CBU Options History — May 2011

In May 2011, CBU traded between $23.89 and $25.08. ATM implied volatility averaged 20.4%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 0.2% (HV 20d: 20.6%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.53.

Notable Days

  • 2011-05-19: Highest Volume — 66 contracts
  • 2011-05-19: Largest IV drop — 26.4% change
  • 2011-05-18: Highest IV Rank — 18.7%
  • 2011-05-18: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.37$23.89$25.08$24.44$25.08
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV20.4%15.7%24.7%22.3%22.3%
Expected Move5.8%4.5%7.1%6.4%6.4%
HV 20d20.6%18.1%22.5%20.2%18.1%
HV 60d20.1%19.3%20.5%20.5%19.4%
IV Rank9.8%0.0%18.7%13.8%13.7%
IV Percentile7.6%0.0%21.0%8.7%13.1%
Term Structure1.4%-1.8%10.0%1.0%-0.5%
VWIV22.3%22.3%22.3%22.3%22.3%
Skew 25d0.0%-5.9%9.3%-4.9%-4.0%
Skew 10d-2.1%-9.0%5.1%-1.8%-6.8%
Call IV 25d24.2%14.1%28.5%26.1%28.5%
Put IV 25d24.2%19.5%31.0%21.2%24.5%
Bid-Ask Spread %114.51103.53122.62121.43106.52
Gamma HHI0.600.490.770.530.64
Net GEX-25.6K-39.9K-13.4K-26.0K-13.4K
Net DEX434.0K98.5K690.6K329.6K98.5K
Net VEX-2.2K-2.9K-1.5K-2.9K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.530.005.000.000.00
Total Volume6.1906604
Total OI901.7624531,0911,079461

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-05-02$24.44$25.0022.3%6.4%20.2%13.8%0.0%-4.9%1.0%-26.0K329.6K-2.9K0.00121.4300444635
2011-05-03$24.44$25.0022.2%6.4%20.2%13.5%0.0%3.6%-1.6%-27.5K400.7K-2.9K0.00118.8300444635
2011-05-04$24.20$25.0018.5%5.3%20.5%6.0%0.0%2.5%5.2%-26.8K593.6K-2.6K0.00122.6200444635
2011-05-05$24.17$25.0021.0%6.0%19.3%11.0%0.0%2.3%-0.2%-26.5K591.0K-2.6K0.00120.8900444635
2011-05-06$23.89$25.0022.4%6.1%19.7%14.1%0.0%2.0%-1.3%-25.8K671.5K-2.5K0.00112.1000444635
2011-05-09$24.10$25.0022.4%6.1%20.0%13.9%0.0%3.1%-1.6%-27.8K654.5K-2.4K0.00112.9100444635
2011-05-10$24.62$25.0021.8%6.5%21.5%12.6%0.0%-2.8%0.3%-28.8K391.7K-2.5K0.00113.5100444635
2011-05-11$24.33$25.0019.8%5.8%21.5%8.6%0.0%-3.1%1.1%-28.8K594.6K-2.3K0.00115.1100444635
2011-05-12$24.71$25.0020.3%5.8%21.1%9.5%0.0%-2.1%2.7%-25.4K320.2K-2.4K0.00114.5200444635
2011-05-13$24.19$25.0020.4%5.9%22.5%9.9%0.0%-2.5%0.5%-28.0K690.6K-2.2K0.00114.8100444635
2011-05-16$24.21$25.0020.1%5.8%22.4%9.2%0.0%0.1%1.1%-28.7K664.4K-2.1K0.00115.0200444635
2011-05-17$24.42$25.0024.2%6.9%22.0%17.8%0.0%-3.4%-1.2%-30.9K485.6K-2.1K0.00113.68016444635
2011-05-18$24.52$25.0024.7%7.1%21.4%18.7%0.0%-3.4%-1.8%-33.8K545.9K-2.0K0.00113.95140444647
2011-05-19$24.62$25.0018.2%5.2%21.2%5.2%0.0%8.3%1.5%-39.9K502.8K-1.8K5.00113.071155430647
2011-05-20$24.35$25.0021.0%6.0%21.6%11.0%0.0%-3.9%0.8%-33.4K662.6K-1.9K2.67115.28616441647
2011-05-23$24.09$25.0015.7%4.5%21.9%0.0%0.0%9.3%8.3%-18.4K196.4K-1.7K0.00120.0600101352
2011-05-24$24.06$25.0016.4%4.7%19.6%1.5%0.0%9.3%10.0%-19.1K208.7K-1.7K0.00118.4600101352
2011-05-25$24.14$25.0016.6%4.8%19.6%1.9%0.0%-0.5%4.8%-18.6K205.4K-1.7K0.00110.7100101352
2011-05-26$24.47$25.0018.7%5.4%18.8%6.4%0.0%-3.9%1.0%-16.4K175.0K-1.7K0.00107.7270101352
2011-05-27$24.65$25.0019.1%5.5%19.0%7.2%0.0%-5.9%-0.0%-14.5K130.6K-1.6K0.00103.5301108352
2011-05-31$25.08$25.0022.3%6.4%18.1%13.7%22.3%-4.0%-0.5%-13.4K98.5K-1.5K0.00106.5240108353