%18.4%10.2%21.4%82.9%0.2%-66.6K899.0K-3.8K0.83119.25N/AN/A4393633,503971
2015-06-12$17.07$17.5020.9%6.0%15.7%9.7%20.9%-2.1%0.7%-63.9K941.6K-3.6K0.8398.67N/AN/A4393633,503971
2015-06-15$17.02$17.5021.3%6.1%15.3%10.1%21.3%115.2%0.2%-54.3K1.0M-3.3K0.83115.93N/AN/A4363633,503971
2015-06-16$16.94$17.5019.4%5.6%15.3%8.1%19.4%-4.5%0.6%-51.1K1.1M-3.3K0.83122.60N/AN/A4393633,505971
2015-06-17$17.05$17.5044.9%12.9%15.7%33.7%44.9%27.7%-6.4%-55.1K1.0M-3.1K0.73126.17N/AN/A4953633,510971
2015-06-18$17.52$17.5018.9%5.4%19.0%7.6%18.9%0.5%2.8%-126.1K740.0K-3.6K0.19119.52N/AN/A438853,571971
2015-06-19$17.05$17.5018.8%5.4%21.0%7.6%18.8%-4.0%0.7%-12.3K1.1M-3.5K0.15125.17N/AN/A438653,5851,001
2015-06-22$16.90$17.5024.1%6.9%20.9%12.9%24.1%-4.6%2.3%-15.7K588.0K-3.2K0.02128.46N/AN/A2,86854805629
2015-06-23$16.64$17.5022.7%6.5%21.3%11.5%22.7%110.1%6.0%113.8K-466.4K-9.1K0.01124.51N/AN/A3,039413,153616
2015-06-24$16.58$17.5018.5%5.3%21.0%7.3%18.5%-2.1%3.1%124.6K-618.6K-9.5K0.0885.81N/AN/A676553,334619
2015-06-25$16.41$17.5020.2%5.8%21.1%8.9%20.2%-1.1%0.6%119.3K-861.0K-10.5K0.0513.87N/AN/A653333,644634
2015-06-26$16.23$17.5022.6%6.5%19.8%11.4%22.4%1.1%-9.3%134.5K-1.2M-11.6K0.0521.80N/AN/A653333,944639
2015-06-29$16.04$17.5031.7%9.1%19.5%20.5%24.4%-4.6%-25.3%140.7K-1.3M-12.1K0.0550.54N/AN/A658333,944639
2015-06-30$16.16$17.5024.8%7.1%20.0%13.6%34.1%3.2%-11.6%123.1K-1.1M-11.3K0.0528.16N/AN/A658333,952639