CBU Options History — November 2012 In November 2012, CBU traded between $25.66 and $27.74. ATM implied volatility averaged 26.8%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 6.3% (HV 20d: 20.5%). 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 10 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2012-11-19 : Highest Volume — 600 contracts2012-11-12 : Largest IV spike — 31.0% change2012-11-06 : Highest IV Rank — 35.2%2012-11-12 : Largest Expected Move — 8.2%Monthly Statistics Metric Avg Min Max Open Close Price $26.61 $25.66 $27.74 $27.74 $26.88 Max Pain $25.48 $25.00 $30.00 $30.00 $25.00 ATM IV 26.8% 23.4% 32.3% 23.4% 25.2% Expected Move 7.5% 6.7% 8.2% 6.7% 7.2% HV 20d 20.5% 16.5% 22.8% 16.5% 21.7% HV 60d 16.8% 14.1% 17.6% 14.1% 17.4% IV Rank 23.3% 16.2% 35.2% 16.2% 20.1% IV Percentile 53.3% 30.6% 80.6% 30.6% 44.4% Term Structure -0.4% -10.1% 7.5% 3.6% -8.5% VWIV 25.3% 25.3% 25.3% 25.3% 25.3% Skew 25d 2.8% -7.4% 8.2% 4.0% -7.4% Skew 10d 3.4% -2.5% 8.6% 6.2% 1.2% Call IV 25d 23.0% 18.7% 26.6% 23.1% 26.6% Put IV 25d 25.9% 19.2% 29.1% 27.1% 19.2% Bid-Ask Spread % 100.22 93.47 109.01 109.01 108.23 Gamma HHI 0.68 0.45 0.96 0.55 0.46 Net GEX -48.4K -147.8K -3.0K -13.1K -30.8K Net DEX 305.6K 85.5K 551.5K 86.1K 488.5K Net VEX -2.1K -4.2K -629 -1.1K -4.0K 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 29.714 0 600 0 2 Total OI 807.143 167 892 888 768
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 2012-11-01 $27.74 $30.00 23.4% 6.7% 16.5% 16.2% 0.0% 4.0% 3.6% -13.1K 86.1K -1.1K 0.00 109.01 0 0 172 716 2012-11-02 $27.09 $30.00 24.5% 7.0% 18.4% 18.4% 0.0% -1.7% -4.8% -30.4K 138.1K -1.0K 0.00 108.12 0 0 172 716 2012-11-05 $27.08 $25.00 25.5% 7.8% 17.8% 20.7% 0.0% 8.2% 1.2% -26.4K 137.5K -887 0.00 99.15 0 0 172 716 2012-11-06 $27.50 $25.00 32.3% 7.1% 18.8% 35.2% 0.0% 3.9% 7.5% -17.2K 105.9K -916 0.00 96.79 0 0 172 716 2012-11-07 $26.48 $25.00 25.1% 7.3% 22.8% 19.8% 25.3% 6.2% 1.2% -56.7K 207.2K -1.0K 0.00 96.92 0 4 172 716 2012-11-08 $26.29 $25.00 23.5% 7.6% 22.8% 16.4% 0.0% 5.6% 0.2% -67.1K 223.8K -1.0K 0.00 96.23 0 0 172 720 2012-11-09 $26.31 $25.00 23.7% 7.8% 22.6% 16.7% 0.0% 5.0% -0.1% -60.7K 177.4K -943 0.00 95.70 0 0 172 710 2012-11-12 $26.33 $25.00 31.0% 8.2% 22.6% 32.4% 0.0% 5.9% -0.9% -57.6K 167.3K -879 0.00 94.13 0 5 172 710 2012-11-13 $26.02 $25.00 30.5% 7.4% 19.9% 31.4% 0.0% 2.4% 1.7% -88.0K 228.3K -929 0.00 95.71 0 0 172 715 2012-11-14 $25.66 $25.00 30.8% 7.5% 20.0% 31.9% 0.0% 0.4% 1.3% -147.8K 359.6K -998 0.00 93.47 0 0 172 715 2012-11-15 $25.82 $25.00 27.9% 8.0% 19.9% 25.6% 0.0% 0.9% -0.1% -116.8K 284.6K -892 0.00 93.58 0 0 172 715 2012-11-16 $25.94 $25.00 28.0% 8.0% 19.4% 26.0% 0.0% 1.8% 0.2% -82.8K 191.5K -752 0.00 94.32 0 0 172 715 2012-11-19 $26.34 $25.00 26.7% 7.7% 20.1% 23.3% 0.0% 3.3% -1.3% -3.0K 85.5K -629 0.00 100.34 0 600 66 101 2012-11-20 $26.39 $25.00 26.8% 7.7% 20.2% 23.3% 0.0% 2.9% -1.7% -32.4K 551.5K -4.2K 0.00 97.74 11 0 66 701 2012-11-21 $26.41 $25.00 25.9% 7.4% 19.8% 21.5% 0.0% 2.4% -2.2% -33.2K 551.1K -4.2K 0.00 102.33 0 0 65 701 2012-11-23 $26.90 $25.00 26.7% 7.7% 21.0% 23.2% 0.0% 4.4% -1.4% -31.3K 497.6K -4.0K 0.00 103.72 2 0 65 701 2012-11-26 $27.07 $25.00 25.3% 7.3% 21.1% 20.3% 0.0% 7.5% 3.3% -30.9K 479.8K -4.0K 0.00 103.65 0 0 67 701 2012-11-27 $26.73 $25.00 27.2% 7.8% 21.5% 24.2% 0.0% 3.5% -3.2% -30.3K 470.8K -3.9K 0.00 103.10 0 0 67 701 2012-11-28 $26.81 $25.00 25.1% 7.2% 21.6% 19.8% 0.0% 5.9% 4.8% -31.6K 509.9K -4.0K 0.00 104.46 0 0 67 701 2012-11-29 $27.06 $25.00 26.8% 7.7% 21.7% 23.4% 0.0% -6.0% -10.1% -29.4K 475.6K -4.0K 0.00 107.89 0 0 67 701 2012-11-30 $26.88 $25.00 25.2% 7.2% 21.7% 20.1% 0.0% -7.4% -8.5% -30.8K 488.5K -4.0K 0.00 108.23 0 2 67 701
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