CBU Options History — July 2012 In July 2012, CBU traded between $26.54 and $27.69. ATM implied volatility averaged 26.7%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 8.1% (HV 20d: 18.6%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2012-07-20 : Highest Volume — 20 contracts2012-07-20 : Largest IV spike — 38.6% change2012-07-10 : Highest IV Rank — 38.8%2012-07-20 : Largest Expected Move — 9.0%Monthly Statistics Metric Avg Min Max Open Close Price $27.23 $26.54 $27.69 $27.38 $27.51 Max Pain $28.81 $25.00 $30.00 $25.00 $25.00 ATM IV 26.7% 20.0% 33.3% 26.4% 23.8% Expected Move 7.5% 5.7% 9.0% 7.6% 6.8% HV 20d 18.6% 16.3% 21.6% 21.6% 16.4% HV 60d 20.9% 20.1% 22.1% 22.1% 20.5% IV Rank 21.9% 4.2% 38.8% 23.5% 14.3% IV Percentile 32.4% 2.4% 64.3% 30.6% 16.7% Term Structure 1.6% -7.2% 8.6% -0.5% -7.2% VWIV 21.8% 21.7% 21.9% 21.9% 21.7% Skew 25d 6.3% -1.0% 13.2% 10.7% 0.1% Skew 10d 6.3% -0.8% 13.1% 11.5% 3.5% Call IV 25d 21.9% 17.8% 27.5% 17.8% 27.5% Put IV 25d 28.2% 22.2% 37.3% 28.5% 27.6% Bid-Ask Spread % 109.33 101.37 113.89 102.63 112.82 Gamma HHI 0.88 0.85 0.93 0.87 0.89 Net GEX -36.4K -41.0K -33.5K -36.1K -37.5K Net DEX 499.1K 410.5K 596.3K 514.4K 416.1K Net VEX -3.6K -3.9K -3.2K -3.9K -3.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 1.333 0 20 1 0 Total OI 796.619 789 803 797 789
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2012-07-02 $27.38 $25.00 26.4% 7.6% 21.6% 23.5% 0.0% 10.7% -0.5% -36.1K 514.4K -3.9K 0.00 102.63 1 0 110 687 2012-07-03 $27.34 $25.00 27.4% 7.9% 21.5% 24.0% 0.0% 10.3% -0.6% -33.9K 513.9K -3.9K 0.00 103.03 0 0 111 687 2012-07-05 $27.27 $25.00 28.2% 8.1% 20.3% 26.0% 0.0% 10.2% -0.1% -35.5K 498.8K -3.8K 0.00 102.63 0 0 111 687 2012-07-06 $27.22 $30.00 29.6% 8.2% 20.3% 29.5% 0.0% 11.8% 3.1% -34.6K 524.1K -3.8K 0.00 111.63 0 0 111 687 2012-07-09 $27.00 $30.00 27.3% 8.3% 20.2% 23.3% 0.0% 7.5% 0.8% -35.8K 534.5K -3.8K 0.00 108.39 0 0 111 687 2012-07-10 $27.25 $30.00 33.3% 8.6% 18.3% 38.8% 0.0% 13.2% 1.8% -35.1K 522.1K -3.8K 0.00 110.48 0 0 111 687 2012-07-11 $27.11 $30.00 32.6% 7.3% 18.2% 37.0% 0.0% 9.2% 7.1% -37.7K 529.5K -3.7K 0.00 108.03 0 0 111 687 2012-07-12 $27.05 $30.00 26.4% 7.6% 17.5% 20.8% 0.0% 12.5% 6.7% -36.9K 544.3K -3.8K 0.00 108.85 0 0 111 687 2012-07-13 $27.69 $30.00 26.3% 7.5% 18.9% 20.6% 0.0% 4.0% -2.8% -35.2K 467.6K -3.6K 0.00 101.37 5 0 111 687 2012-07-16 $27.44 $30.00 26.1% 7.5% 19.4% 20.1% 0.0% 3.8% 1.3% -34.3K 460.9K -3.6K 0.00 112.77 0 0 116 687 2012-07-17 $27.67 $30.00 22.6% 6.5% 19.4% 11.1% 0.0% 6.1% 8.6% -34.0K 455.9K -3.5K 0.00 113.89 0 0 116 687 2012-07-18 $27.58 $30.00 22.7% 6.5% 18.4% 11.2% 0.0% 5.0% 7.5% -33.5K 430.9K -3.4K 0.00 112.57 0 0 116 687 2012-07-19 $27.19 $30.00 22.7% 6.5% 19.1% 11.2% 0.0% 1.6% 5.6% -37.0K 484.0K -3.5K 0.00 111.13 0 0 116 687 2012-07-20 $26.89 $30.00 31.4% 9.0% 17.7% 33.8% 21.9% 7.4% -1.0% -38.4K 535.4K -3.7K 0.00 108.12 20 0 116 687 2012-07-23 $26.64 $30.00 30.9% 8.9% 17.9% 32.5% 0.0% 4.8% 0.2% -38.5K 568.3K -3.6K 0.00 110.44 0 0 109 682 2012-07-24 $26.54 $30.00 30.5% 8.8% 17.5% 31.6% 0.0% 3.8% 0.3% -41.0K 596.3K -3.6K 0.00 109.52 0 0 109 682 2012-07-25 $26.86 $30.00 23.3% 6.7% 17.9% 12.8% 0.0% -1.0% 4.7% -39.7K 531.7K -3.5K 0.00 111.82 0 0 109 682 2012-07-26 $27.03 $30.00 23.9% 6.9% 16.3% 14.4% 0.0% 2.4% 4.3% -38.8K 502.1K -3.4K 0.00 111.11 0 0 109 682 2012-07-27 $27.64 $30.00 20.0% 5.7% 18.0% 4.2% 21.7% 5.0% -2.3% -34.7K 440.8K -3.3K 0.00 111.86 0 2 109 682 2012-07-30 $27.52 $25.00 25.7% 7.4% 16.7% 19.1% 0.0% 4.2% -4.3% -36.6K 410.5K -3.2K 0.00 112.80 0 0 109 680 2012-07-31 $27.51 $25.00 23.8% 6.8% 16.4% 14.3% 0.0% 0.1% -7.2% -37.5K 416.1K -3.2K 0.00 112.82 0 0 109 680
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