CBU Options History — December 2010

In December 2010, CBU traded between $24.65 and $28.58. ATM implied volatility averaged 26.1%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 3.1% (HV 20d: 23.1%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.27.

Notable Days

  • 2010-12-17: Highest Volume — 161 contracts
  • 2010-12-20: Largest IV drop — 33.4% change
  • 2010-12-10: Highest IV Rank — 39.9%
  • 2010-12-13: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.75$24.65$28.58$24.65$27.77
Max Pain$24.66$22.50$25.00$22.50$25.00
ATM IV26.1%16.1%37.8%31.0%20.7%
Expected Move7.3%4.6%9.3%8.9%5.9%
HV 20d23.1%20.2%29.3%29.3%22.3%
HV 60d26.3%25.1%27.0%26.8%25.5%
IV Rank16.7%0.0%39.9%24.4%9.7%
IV Percentile18.4%0.0%75.4%25.0%4.0%
Term Structure3.9%-4.3%13.8%-0.4%7.6%
VWIV26.2%16.7%31.7%29.4%16.7%
Skew 25d7.5%4.2%10.8%6.8%4.6%
Skew 10d5.9%0.7%7.9%3.6%6.8%
Call IV 25d22.5%19.8%26.4%22.8%26.4%
Put IV 25d30.0%29.0%31.1%29.6%31.0%
Bid-Ask Spread %97.2281.17112.7585.54110.25
Gamma HHI0.460.310.590.420.59
Net GEX18.1K4.1K36.8K10.5K36.8K
Net DEX-736.3K-1.0M-320.9K-320.9K-1.0M
Net VEX-2.3K-3.4K-1.5K-3.4K-2.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.270.0012.000.000.00
Total Volume36.727016100
Total OI1,185.51,0831,4121,1571,412

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-12-01$24.65$22.5031.0%8.9%29.3%24.4%0.0%0.0%-0.4%10.5K-320.9K-3.4K0.0085.5400492665
2010-12-02$24.90$22.5030.8%8.8%27.7%23.9%0.0%0.0%1.0%14.1K-391.8K-3.3K0.0086.0120492665
2010-12-03$24.99$22.5032.0%9.2%22.9%26.7%0.0%0.0%-0.8%13.7K-406.8K-3.2K0.0087.1300490665
2010-12-06$25.41$25.0031.7%9.2%23.6%25.9%0.0%0.0%-1.5%18.1K-536.5K-3.0K0.0089.0720490665
2010-12-07$25.52$25.0031.7%8.4%23.6%25.9%29.4%0.0%1.8%21.2K-602.8K-2.8K0.0099.12250490665
2010-12-08$25.89$25.0035.5%9.1%23.7%34.8%31.7%0.0%-0.5%18.8K-655.2K-2.7K0.2495.73215485665
2010-12-09$26.23$25.0032.8%8.8%22.9%28.5%0.0%0.0%0.8%16.1K-728.1K-2.3K0.0083.30160467660
2010-12-10$26.81$25.0037.8%9.2%23.9%39.9%0.0%0.0%-0.4%14.2K-824.0K-2.1K0.0785.79745475660
2010-12-13$26.39$25.0026.8%9.3%23.3%14.7%0.0%0.0%-4.3%9.9K-739.5K-1.8K12.0084.71112424665
2010-12-14$26.61$25.0033.1%8.1%23.2%29.1%28.2%0.0%0.8%7.1K-757.3K-1.8K0.6084.88106424676
2010-12-15$26.40$25.0029.6%8.5%21.6%21.2%29.6%0.0%-0.4%7.8K-730.3K-1.9K10.0081.17220434678
2010-12-16$26.64$25.0028.9%8.3%20.2%19.6%0.0%0.0%-1.5%7.9K-774.9K-1.8K0.0085.00110436698
2010-12-17$26.89$25.0029.1%8.3%20.2%20.0%29.0%0.0%1.1%4.1K-783.9K-1.8K0.0186.881601434698
2010-12-20$26.91$25.0019.4%5.6%20.2%0.0%19.7%6.8%4.5%12.1K-670.5K-1.5K0.01112.331441390693
2010-12-21$27.78$25.0016.1%4.6%21.3%0.0%24.8%8.8%13.8%19.0K-809.1K-2.0K0.00111.06420506694
2010-12-22$28.58$25.0016.1%4.6%22.5%0.1%16.7%4.2%9.8%24.9K-953.9K-1.7K0.00111.68560510694
2010-12-23$27.88$25.0018.2%5.2%24.4%4.5%0.0%8.4%10.4%24.8K-843.4K-1.9K0.00112.13140556694
2010-12-27$28.14$25.0018.3%5.2%23.0%4.7%0.0%9.7%11.3%27.5K-902.3K-1.8K0.00111.23110556694
2010-12-28$28.20$25.0016.8%4.8%22.8%1.6%0.0%9.9%12.1%27.4K-906.4K-1.8K0.00112.43220551694
2010-12-29$27.93$25.0019.1%5.5%22.7%6.2%0.0%10.8%11.5%26.1K-859.1K-2.0K0.00112.751450573694
2010-12-30$27.91$25.0019.4%5.5%22.0%6.8%0.0%4.7%8.8%35.8K-999.5K-2.6K0.00110.6900718694
2010-12-31$27.77$25.0020.7%5.9%22.3%9.7%0.0%4.6%7.6%36.8K-1.0M-2.7K0.00110.2500718694