CBL Options History — July 2015

In July 2015, CBL traded between $15.89 and $16.56. ATM implied volatility averaged 35.3%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 18.1% (HV 20d: 17.3%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.27.

Notable Days

  • 2015-07-02: Highest Volume — 964 contracts
  • 2015-07-16: Largest IV spike — 204.2% change
  • 2015-07-24: Highest IV Rank — 69.0%
  • 2015-07-24: Largest Expected Move — 23.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.24$15.89$16.56$16.20$16.32
Max Pain$15.23$15.00$17.50$17.50$15.00
ATM IV35.3%20.5%80.2%22.7%22.2%
Expected Move8.7%5.9%23.0%6.5%6.4%
HV 20d17.3%13.5%21.0%20.1%15.2%
HV 60d19.7%17.9%20.4%20.4%18.0%
IV Rank24.1%9.3%69.0%11.4%11.0%
IV Percentile83.6%32.1%99.2%60.3%50.8%
Term Structure-8.8%-101.2%4.2%-5.6%1.9%
VWIV30.4%18.3%132.4%132.4%18.3%
Skew 25d16.6%-8.3%99.8%5.1%2.1%
Skew 10d30.4%-2.7%129.1%-2.7%0.6%
Call IV 25d23.8%16.3%41.7%33.8%17.3%
Put IV 25d40.4%19.2%120.2%38.9%19.4%
Bid-Ask Spread %81.1030.52135.7373.4592.71
Gamma HHI0.670.620.720.640.70
Net GEX145.8K117.7K173.6K132.6K153.5K
Net DEX-1.3M-1.5M-915.8K-1.1M-1.1M
Net VEX-11.1K-12.1K-9.7K-11.4K-9.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.270.050.620.050.56
Total Volume693.227467964682873
Total OI4,936.4094,5915,3314,5915,331

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$16.20$17.5022.7%6.5%20.1%11.4%132.4%5.1%-5.6%132.6K-1.1M-11.4K0.0573.45N/AN/A649333,952639
2015-07-02$16.18$17.5030.8%8.8%20.1%19.5%31.1%-1.5%-19.9%143.3K-1.3M-11.4K0.0581.57N/AN/A914503,954639
2015-07-06$16.18$15.0033.7%7.9%19.6%22.5%25.7%2.9%-8.0%133.3K-1.2M-11.3K0.0543.44N/AN/A914504,048653
2015-07-07$16.48$15.0031.3%6.0%21.0%20.0%22.7%0.9%1.0%143.5K-1.4M-12.1K0.0738.96N/AN/A698504,048653
2015-07-08$16.26$15.0027.1%6.2%20.7%15.8%23.1%2.5%-2.1%146.5K-1.3M-11.6K0.1230.52N/AN/A434504,058653
2015-07-09$16.20$15.0040.3%7.4%19.3%29.1%24.8%3.8%-3.0%145.8K-1.4M-11.8K0.1132.20N/AN/A444504,122652
2015-07-10$16.38$15.0045.5%6.1%19.7%34.3%24.4%3.6%-1.8%144.6K-1.4M-12.1K0.1235.63N/AN/A423504,157652
2015-07-13$16.44$15.0053.2%6.3%19.6%41.9%24.7%4.4%-3.4%157.2K-1.5M-11.8K0.1235.00N/AN/A423504,162652
2015-07-14$16.46$15.0042.1%6.8%19.7%30.9%24.8%94.5%-4.9%160.2K-1.5M-11.7K0.12110.93N/AN/A420504,162652
2015-07-15$16.41$15.0020.5%5.9%19.6%9.3%19.1%6.7%2.8%157.2K-1.4M-11.1K0.12104.72N/AN/A420504,165648
2015-07-16$16.56$15.0062.5%17.9%19.8%51.2%36.4%52.1%-16.7%173.6K-1.4M-10.8K0.11121.38N/AN/A422454,165648
2015-07-17$16.35$15.0025.3%7.3%17.0%14.1%19.3%99.8%-0.1%170.6K-1.4M-11.0K0.21128.42N/AN/A5421154,170646
2015-07-20$16.32$15.0031.8%9.1%14.5%20.6%26.7%-8.3%-5.0%156.6K-1.5M-11.4K0.2172.55N/AN/A5411144,318707
2015-07-21$16.30$15.0024.3%7.0%14.3%13.0%18.9%1.3%3.3%148.9K-1.3M-10.8K0.2177.24N/AN/A5411144,318707
2015-07-22$16.20$15.0041.3%11.9%13.5%30.1%20.6%34.3%-12.8%155.2K-1.4M-11.2K0.21128.00N/AN/A5411154,318707
2015-07-23$15.89$15.0027.0%7.7%14.9%15.8%21.9%8.7%-7.4%137.7K-1.1M-10.4K0.55127.67N/AN/A5412984,318708
2015-07-24$15.95$15.0080.2%23.0%14.7%69.0%56.5%-6.5%-101.2%117.7K-915.8K-10.3K0.55135.73N/AN/A5412984,318908
2015-07-27$15.91$15.0029.7%8.5%14.3%18.4%23.2%8.1%-3.1%136.6K-1.2M-10.9K0.6135.61N/AN/A4902984,318908
2015-07-28$15.99$15.0028.6%8.2%13.9%17.3%19.8%13.2%4.2%127.0K-1.0M-10.7K0.61115.64N/AN/A4922984,314908
2015-07-29$16.15$15.0035.0%10.0%14.1%23.8%33.4%27.8%-14.2%132.3K-1.2M-10.4K0.62124.65N/AN/A5603454,306908
2015-07-30$16.07$15.0022.5%6.4%14.1%11.2%21.2%9.8%1.6%132.8K-987.2K-10.0K0.6238.12N/AN/A5603454,376955
2015-07-31$16.32$15.0022.2%6.4%15.2%11.0%18.3%2.1%1.9%153.5K-1.1M-9.7K0.5692.71N/AN/A5603134,376955