CBU Options History — June 2011

In June 2011, CBU traded between $23.16 and $24.79. ATM implied volatility averaged 22.0%, placing in the 14.5% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 2.3% (HV 20d: 24.4%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2011-06-17: Highest Volume — 78 contracts
  • 2011-06-27: Largest IV spike — 30.0% change
  • 2011-06-08: Highest IV Rank — 30.7%
  • 2011-06-08: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.03$23.16$24.79$23.93$24.79
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV22.0%16.0%30.5%19.2%17.8%
Expected Move6.2%4.6%7.3%5.5%5.1%
HV 20d24.4%18.2%26.2%24.9%18.2%
HV 60d20.7%20.0%21.6%21.6%21.0%
IV Rank14.5%0.7%30.7%7.4%5.7%
IV Percentile17.2%0.8%52.4%6.7%4.0%
Term Structure1.8%-0.6%7.2%0.9%5.1%
VWIV21.8%20.1%23.5%20.1%23.5%
Skew 25d2.4%-4.7%8.3%-2.3%0.7%
Skew 10d-3.1%-13.8%5.2%-4.0%-8.7%
Call IV 25d21.6%16.2%32.4%21.3%32.4%
Put IV 25d24.0%18.8%33.2%19.0%33.1%
Bid-Ask Spread %103.3996.77111.95110.52104.44
Gamma HHI0.660.500.900.750.50
Net GEX-16.2K-25.0K-5.1K-19.3K-5.1K
Net DEX124.9K-70.2K318.6K210.3K-70.2K
Net VEX-1.7K-1.9K-1.5K-1.7K-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume8078100
Total OI509.727465560465560

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-06-01$23.93$25.0019.2%5.5%24.9%7.4%20.1%-2.3%0.9%-19.3K210.3K-1.7K0.00110.52100112353
2011-06-02$24.00$25.0019.6%5.6%24.7%8.1%0.0%1.0%0.4%-18.9K207.2K-1.7K0.00110.6700117353
2011-06-03$23.42$25.0025.0%6.9%26.2%19.4%0.0%6.4%0.6%-21.8K271.9K-1.7K0.0098.6600117353
2011-06-06$23.48$25.0028.3%7.0%25.9%26.1%0.0%7.6%-0.1%-22.0K268.5K-1.7K0.0099.8600117353
2011-06-07$23.46$25.0027.0%7.0%25.7%23.5%0.0%7.3%0.7%-22.2K258.8K-1.6K0.0099.6700117353
2011-06-08$23.59$25.0030.5%7.3%24.4%30.7%0.0%8.3%-0.3%-22.2K251.3K-1.6K0.0099.6600117353
2011-06-09$23.47$25.0023.4%6.7%24.1%16.2%0.0%6.6%1.4%-22.7K260.2K-1.6K0.00102.9300117353
2011-06-10$23.16$25.0023.3%6.7%23.6%15.8%0.0%4.7%2.0%-25.0K318.6K-1.6K0.0098.2000117353
2011-06-13$23.40$25.0024.7%7.1%23.0%18.8%0.0%8.1%0.3%-23.9K246.7K-1.6K0.00104.4950117353
2011-06-14$23.89$25.0019.4%5.6%24.4%7.8%0.0%1.2%-0.3%-19.1K175.4K-1.5K0.0099.06510122353
2011-06-15$23.68$25.0024.5%7.0%24.3%22.6%0.0%7.8%1.1%-18.8K166.3K-1.8K0.00106.0900169353
2011-06-16$24.08$25.0017.9%5.1%25.1%5.8%0.0%2.6%2.5%-14.2K109.1K-1.7K0.00102.3000169353
2011-06-17$24.32$25.0021.6%6.2%25.3%15.4%0.0%-4.1%1.4%-11.0K66.3K-1.6K0.00102.19780169353
2011-06-20$24.58$25.0023.4%6.7%25.3%20.0%23.5%-4.7%-0.6%-13.1K3.1K-1.7K0.0096.77220175353
2011-06-21$24.66$25.0020.8%5.9%24.9%13.2%0.0%-3.9%1.9%-10.6K-24.7K-1.8K0.00100.1700197353
2011-06-22$24.43$25.0022.3%6.4%25.2%17.2%0.0%-4.6%0.8%-11.3K4.9K-1.8K0.00102.3100197353
2011-06-23$24.04$25.0016.0%4.6%25.9%0.7%0.0%2.5%6.2%-14.9K73.8K-1.9K0.00110.4200197353
2011-06-24$24.26$25.0017.8%5.1%25.6%5.6%0.0%2.4%7.2%-13.1K32.6K-1.8K0.00111.9500197353
2011-06-27$24.52$25.0023.2%6.6%25.8%19.4%0.0%-4.2%0.3%-10.5K-2.5K-1.7K0.00101.9900197353
2011-06-28$24.70$25.0018.5%5.3%25.1%7.3%0.0%2.2%4.3%-9.5K-28.3K-1.6K0.00108.02100197353
2011-06-29$24.73$25.0020.4%5.9%18.2%12.3%0.0%6.5%3.1%-6.9K-51.4K-1.6K0.00104.1900207353
2011-06-30$24.79$25.0017.8%5.1%18.2%5.7%0.0%0.7%5.1%-5.1K-70.2K-1.6K0.00104.4400207353