CBU Options History — December 2009 In December 2009, CBU traded between $18.29 and $19.90. ATM implied volatility averaged 30.5%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 1.7% (HV 20d: 28.9%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2009-12-30 : Highest Volume — 50 contracts2009-12-04 : Largest IV drop — 42.2% change2009-12-16 : Highest IV Rank — 19.6%2009-12-03 : Largest Expected Move — 10.9%Monthly Statistics Metric Avg Min Max Open Close Price $19.07 $18.29 $19.90 $18.50 $19.31 Max Pain $17.50 $17.50 $17.50 $17.50 $17.50 ATM IV 30.5% 21.0% 38.1% 38.1% 21.0% Expected Move 9.1% 6.0% 10.9% 10.9% 6.0% HV 20d 28.9% 22.1% 32.4% 30.8% 23.6% HV 60d 33.1% 31.6% 34.3% 33.6% 31.6% IV Rank 10.4% 0.0% 19.6% 17.2% 0.0% IV Percentile 8.4% 0.0% 24.2% 23.4% 0.0% Term Structure 3.0% -2.0% 9.7% 0.1% 9.7% Skew 25d 9.9% 4.5% 13.5% 10.9% 10.5% Skew 10d 13.9% 0.7% 24.6% 19.0% 13.6% Call IV 25d 27.9% 22.2% 31.5% 29.3% 24.5% Put IV 25d 37.8% 34.0% 41.5% 40.2% 35.0% Bid-Ask Spread % 53.32 28.06 86.03 39.07 83.12 Gamma HHI 0.86 0.69 0.96 0.81 0.79 Net GEX 13.3K 9.6K 18.2K 10.5K 14.3K Net DEX -226.7K -299.2K -157.5K -178.1K -220.7K Net VEX -1.1K -1.2K -1.0K -1.2K -1.2K 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 3.5 0 50 5 0 Total OI 422 374 455 455 424
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 2009-12-01 $18.50 $17.50 38.1% 10.9% 30.8% 17.2% 0.0% 10.9% 0.1% 10.5K -178.1K -1.2K 0.00 39.07 5 0 354 101 2009-12-02 $18.61 $17.50 35.2% 10.1% 30.8% 13.4% 0.0% 11.5% 3.3% 11.2K -199.7K -1.2K 0.00 71.47 2 0 354 101 2009-12-03 $18.29 $17.50 38.1% 10.9% 30.5% 17.3% 0.0% 10.0% -2.0% 9.9K -157.5K -1.2K 0.00 39.70 0 0 352 101 2009-12-04 $18.87 $0.00 22.0% 8.8% 32.4% 0.0% 0.0% 13.0% 5.1% 11.9K -222.5K -1.2K 0.00 43.69 0 0 352 101 2009-12-07 $18.82 $0.00 24.5% 9.3% 32.2% 3.1% 0.0% 13.0% 2.9% 12.1K -214.0K -1.2K 0.00 43.27 0 0 352 101 2009-12-08 $18.85 $0.00 25.9% 9.4% 32.2% 5.0% 0.0% 13.5% 2.5% 12.1K -217.8K -1.2K 0.00 67.08 0 0 352 101 2009-12-09 $18.71 $0.00 34.1% 10.6% 32.4% 15.4% 0.0% 11.0% 0.8% 11.5K -199.7K -1.1K 0.00 45.36 0 0 352 101 2009-12-10 $18.64 $0.00 34.6% 9.9% 32.3% 16.0% 0.0% 9.3% 1.2% 10.3K -196.3K -1.1K 0.00 51.18 5 0 352 101 2009-12-11 $18.52 $0.00 36.2% 10.4% 30.9% 18.0% 0.0% 9.9% 0.6% 9.6K -170.2K -1.1K 0.00 51.58 0 0 333 101 2009-12-14 $18.99 $0.00 31.8% 9.1% 31.9% 12.4% 0.0% 12.2% 2.8% 13.6K -212.6K -1.1K 0.00 71.17 0 0 333 101 2009-12-15 $18.73 $0.00 37.4% 10.7% 29.6% 19.6% 0.0% 8.2% -0.4% 11.6K -198.2K -1.1K 0.00 43.98 0 2 333 101 2009-12-16 $18.66 $0.00 37.4% 10.7% 29.0% 19.6% 0.0% 5.8% 2.5% 11.1K -184.2K -1.1K 0.00 59.20 0 0 333 103 2009-12-17 $18.79 $0.00 28.7% 8.2% 29.2% 8.5% 0.0% 7.3% 7.2% 12.3K -195.4K -1.1K 0.00 50.67 0 0 333 103 2009-12-18 $19.45 $0.00 27.3% 7.8% 29.7% 6.7% 0.0% 9.0% 6.3% 18.2K -257.0K -1.1K 0.00 86.03 9 0 333 103 2009-12-21 $19.50 $0.00 29.7% 8.5% 29.3% 9.7% 0.0% 6.1% 2.7% 15.0K -264.6K -1.1K 0.00 68.60 0 0 311 63 2009-12-22 $19.61 $0.00 29.6% 8.5% 27.8% 9.7% 0.0% 13.5% 2.2% 15.4K -270.9K -1.1K 0.00 66.14 0 0 311 63 2009-12-23 $19.61 $0.00 27.6% 7.9% 27.0% 7.1% 0.0% 11.3% 5.1% 15.5K -276.7K -1.1K 0.00 66.37 0 2 311 63 2009-12-24 $19.90 $0.00 27.8% 8.0% 24.8% 7.4% 0.0% 4.5% 2.9% 16.7K -294.2K -1.1K 0.00 31.58 0 0 311 65 2009-12-28 $19.70 $0.00 29.0% 8.3% 24.2% 8.9% 0.0% 6.6% 2.4% 16.6K -287.0K -1.1K 0.00 29.24 2 0 311 65 2009-12-29 $19.83 $0.00 28.1% 8.1% 22.1% 7.7% 0.0% 7.8% 4.1% 16.4K -299.2K -1.1K 0.00 28.06 0 0 309 65 2009-12-30 $19.66 $0.00 27.5% 7.9% 22.4% 6.9% 0.0% 12.5% 3.7% 16.7K -271.8K -1.0K 0.00 36.47 0 50 309 65 2009-12-31 $19.31 $0.00 21.0% 6.0% 23.6% 0.0% 0.0% 10.5% 9.7% 14.3K -220.7K -1.2K 0.00 83.12 0 0 309 115
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