CBU Options History — March 2010

In March 2010, CBU traded between $22.78 and $23.56. ATM implied volatility averaged 25.9%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 22.1% (HV 20d: 48.0%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 4 of 4 trading days. Term structure was in contango for 4 of 4 days. Put/call ratio averaged 0.00.

Notable Days

  • 2010-03-29: Highest Volume — 60 contracts
  • 2010-03-31: Largest IV drop — 28.6% change
  • 2010-03-29: Highest IV Rank — 10.2%
  • 2010-03-29: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.20$22.78$23.56$23.38$22.78
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV25.9%20.8%29.1%27.2%20.8%
Expected Move7.4%6.0%8.4%7.8%6.0%
HV 20d48.0%47.7%48.6%47.7%47.9%
HV 60d38.7%38.6%38.9%38.9%38.7%
IV Rank6.2%0.0%10.2%7.8%0.0%
IV Percentile5.1%0.0%10.7%5.2%0.0%
Term Structure6.7%3.7%12.2%4.5%12.2%
Skew 25d4.2%2.6%6.4%2.6%4.0%
Skew 10d4.2%1.8%5.8%1.8%3.7%
Call IV 25d29.8%28.5%31.1%29.7%31.1%
Put IV 25d34.0%32.4%35.1%32.4%35.1%
Bid-Ask Spread %72.8458.5784.2366.2258.57
Gamma HHI0.600.500.790.790.56
Net GEX26.1K17.5K35.5K17.5K35.5K
Net DEX-484.2K-534.8K-415.4K-505.5K-481.0K
Net VEX-1.2K-1.3K-1.0K-1.0K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume1506000
Total OI482445500500491

Daily Data (4 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-03-17$23.38$22.5027.2%7.8%47.7%7.8%0.0%2.6%4.5%17.5K-505.5K-1.0K0.0066.2200302198
2010-03-25$23.56$22.5026.3%7.5%47.7%6.6%0.0%3.9%6.4%23.1K-534.8K-1.2K0.0082.3300349143
2010-03-29$23.06$22.5029.1%8.4%48.6%10.2%0.0%6.4%3.7%28.1K-415.4K-1.2K0.0084.2360034996
2010-03-31$22.78$22.5020.8%6.0%47.9%0.0%0.0%4.0%12.2%35.5K-481.0K-1.3K0.0058.570039596