CBU Options History — August 2010

In August 2010, CBU traded between $22.17 and $25.34. ATM implied volatility averaged 33.7%, placing in the 27.6% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 0.3% (HV 20d: 33.9%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.90.

Notable Days

  • 2010-08-24: Highest Volume — 750 contracts
  • 2010-08-12: Largest IV spike — 75.0% change
  • 2010-08-23: Highest IV Rank — 45.8%
  • 2010-08-23: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.71$22.17$25.34$25.26$22.58
Max Pain$24.55$22.50$25.00$22.50$25.00
ATM IV33.7%20.4%40.3%30.3%34.8%
Expected Move9.9%8.5%11.6%8.7%10.0%
HV 20d33.9%26.2%40.9%39.7%30.0%
HV 60d42.3%35.9%49.2%49.2%35.9%
IV Rank27.6%0.0%45.8%15.7%33.1%
IV Percentile33.8%0.0%63.9%16.7%37.7%
Term Structure1.0%-6.3%3.4%1.5%0.9%
VWIV33.2%30.8%34.8%33.0%34.8%
Skew 25d5.2%-6.5%20.6%-1.3%18.4%
Skew 10d8.7%-9.6%45.7%-3.4%45.7%
Call IV 25d27.5%20.2%31.9%27.6%27.1%
Put IV 25d32.7%24.9%52.6%26.3%45.5%
Bid-Ask Spread %36.9014.7672.4014.7646.37
Gamma HHI0.640.410.810.770.77
Net GEX17.1K-24.9K74.3K61.0K-20.5K
Net DEX136.3K-735.1K823.3K-735.1K753.7K
Net VEX-4.5K-6.7K-3.0K-4.6K-6.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.004.363.200.00
Total Volume51.5910750040
Total OI1,449.9098361,7291,4051,729

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-08-02$25.26$22.5030.3%8.7%39.7%15.7%0.0%-1.3%1.5%61.0K-735.1K-4.6K0.0014.7600782623
2010-08-03$25.16$22.5032.5%9.3%39.3%19.3%0.0%-2.9%3.1%59.9K-684.3K-4.7K0.0016.02050782623
2010-08-04$25.34$22.5032.0%9.2%39.3%18.6%0.0%-0.2%1.4%55.8K-727.1K-4.7K0.0017.0800782673
2010-08-05$25.13$22.5029.7%8.5%39.4%14.9%0.0%-2.8%2.9%65.2K-614.1K-4.7K0.0015.5400782673
2010-08-06$24.77$25.0030.8%9.1%37.4%16.6%0.0%-6.5%2.9%63.9K-413.9K-4.6K0.0022.9700782673
2010-08-09$25.28$25.0031.1%9.5%37.6%17.1%0.0%20.6%2.2%74.3K-692.0K-4.4K0.0032.3600782673
2010-08-10$24.90$25.0031.7%9.4%37.4%18.0%0.0%0.0%2.7%73.9K-524.6K-4.4K0.0026.8000782673
2010-08-11$23.80$25.0020.4%9.7%40.9%0.0%0.0%10.6%2.9%45.6K70.2K-4.0K0.0023.5500782673
2010-08-12$23.47$25.0035.7%10.2%37.8%24.8%33.0%11.1%0.8%29.9K215.3K-3.8K3.2028.051032782673
2010-08-13$22.99$25.0034.5%9.9%37.9%32.3%0.0%18.4%3.4%8.2K421.9K-3.4K0.0022.8200792685
2010-08-16$23.25$25.0035.3%10.1%36.4%34.2%0.0%0.0%2.5%5.2K390.8K-3.4K0.0030.0250792685
2010-08-17$23.61$25.0035.7%10.2%36.6%35.2%30.8%0.0%1.0%-5.7K319.3K-3.4K0.0028.6750792685
2010-08-18$23.64$25.0036.7%10.5%34.7%37.5%0.0%0.0%-0.2%-3.8K303.2K-3.3K0.0026.38140797685
2010-08-19$23.17$25.0036.1%10.4%32.7%36.1%0.0%0.0%0.5%-9.5K386.2K-3.3K0.0028.98400799685
2010-08-20$23.17$25.0034.9%10.0%28.0%33.3%34.4%0.0%-1.8%-9.4K395.9K-3.2K0.2534.67328819683
2010-08-23$22.64$25.0040.3%11.6%26.2%45.8%0.0%0.0%-6.3%-14.1K560.1K-3.1K0.0065.5700272564
2010-08-24$22.68$25.0033.1%9.5%26.2%29.3%0.0%0.0%2.5%-14.4K606.0K-3.0K4.3672.30140610272564
2010-08-25$22.85$25.0035.3%10.1%26.5%34.3%0.0%0.0%-0.0%-24.8K754.9K-6.2K0.2768.321134121,169
2010-08-26$22.62$25.0036.9%10.6%26.5%37.8%0.0%0.0%-0.6%-24.9K762.8K-6.3K0.0072.4012004221,172
2010-08-27$23.06$25.0035.9%10.3%27.4%35.6%0.0%0.0%-0.3%-19.1K626.2K-6.7K0.0071.38005421,172
2010-08-30$22.17$25.0036.7%10.5%28.6%37.4%0.0%0.0%0.6%-20.8K823.3K-6.4K0.0046.850155421,172
2010-08-31$22.58$25.0034.8%10.0%30.0%33.1%34.8%0.0%0.9%-20.5K753.7K-6.5K0.0046.370405421,187