CBU Options History — August 2012

In August 2012, CBU traded between $26.81 and $28.50. ATM implied volatility averaged 27.4%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 8.5% (HV 20d: 18.9%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 0.11.

Notable Days

  • 2012-08-27: Highest Volume — 50 contracts
  • 2012-08-13: Largest IV spike — 58.4% change
  • 2012-08-13: Highest IV Rank — 100.0%
  • 2012-08-14: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.84$26.81$28.50$26.96$28.04
Max Pain$29.25$25.00$30.00$25.00$30.00
ATM IV27.4%15.9%62.6%25.5%21.3%
Expected Move6.0%4.5%7.5%7.3%6.1%
HV 20d18.9%11.3%22.2%17.9%11.3%
HV 60d19.9%18.2%21.2%20.8%18.2%
IV Rank24.5%0.0%100.0%18.7%11.7%
IV Percentile30.7%0.0%100.0%24.2%10.7%
Term Structure2.6%-7.3%9.9%-7.3%1.4%
VWIV24.8%22.7%27.0%22.7%27.0%
Skew 25d4.1%-4.5%12.4%0.5%-3.2%
Skew 10d2.8%-6.4%9.9%-1.0%-1.0%
Call IV 25d21.8%15.2%29.8%26.2%24.7%
Put IV 25d25.9%21.2%30.4%26.7%21.5%
Bid-Ask Spread %109.94104.44113.41113.41111.47
Gamma HHI0.820.650.930.930.67
Net GEX-34.8K-40.4K-24.7K-39.4K-28.2K
Net DEX356.9K208.8K522.4K469.9K288.9K
Net VEX-3.0K-3.4K-2.6K-3.2K-3.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.110.000.750.750.00
Total Volume7.69605000
Total OI797.13727874789802

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-08-01$26.96$25.0025.5%7.3%17.9%18.7%0.0%0.5%-7.3%-39.4K469.9K-3.2K0.00113.4100109680
2012-08-02$26.81$25.0026.0%7.5%18.0%19.9%0.0%-2.2%2.0%-40.4K522.4K-3.4K0.00112.0700109680
2012-08-03$27.78$25.0023.1%6.6%22.2%12.4%0.0%6.3%-4.2%-35.8K410.7K-3.0K0.00113.2100109680
2012-08-06$27.75$0.0028.8%5.9%21.9%27.2%0.0%11.9%4.5%-34.9K367.4K-2.9K0.75109.052015109680
2012-08-07$27.83$0.0026.6%6.0%21.7%21.4%0.0%12.4%5.0%-33.8K356.5K-3.1K0.00110.1100129695
2012-08-08$27.75$0.0030.7%5.8%21.7%32.1%22.7%11.1%4.7%-35.9K382.6K-3.1K0.00109.81010129695
2012-08-09$27.58$30.0033.5%5.8%21.8%39.2%0.0%9.7%4.5%-36.6K427.1K-3.2K0.00110.0000129705
2012-08-10$27.56$30.0036.1%5.9%20.1%46.0%0.0%10.8%7.3%-37.5K428.6K-3.1K0.00108.49150129705
2012-08-13$27.53$30.0057.2%7.4%19.8%100.0%0.0%2.1%-4.5%-36.8K429.7K-3.2K0.00106.9800144705
2012-08-14$27.54$30.0062.6%7.5%19.6%100.0%0.0%2.7%-4.8%-35.7K411.0K-3.2K0.00105.0700144705
2012-08-15$27.82$30.0044.6%6.0%19.9%59.3%0.0%11.5%5.3%-38.5K382.2K-2.9K0.00109.3100144705
2012-08-16$28.01$30.0022.9%6.6%19.2%10.3%0.0%-4.5%-3.8%-35.7K353.0K-2.9K0.00107.75025144705
2012-08-17$28.27$30.0022.0%6.3%18.8%8.3%24.8%-2.1%-2.2%-39.5K311.3K-2.7K0.00107.94150144730
2012-08-20$28.33$30.0015.9%4.5%18.3%0.0%0.0%7.2%9.1%-35.9K297.0K-2.6K0.00111.251058669
2012-08-21$28.36$30.0023.4%6.7%18.1%16.2%27.0%-3.7%-1.8%-30.8K317.7K-3.0K0.00104.4414059669
2012-08-22$28.11$30.0016.9%4.8%18.3%2.1%0.0%4.5%7.7%-32.4K324.3K-2.9K0.00110.360071669
2012-08-23$27.71$30.0017.4%5.0%19.2%3.2%0.0%5.1%7.0%-34.2K334.0K-2.9K0.00111.140071669
2012-08-24$27.77$30.0020.7%5.9%17.5%10.4%0.0%-0.1%5.9%-35.2K362.9K-2.9K0.00111.490071669
2012-08-27$27.98$30.0018.6%5.3%17.6%6.0%0.0%5.0%9.9%-33.4K346.8K-2.9K0.00110.9550071669
2012-08-28$28.27$30.0017.4%5.0%17.9%3.3%0.0%7.0%8.6%-33.4K234.2K-2.7K0.00110.8900121669
2012-08-29$28.50$30.0020.0%5.7%16.1%8.9%0.0%3.4%2.2%-24.7K208.8K-2.8K0.00111.8950121669
2012-08-30$28.17$30.0018.8%5.4%16.7%6.2%0.0%-0.5%4.3%-30.5K242.8K-2.7K0.00111.6407126669
2012-08-31$28.04$30.0021.3%6.1%11.3%11.7%0.0%-3.2%1.4%-28.2K288.9K-3.1K0.00111.4700126676