CBU Options History — September 2012

In September 2012, CBU traded between $28.19 and $29.30. ATM implied volatility averaged 22.6%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 8.3% (HV 20d: 14.3%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.00.

Notable Days

  • 2012-09-10: Highest Volume — 25 contracts
  • 2012-09-12: Largest IV spike — 14.4% change
  • 2012-09-12: Highest IV Rank — 20.1%
  • 2012-09-28: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.73$28.19$29.30$28.42$28.19
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV22.6%19.9%25.3%22.1%24.6%
Expected Move6.5%5.7%7.1%6.3%7.1%
HV 20d14.3%12.2%15.7%12.2%14.9%
HV 60d17.1%16.1%18.3%18.3%16.4%
IV Rank14.4%8.6%20.1%13.4%18.7%
IV Percentile17.7%4.8%31.7%13.1%31.7%
Term Structure0.2%-6.1%2.3%-6.1%-3.1%
Skew 25d0.7%-2.2%6.6%3.1%0.5%
Skew 10d-1.6%-5.6%5.5%3.3%-4.1%
Call IV 25d24.8%23.3%27.7%25.5%27.1%
Put IV 25d25.5%21.5%30.9%28.6%27.6%
Bid-Ask Spread %108.68102.16114.24114.24108.28
Gamma HHI0.560.500.650.640.56
Net GEX-16.2K-26.7K-6.5K-26.3K-16.8K
Net DEX80.1K-36.5K240.6K218.6K60.2K
Net VEX-2.2K-2.7K-1.8K-2.6K-2.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume2.52602500
Total OI819.263802834802826

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-09-04$28.42$30.0022.1%6.3%12.2%13.4%0.0%3.1%-6.1%-26.3K218.6K-2.6K0.00114.2400126676
2012-09-05$28.33$30.0022.3%6.4%12.3%13.7%0.0%2.1%0.0%-26.7K240.6K-2.7K0.00113.6100126676
2012-09-06$28.80$30.0020.6%5.9%13.4%10.1%0.0%6.6%1.5%-21.6K165.2K-2.6K0.00113.6300126676
2012-09-07$28.99$0.0020.9%6.7%13.1%10.8%0.0%-0.5%1.3%-20.5K145.3K-2.4K0.00108.2707126676
2012-09-10$28.67$0.0022.9%5.8%13.9%15.2%0.0%-1.8%0.7%-20.5K148.4K-2.2K0.00109.23250126676
2012-09-11$28.73$0.0022.1%6.9%13.9%13.3%0.0%-1.0%-0.5%-21.2K141.3K-2.4K0.00106.0800148676
2012-09-12$28.64$0.0025.3%6.9%14.0%20.1%0.0%-1.9%0.2%-20.6K113.0K-2.4K0.00106.0600148676
2012-09-13$28.95$0.0023.6%6.8%14.1%16.5%0.0%0.1%1.3%-16.9K83.4K-2.3K0.00102.1600148676
2012-09-14$29.30$0.0022.9%6.6%14.4%15.2%0.0%0.8%0.9%-9.3K-12.5K-2.0K0.00102.5300148676
2012-09-17$28.82$0.0024.3%7.0%15.6%18.0%0.0%-0.5%0.5%-13.2K46.6K-2.2K0.00107.3650148676
2012-09-18$28.88$0.0022.7%6.5%15.6%14.7%0.0%1.5%1.3%-11.8K32.4K-2.0K0.00110.9400153676
2012-09-19$28.81$0.0022.7%6.5%15.7%14.6%0.0%1.1%1.1%-12.5K35.1K-2.0K0.00110.7050153676
2012-09-20$28.76$0.0022.6%6.5%15.3%14.4%0.0%1.8%1.6%-13.2K42.7K-2.1K0.00109.3400158676
2012-09-21$28.78$0.0019.9%5.7%14.1%8.6%0.0%0.1%2.3%-12.1K27.6K-2.0K0.00109.0710158676
2012-09-24$29.02$0.0021.6%6.2%14.3%12.4%0.0%1.6%2.1%-6.5K-36.5K-1.8K0.00108.6000155666
2012-09-25$28.70$0.0021.9%6.3%14.9%12.8%0.0%0.7%-0.9%-11.0K7.9K-1.9K0.00109.4800155666
2012-09-26$28.54$0.0023.9%6.9%14.7%17.2%0.0%-2.2%-2.0%-13.6K33.7K-1.9K0.00105.9800155666
2012-09-27$28.62$0.0022.3%6.4%14.5%13.7%0.0%1.8%0.6%-13.2K29.2K-2.0K0.00109.4405155666
2012-09-28$28.19$0.0024.6%7.1%14.9%18.7%0.0%0.5%-3.1%-16.8K60.2K-2.0K0.00108.2800155671