CBU Options History — December 2008 In December 2008, CBU traded between $20.71 and $24.39. ATM implied volatility averaged 65.5%. The 30-day expected move averaged 18.8%. IV traded below realized volatility by 24.2% (HV 20d: 89.8%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2008-12-17 : Highest Volume — 480 contracts2008-12-09 : Largest IV spike — 29.6% change2008-12-01 : Largest Expected Move — 23.3%Monthly Statistics Metric Avg Min Max Open Close Price $22.75 $20.71 $24.39 $20.71 $24.39 Max Pain $25.00 $25.00 $25.00 $25.00 $25.00 ATM IV 65.5% 55.9% 87.3% 81.3% 64.3% Expected Move 18.8% 17.1% 23.3% 23.3% 18.4% HV 20d 89.8% 54.7% 107.0% 103.5% 54.7% Term Structure 1.8% -1.8% 6.9% 2.1% -1.7% VWIV 60.5% 55.5% 66.2% 64.5% 55.5% Bid-Ask Spread % 68.89 26.90 111.38 111.38 97.39 Gamma HHI 0.67 0.43 0.97 0.50 0.76 Net GEX 10.6K 254 37.8K 341 254 Net DEX -139.5K -441.3K -6.4K -17.1K -6.4K Net VEX -538 -1.5K -33 -105 -33 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 25.455 0 480 0 0 Total OI 221.455 9 565 20 9
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2008-12-01 $20.71 $0.00 81.3% 23.3% 103.5% 0.0% 0.0% 0.0% 2.1% 341 -17.1K -105 0.00 111.38 0 0 20 0 2008-12-02 $22.55 $0.00 60.3% 17.3% 107.0% 0.0% 0.0% 0.0% 2.8% 375 -16.4K -108 0.00 98.50 0 0 20 0 2008-12-03 $22.92 $0.00 59.8% 17.1% 104.0% 0.0% 0.0% 0.0% -0.3% 392 -18.5K -114 0.00 82.85 0 0 20 0 2008-12-04 $22.60 $0.00 63.1% 18.1% 100.9% 0.0% 0.0% 0.0% 6.0% 385 -19.4K -116 0.00 100.13 0 0 20 0 2008-12-05 $23.67 $0.00 55.9% 19.1% 99.8% 0.0% 0.0% 0.0% 3.1% 414 -19.2K -116 0.00 76.54 0 0 20 0 2008-12-08 $23.49 $0.00 67.4% 19.4% 97.2% 0.0% 64.5% 0.0% 0.7% 413 -20.5K -116 0.00 26.90 1 0 20 0 2008-12-09 $22.39 $25.00 87.3% 20.3% 96.7% 0.0% 0.0% 0.0% 4.4% 426 -20.2K -113 0.00 68.97 0 0 21 0 2008-12-10 $23.07 $25.00 61.8% 19.5% 97.2% 0.0% 66.2% 0.0% 0.5% 450 -20.3K -117 0.00 42.42 9 0 21 0 2008-12-11 $21.34 $25.00 69.4% 19.9% 100.8% 0.0% 0.0% 0.0% 6.4% 653 -22.4K -132 0.00 66.05 0 0 30 0 2008-12-12 $22.30 $25.00 66.3% 19.0% 102.2% 0.0% 0.0% 0.0% 6.2% 681 -21.1K -130 0.00 70.24 15 0 30 0 2008-12-15 $21.42 $25.00 69.6% 20.0% 100.2% 0.0% 0.0% 0.0% 4.1% 735 -21.5K -138 0.00 53.26 0 20 45 0 2008-12-16 $22.92 $25.00 63.4% 18.2% 96.4% 0.0% 55.8% 0.0% -0.0% 1.1K -12.6K -254 0.00 60.32 20 0 45 20 2008-12-17 $22.98 $25.00 67.0% 19.2% 92.3% 0.0% 55.5% 0.0% -1.8% 1.6K -28.1K -303 0.00 63.81 480 0 65 20 2008-12-18 $22.86 $25.00 63.9% 18.3% 92.2% 0.0% 0.0% 0.0% -1.2% 24.9K -388.4K -1.4K 0.00 57.74 0 0 545 20 2008-12-19 $23.00 $25.00 63.7% 18.3% 89.2% 0.0% 0.0% 0.0% -1.6% 26.6K -441.3K -1.5K 0.00 63.40 0 0 545 20 2008-12-22 $22.94 $25.00 63.3% 18.2% 87.5% 0.0% 0.0% 0.0% 4.0% 25.7K -360.6K -1.3K 0.00 65.25 0 0 535 20 2008-12-23 $22.62 $25.00 63.0% 18.1% 73.7% 0.0% 0.0% 0.0% -1.8% 26.4K -339.1K -1.3K 0.00 61.38 0 0 535 20 2008-12-24 $22.72 $25.00 64.8% 18.6% 73.6% 0.0% 0.0% 0.0% 6.9% 26.0K -314.0K -1.0K 0.00 47.71 0 0 525 0 2008-12-26 $23.00 $25.00 61.3% 17.6% 72.2% 0.0% 0.0% 0.0% 0.4% 28.9K -315.2K -1.1K 0.00 64.78 8 0 535 20 2008-12-29 $22.82 $25.00 62.8% 18.0% 72.3% 0.0% 0.0% 0.0% -0.4% 28.1K -288.7K -1.1K 0.00 71.08 0 0 543 20 2008-12-30 $23.70 $25.00 61.6% 17.7% 61.3% 0.0% 0.0% 0.0% 1.0% 37.8K -357.6K -1.2K 0.00 65.47 7 0 543 20 2008-12-31 $24.39 $0.00 64.3% 18.4% 54.7% 0.0% 0.0% 0.0% -1.7% 254 -6.4K -33 0.00 97.39 0 0 9 0
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