CBU Options History — February 2009 In February 2009, CBU traded between $16.51 and $19.77. ATM implied volatility averaged 57.4%. The 30-day expected move averaged 16.8%. IV traded below realized volatility by 5.2% (HV 20d: 62.6%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.38.
Notable Days 2009-02-03 : Highest Volume — 44 contracts2009-02-11 : Largest IV spike — 20.7% change2009-02-17 : Largest Expected Move — 18.7%Monthly Statistics Metric Avg Min Max Open Close Price $17.82 $16.51 $19.77 $18.30 $17.11 Max Pain $17.50 $17.50 $17.50 $17.50 $17.50 ATM IV 57.4% 44.4% 65.3% 57.3% 56.1% Expected Move 16.8% 12.7% 18.7% 16.4% 16.1% HV 20d 62.6% 48.8% 70.7% 60.2% 48.8% HV 60d 68.7% 57.9% 74.4% 73.9% 57.9% Term Structure -2.6% -8.1% 8.7% 4.3% -1.6% VWIV 60.5% 47.9% 68.4% 47.9% 57.9% Skew 25d 12.6% 6.1% 21.7% 14.4% 10.7% Skew 10d 22.0% 7.8% 32.6% 11.4% 20.5% Call IV 25d 57.1% 47.7% 62.2% 57.6% 55.2% Put IV 25d 69.8% 63.5% 74.2% 72.0% 65.9% Bid-Ask Spread % 75.78 45.93 101.17 97.49 90.94 Gamma HHI 0.59 0.40 0.96 0.59 0.49 Net GEX 27.1K -2.0K 55.2K 37.0K -1.8K Net DEX -398.6K -1.1M 110.6K -656.2K 55.9K Net VEX -940 -1.4K -373 -1.4K -429 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.38 0.00 1.54 1.54 0.00 Total Volume 6.947 0 44 1 0 Total OI 743.421 216 957 859 227
Daily Data (19 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 2009-02-02 $18.30 $17.50 57.3% 16.4% 60.2% 0.0% 0.0% 0.0% 4.3% 37.0K -656.2K -1.4K 0.00 97.49 0 1 816 43 2009-02-03 $18.20 $17.50 59.2% 17.0% 60.2% 0.0% 0.0% 0.0% -1.6% 35.6K -686.9K -1.4K 0.00 83.69 0 44 816 43 2009-02-04 $18.40 $17.50 50.8% 14.6% 60.8% 0.0% 47.9% 0.0% 6.2% 38.6K -723.8K -1.4K 1.54 81.94 13 20 816 87 2009-02-05 $18.79 $17.50 44.4% 12.7% 61.8% 0.0% 0.0% 0.0% 8.7% 42.6K -762.7K -1.4K 0.00 101.17 0 12 829 105 2009-02-06 $19.77 $17.50 49.7% 15.1% 65.5% 0.0% 67.4% 0.0% -0.4% 37.1K -1.0M -1.4K 0.00 75.00 0 10 829 117 2009-02-09 $19.70 $17.50 48.9% 16.2% 64.7% 0.0% 0.0% 0.0% -3.3% 31.7K -1.1M -1.2K 0.00 70.56 1 0 829 127 2009-02-10 $18.05 $17.50 50.1% 17.2% 70.7% 0.0% 61.2% 0.0% 0.0% 36.4K -666.6K -1.3K 0.00 64.49 0 10 830 127 2009-02-11 $18.48 $17.50 60.5% 18.5% 70.2% 0.0% 0.0% 0.0% -8.1% 41.3K -681.7K -1.3K 0.00 77.67 0 0 830 117 2009-02-12 $18.33 $17.50 63.3% 18.2% 69.4% 0.0% 0.0% 0.0% -7.5% 39.4K -625.0K -1.2K 0.00 48.46 0 0 830 117 2009-02-13 $17.64 $17.50 62.4% 17.9% 70.3% 0.0% 0.0% 0.0% -5.0% 43.1K -435.3K -1.1K 0.00 45.93 0 0 830 117 2009-02-17 $17.16 $17.50 65.3% 18.7% 69.8% 0.0% 0.0% 14.4% -7.2% 44.5K -272.4K -832 0.00 67.97 0 0 830 117 2009-02-18 $17.13 $17.50 63.8% 18.3% 62.6% 0.0% 0.0% 15.9% -6.3% 55.2K -220.5K -764 0.00 80.15 0 0 830 117 2009-02-19 $16.65 $17.50 60.2% 17.3% 61.2% 0.0% 0.0% 11.8% -3.8% 42.9K -177.5K -641 0.00 77.76 0 0 830 117 2009-02-20 $16.61 $17.50 60.3% 17.3% 58.9% 0.0% 68.4% 6.2% -3.2% -1.4K 110.6K -373 0.00 82.64 0 9 830 107 2009-02-23 $16.51 $17.50 53.6% 15.4% 57.9% 0.0% 0.0% 14.5% -5.2% -1.4K 65.5K -417 0.00 55.56 1 0 121 96 2009-02-24 $17.24 $17.50 60.8% 17.4% 59.9% 0.0% 0.0% 12.4% -2.3% -2.0K 75.1K -411 0.00 62.20 0 0 120 96 2009-02-25 $17.07 $17.50 63.4% 18.2% 59.8% 0.0% 0.0% 21.7% -5.2% -1.9K 71.5K -403 0.00 92.48 0 0 120 96 2009-02-26 $17.51 $17.50 59.9% 17.2% 56.3% 0.0% 57.9% 6.1% -7.7% -2.0K 56.4K -454 0.00 83.72 11 0 120 96 2009-02-27 $17.11 $17.50 56.1% 16.1% 48.8% 0.0% 0.0% 10.7% -1.6% -1.8K 55.9K -429 0.00 90.94 0 0 131 96
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