CBU Options History — June 2009

In June 2009, CBU traded between $14.34 and $16.21. ATM implied volatility averaged 51.9%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded above realized volatility by 2.2% (HV 20d: 49.7%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 4.07.

Notable Days

  • 2009-06-19: Highest Volume — 57 contracts
  • 2009-06-05: Largest IV drop — 26.6% change
  • 2009-06-04: Highest IV Rank — 27.5%
  • 2009-06-04: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.29$14.34$16.21$15.35$14.56
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV51.9%43.9%59.8%55.0%49.6%
Expected Move15.0%14.1%17.2%15.8%14.2%
HV 20d49.7%35.6%66.9%66.9%38.3%
HV 60d67.8%64.2%72.1%72.1%64.2%
IV Rank13.9%0.0%27.5%19.1%9.8%
IV Percentile16.4%0.0%45.1%21.6%8.1%
Term Structure1.0%-10.4%5.3%-7.0%3.8%
VWIV53.7%50.6%63.4%63.4%50.8%
Skew 25d11.0%9.2%14.1%12.0%10.9%
Skew 10d23.0%16.9%29.5%20.7%22.6%
Call IV 25d47.1%44.5%48.7%48.7%47.6%
Put IV 25d58.1%56.0%62.5%60.8%58.5%
Bid-Ask Spread %63.8241.0387.9875.3762.58
Gamma HHI0.780.570.930.780.79
Net GEX-12.1K-33.1K-7.6K-8.3K-9.3K
Net DEX222.0K166.3K304.1K223.4K244.7K
Net VEX-1.0K-1.1K-931-1.0K-941
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.070.0025.0025.000.00
Total Volume10.591057100
Total OI538.545474579502506

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-06-01$15.35$15.0055.0%15.8%66.9%19.1%0.0%12.0%-7.0%-8.3K223.4K-1.0K0.0075.37010150352
2009-06-02$15.28$15.0053.7%15.4%58.9%16.9%0.0%14.1%-10.4%-8.8K228.9K-1.0K0.0075.8200150362
2009-06-03$15.34$15.0053.5%15.3%57.6%16.5%0.0%10.5%-4.1%-9.6K237.9K-99925.0075.81250150362
2009-06-04$16.21$15.0059.8%17.2%59.7%27.5%63.4%10.1%-2.8%-7.6K169.8K-1.1K0.0078.14020152412
2009-06-05$15.52$15.0043.9%14.9%60.8%0.0%0.0%9.5%2.6%-11.3K226.4K-1.1K0.0041.0310152412
2009-06-08$15.81$15.0052.9%14.5%57.7%15.7%0.0%10.4%5.3%-10.3K201.5K-1.1K0.0050.96010153412
2009-06-09$16.10$15.0053.0%14.8%55.5%15.8%0.0%12.5%3.3%-9.4K181.0K-1.1K0.0047.0100153422
2009-06-10$15.78$15.0051.1%15.1%55.7%12.6%0.0%9.4%1.3%-12.1K219.7K-1.1K0.0051.7100153422
2009-06-11$15.94$15.0052.0%14.9%53.2%14.1%0.0%12.2%2.3%-8.9K170.1K-1.0K0.0072.8100153422
2009-06-12$16.03$15.0051.1%14.7%52.9%12.6%0.0%11.4%4.2%-10.3K166.3K-9900.0053.05010153422
2009-06-15$15.55$15.0053.4%15.3%53.7%16.5%0.0%10.2%3.1%-14.1K204.2K-9690.0060.8100153412
2009-06-16$15.52$15.0051.9%14.9%51.1%13.8%0.0%11.1%2.2%-16.2K193.8K-9422.5060.98410153412
2009-06-17$15.16$15.0052.6%15.1%48.1%15.2%0.0%12.4%0.2%-20.4K243.3K-9900.0050.5300157422
2009-06-18$15.15$15.0050.6%14.5%45.0%11.7%50.6%11.2%2.3%-20.9K240.3K-9740.0074.2520157422
2009-06-19$14.83$15.0051.3%14.7%45.1%12.9%51.3%10.3%1.2%-33.1K304.1K-9317.1470.01750157422
2009-06-22$14.59$15.0052.4%15.0%45.3%14.8%52.2%10.4%1.1%-9.4K252.0K-9512.0063.37102092382
2009-06-23$14.34$15.0049.3%14.1%39.9%9.4%0.0%12.3%3.9%-8.8K254.9K-9540.0068.79100102382
2009-06-24$14.37$15.0050.5%14.5%35.6%11.5%50.8%11.3%2.2%-8.7K253.1K-9720.0047.80100112382
2009-06-25$14.88$15.0052.4%15.0%37.9%14.7%0.0%9.2%2.7%-9.1K228.3K-9950.0049.1700117382
2009-06-26$15.18$15.0050.4%14.4%37.1%11.2%0.0%10.2%1.8%-9.6K216.5K-9900.0087.9870117382
2009-06-29$14.93$15.0051.1%14.6%37.4%12.5%0.0%10.5%2.4%-9.5K223.4K-9760.0086.0400124382
2009-06-30$14.56$15.0049.6%14.2%38.3%9.8%0.0%10.9%3.8%-9.3K244.7K-9410.0062.5800124382