CBU Options History — September 2010

In September 2010, CBU traded between $22.02 and $23.24. ATM implied volatility averaged 34.8%, placing in the 33.1% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 6.8% (HV 20d: 28.0%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.05.

Notable Days

  • 2010-09-10: Highest Volume — 142 contracts
  • 2010-09-28: Largest IV spike — 15.2% change
  • 2010-09-28: Highest IV Rank — 41.0%
  • 2010-09-28: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.73$22.02$23.24$22.91$23.01
Max Pain$22.75$22.50$25.00$25.00$22.50
ATM IV34.8%33.1%38.2%34.9%33.3%
Expected Move10.0%9.5%11.0%10.0%9.5%
HV 20d28.0%23.8%31.2%30.5%26.5%
HV 60d33.4%32.5%36.0%36.0%32.8%
IV Rank33.1%29.2%41.0%33.3%29.6%
IV Percentile39.4%29.0%66.7%38.9%31.0%
Term Structure2.0%-0.2%4.3%0.3%4.3%
VWIV34.6%33.6%35.6%34.7%33.6%
Bid-Ask Spread %48.9918.6877.2118.8365.71
Gamma HHI0.680.570.860.670.57
Net GEX-20.8K-26.9K-13.1K-25.1K-13.2K
Net DEX551.7K198.0K850.0K702.4K211.4K
Net VEX-6.3K-6.7K-5.8K-6.5K-5.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.050.000.500.500.00
Total Volume22.150142020
Total OI1,831.451,7691,9901,7691,823

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-09-01$22.91$25.0034.9%10.0%30.5%33.3%0.0%0.0%0.3%-25.1K702.4K-6.5K0.0018.83005421,227
2010-09-02$22.81$25.0035.3%10.1%30.5%34.3%0.0%0.0%0.5%-25.0K722.7K-6.5K0.0019.69005421,227
2010-09-03$23.00$22.5034.0%9.9%30.6%31.2%34.7%0.0%1.3%-25.0K681.8K-6.4K0.5039.74215421,227
2010-09-07$22.69$22.5035.7%10.2%29.4%35.3%0.0%0.0%1.5%-25.7K765.1K-6.2K0.0035.98005441,228
2010-09-08$22.98$22.5034.2%10.0%29.8%31.8%0.0%0.0%1.5%-25.8K704.1K-6.1K0.0035.36055441,228
2010-09-09$22.65$22.5037.2%10.7%25.9%38.5%0.0%0.0%1.7%-26.3K780.5K-6.2K0.0043.59005441,233
2010-09-10$22.47$22.5035.9%10.3%25.7%35.7%0.0%0.0%1.7%-26.9K850.0K-6.1K0.0049.8214205441,233
2010-09-13$22.55$22.5034.7%9.9%24.8%32.8%0.0%0.0%2.4%-22.6K620.4K-6.6K0.0034.725506571,233
2010-09-14$22.34$22.5034.8%10.0%24.5%33.2%0.0%0.0%1.9%-22.4K668.6K-6.7K0.0060.452206771,233
2010-09-15$22.47$22.5034.3%9.8%23.8%32.0%0.0%0.0%3.3%-23.0K623.7K-6.7K0.0058.59706981,233
2010-09-16$22.02$22.5035.4%10.2%24.6%34.6%35.6%0.0%2.1%-22.0K797.1K-6.6K0.0067.620557021,233
2010-09-17$22.33$22.5034.0%9.7%24.5%31.2%0.0%0.0%3.7%-26.5K741.6K-6.6K0.0067.82007021,288
2010-09-20$23.24$22.5034.5%9.9%28.7%32.5%34.5%0.0%3.2%-17.9K236.4K-6.6K0.0074.164906381,170
2010-09-22$22.52$22.5033.1%9.5%29.7%29.2%0.0%0.0%2.0%-14.6K401.1K-6.6K0.0077.216906991,170
2010-09-23$22.41$22.5036.0%10.3%29.7%35.8%0.0%0.0%0.9%-17.7K475.5K-6.2K0.0025.19306381,170
2010-09-24$23.02$22.5033.7%9.6%31.2%30.4%33.6%0.0%2.4%-14.9K276.7K-6.1K0.0058.44026411,170
2010-09-27$22.84$22.5033.2%9.5%31.1%29.4%0.0%0.0%2.4%-14.7K328.7K-6.0K0.0018.68026411,171
2010-09-28$23.19$22.5038.2%11.0%30.8%41.0%0.0%0.0%-0.2%-13.9K247.9K-6.0K0.0067.38906411,173
2010-09-29$23.16$22.5033.7%9.7%27.1%30.5%0.0%0.0%2.2%-13.1K198.0K-5.9K0.0060.79006501,173
2010-09-30$23.01$22.5033.3%9.5%26.5%29.6%0.0%0.0%4.3%-13.2K211.4K-5.8K0.0065.712006501,173