CBU Options History — March 2011

In March 2011, CBU traded between $23.58 and $25.39. ATM implied volatility averaged 24.9%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 2.0% (HV 20d: 22.8%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 1.06.

Notable Days

  • 2011-03-02: Highest Volume — 87 contracts
  • 2011-03-16: Largest IV spike — 36.6% change
  • 2011-03-16: Highest IV Rank — 30.5%
  • 2011-03-16: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.26$23.58$25.39$24.86$24.27
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV24.9%21.8%30.6%22.4%23.8%
Expected Move7.2%6.3%8.8%6.4%6.8%
HV 20d22.8%19.2%26.1%21.2%20.9%
HV 60d25.3%23.8%26.4%25.3%23.8%
IV Rank18.4%12.0%30.5%13.2%16.2%
IV Percentile14.6%6.0%43.7%6.7%10.7%
Term Structure1.0%-5.5%9.0%0.8%-3.3%
VWIV22.0%18.4%25.7%25.7%18.4%
Skew 25d2.4%-11.5%10.4%-6.8%-11.5%
Skew 10d2.4%-20.2%15.9%-8.3%-20.2%
Call IV 25d26.8%20.4%34.7%32.8%32.4%
Put IV 25d29.2%20.9%38.2%26.0%20.9%
Bid-Ask Spread %100.8585.68111.86106.55110.29
Gamma HHI0.580.420.760.470.47
Net GEX-11.2K-16.0K-5.0K-12.2K-5.0K
Net DEX461.6K265.7K580.6K265.7K444.6K
Net VEX-3.9K-4.2K-3.4K-3.9K-3.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.006.250.000.00
Total Volume8.26108720
Total OI1,006.0438701,0418701,041

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-03-01$24.86$25.0022.4%6.4%21.2%13.2%0.0%-6.8%0.8%-12.2K265.7K-3.9K0.00106.5520331539
2011-03-02$24.76$25.0023.9%6.9%19.2%16.4%0.0%-2.7%1.5%-12.3K337.0K-3.8K6.25109.981275333539
2011-03-03$25.39$25.0025.9%7.4%21.3%20.6%0.0%3.5%-0.4%-13.5K284.5K-4.2K0.25109.7541345614
2011-03-04$25.03$25.0026.0%7.2%21.5%20.8%0.0%8.3%1.4%-14.7K349.6K-4.2K0.0088.0301349615
2011-03-07$24.74$25.0023.6%7.7%21.8%15.7%0.0%8.2%0.9%-16.0K391.0K-4.2K0.0085.6800349616
2011-03-08$25.36$25.0026.3%7.4%23.1%21.4%0.0%4.6%1.9%-14.0K278.1K-4.1K0.0089.6700349616
2011-03-09$24.98$25.0022.8%7.4%23.7%14.1%25.7%10.4%1.2%-15.7K321.8K-4.1K0.1987.166412349616
2011-03-10$24.19$25.0025.4%7.3%25.7%19.4%0.0%4.3%1.6%-8.5K471.6K-4.2K0.0091.0900413626
2011-03-11$23.82$25.0024.9%7.1%26.1%18.4%0.0%4.0%-0.3%-12.4K557.5K-4.0K0.0097.3200413626
2011-03-14$23.83$25.0026.0%7.5%23.5%20.8%0.0%4.6%2.0%-12.7K562.8K-3.9K0.0088.3500413626
2011-03-15$23.83$25.0022.4%6.4%23.0%13.3%0.0%4.1%2.5%-10.1K532.2K-4.0K0.2097.3851413626
2011-03-16$23.58$25.0030.6%8.8%23.0%30.5%0.0%6.4%3.3%-11.6K548.8K-3.9K0.0092.8500413626
2011-03-17$23.71$25.0027.9%8.0%23.0%24.8%0.0%4.7%9.0%-11.4K550.9K-3.9K0.00100.5000413626
2011-03-18$24.11$25.0023.9%6.9%24.1%16.4%0.0%4.8%2.6%-7.2K518.5K-3.9K0.00107.9600413626
2011-03-21$24.28$25.0021.8%6.3%24.0%12.0%18.4%2.6%2.9%-6.4K414.1K-3.9K0.50108.1921413615
2011-03-22$24.08$25.0022.3%6.4%23.6%13.0%0.0%3.4%1.9%-7.1K464.1K-3.8K0.00108.2900415616
2011-03-23$23.87$25.0024.9%7.1%23.6%18.4%0.0%-0.2%-0.6%-9.0K560.4K-3.6K0.00104.2900415616
2011-03-24$23.83$25.0021.9%6.3%23.5%12.2%0.0%2.7%-2.9%-12.5K573.8K-3.6K0.00105.6300415616
2011-03-25$23.86$25.0024.2%6.9%22.2%17.0%0.0%0.0%-1.8%-11.6K532.8K-3.6K0.00104.0300415616
2011-03-28$23.78$25.0024.0%6.9%22.2%16.6%0.0%3.2%-1.8%-11.9K580.6K-3.4K0.00104.20100415616
2011-03-29$23.75$25.0028.7%8.2%21.9%26.5%0.0%6.5%6.1%-12.2K567.2K-3.5K0.00111.8600425616
2011-03-30$24.16$25.0027.9%8.0%23.0%24.6%0.0%-9.4%-5.5%-9.6K508.7K-3.5K0.00110.5800425616
2011-03-31$24.27$25.0023.8%6.8%20.9%16.2%0.0%-11.5%-3.3%-5.0K444.6K-3.5K0.00110.2900425616