CBU Options History — August 2011

In August 2011, CBU traded between $21.81 and $25.76. ATM implied volatility averaged 36.6%, placing in the 54.2% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 18.5% (HV 20d: 55.0%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 1.81.

Notable Days

  • 2011-08-04: Highest Volume — 149 contracts
  • 2011-08-04: Largest IV spike — 25.2% change
  • 2011-08-22: Highest IV Rank — 68.5%
  • 2011-08-22: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.75$21.81$25.76$25.43$25.03
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV36.6%23.2%42.1%24.0%33.3%
Expected Move10.5%6.6%12.1%6.9%9.5%
HV 20d55.0%20.2%69.7%20.2%68.8%
HV 60d36.2%21.1%42.7%21.1%42.7%
IV Rank54.2%19.5%68.5%21.5%45.7%
IV Percentile82.8%26.2%99.2%29.4%74.6%
Term Structure-1.8%-5.7%5.5%1.4%-2.0%
VWIV34.7%27.0%41.8%27.0%39.1%
Skew 25d-1.4%-9.2%9.2%-5.7%-5.8%
Skew 10d-3.3%-12.9%8.9%-7.2%-9.4%
Call IV 25d36.1%30.6%39.7%30.8%36.9%
Put IV 25d34.8%24.7%43.5%25.0%31.1%
Bid-Ask Spread %96.7486.88109.53109.53101.25
Gamma HHI0.680.510.950.810.75
Net GEX-2.7K-77.8K55.7K48.6K15.3K
Net DEX49.1K-719.0K761.9K-634.8K-94.9K
Net VEX-1.9K-2.6K-1.4K-1.6K-1.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.810.0014.000.000.50
Total Volume12.65201491012
Total OI788.9134521,017831485

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-08-01$25.43$25.0024.0%6.9%20.2%21.5%27.0%-5.7%1.4%48.6K-634.8K-1.6K0.00109.53010484347
2011-08-02$24.88$25.0024.0%6.9%21.7%21.5%0.0%-6.9%1.5%47.6K-516.9K-1.7K0.00104.9400484347
2011-08-03$25.76$25.0023.2%6.6%25.1%19.5%0.0%-1.3%5.5%55.7K-719.0K-1.5K0.00107.7850484347
2011-08-04$24.75$25.0029.0%8.3%28.8%34.7%0.0%-7.9%1.0%34.7K-473.9K-1.7K0.00105.890149489347
2011-08-05$24.41$25.0029.8%9.7%28.4%36.5%0.0%2.4%-2.1%18.0K-188.8K-2.4K0.0092.26200489476
2011-08-08$22.30$25.0033.5%10.5%42.6%46.3%0.0%1.2%-1.9%-34.5K476.2K-1.9K0.0092.06040487476
2011-08-09$24.30$25.0039.6%10.1%53.5%62.1%0.0%7.8%0.8%8.1K-85.4K-2.6K0.0087.2670487515
2011-08-10$22.62$25.0041.6%11.9%58.7%67.3%31.0%0.9%-4.2%-26.9K412.0K-2.3K0.0090.1405487515
2011-08-11$23.69$25.0041.8%12.0%61.3%67.8%0.0%-0.6%-4.3%-8.1K86.5K-2.4K0.0086.88100487520
2011-08-12$22.85$25.0041.0%11.8%62.5%65.7%0.0%-7.7%-2.9%-36.1K358.8K-2.2K0.0093.8200497520
2011-08-15$23.51$25.0041.7%12.0%63.3%67.5%0.0%-2.4%-4.0%-18.4K150.1K-2.2K0.0088.6100497520
2011-08-16$23.06$25.0041.5%11.9%62.8%66.9%0.0%-3.4%-4.6%-46.2K287.0K-2.0K0.0094.7300497520
2011-08-17$23.14$25.0040.6%11.7%62.9%64.7%0.0%-4.6%-3.9%-45.2K256.7K-2.0K0.0094.9900497520
2011-08-18$22.07$25.0040.9%11.7%64.4%65.4%0.0%6.2%-3.7%-77.8K734.9K-1.6K0.0095.2600497520
2011-08-19$21.81$25.0041.8%12.0%64.4%67.7%0.0%4.3%-5.3%-49.1K761.9K-1.5K0.0094.1500497520
2011-08-22$22.25$25.0042.1%12.1%65.1%68.5%41.8%9.2%-2.1%2.8K181.9K-1.4K14.0098.15114255197
2011-08-23$23.37$25.0039.0%11.2%67.8%60.5%0.0%-1.9%-0.8%5.5K100.8K-1.8K0.0096.4500256211
2011-08-24$23.89$25.0040.4%11.6%68.3%64.0%39.1%1.1%-1.3%6.3K50.5K-1.8K0.0096.5760256211
2011-08-25$23.67$25.0038.2%10.9%68.3%58.3%0.0%-2.5%-0.0%7.2K67.8K-1.8K0.0095.2600262211
2011-08-26$23.98$25.0039.0%11.2%67.9%60.5%0.0%1.5%0.3%7.5K37.6K-1.8K0.0099.3200262211
2011-08-29$25.04$25.0037.8%10.8%69.7%57.4%0.0%-5.8%-4.0%11.5K-82.3K-1.9K0.0099.45120262211
2011-08-30$24.52$25.0037.3%10.7%69.6%56.1%0.0%-9.2%-5.7%11.9K-37.9K-1.9K0.00100.3800274211
2011-08-31$25.03$25.0033.3%9.5%68.8%45.7%0.0%-5.8%-2.0%15.3K-94.9K-1.9K0.50101.2584274211