CBU Options History — December 2012

In December 2012, CBU traded between $26.25 and $27.62. ATM implied volatility averaged 24.9%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 7.0% (HV 20d: 17.9%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.00.

Notable Days

  • 2012-12-12: Highest Volume — 5 contracts
  • 2012-12-10: Largest IV spike — 47.5% change
  • 2012-12-10: Highest IV Rank — 47.8%
  • 2012-12-06: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.13$26.25$27.62$27.14$27.36
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV24.9%18.8%38.2%28.9%25.8%
Expected Move6.5%4.7%8.5%8.3%7.4%
HV 20d17.9%14.4%20.5%20.3%19.2%
HV 60d18.0%17.1%19.0%17.5%19.0%
IV Rank19.4%6.4%47.8%27.9%21.2%
IV Percentile39.5%3.2%94.8%71.8%53.6%
Term Structure-1.9%-15.1%8.3%-12.2%-8.6%
Skew 25d0.7%-4.6%8.6%-2.9%0.0%
Skew 10d2.4%-3.7%14.4%6.3%0.4%
Call IV 25d20.9%16.3%26.5%25.1%23.9%
Put IV 25d21.6%17.0%26.2%22.2%23.9%
Bid-Ask Spread %107.0493.12109.76108.04109.53
Gamma HHI0.460.440.470.460.46
Net GEX-29.5K-32.9K-25.6K-30.0K-29.4K
Net DEX414.8K348.3K491.8K454.7K374.4K
Net VEX-3.5K-3.9K-3.1K-3.9K-3.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume0.550500
Total OI774770780770775

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-12-03$27.14$25.0028.9%8.3%20.3%27.9%0.0%-2.9%-12.2%-30.0K454.7K-3.9K0.00108.040067703
2012-12-04$26.97$25.0028.5%8.2%20.5%27.1%0.0%-4.6%-13.4%-30.8K445.0K-3.7K0.00108.440067703
2012-12-05$27.21$25.0029.2%8.4%19.9%28.5%0.0%-3.4%-12.5%-30.2K453.9K-3.8K0.00108.150067703
2012-12-06$27.39$25.0029.7%8.5%14.4%29.7%0.0%-0.9%-15.1%-29.8K433.6K-3.7K0.00108.940067703
2012-12-07$27.18$0.0025.9%6.0%14.4%21.5%0.0%6.5%7.0%-30.6K441.3K-3.7K0.00104.470067703
2012-12-10$27.30$0.0038.2%6.9%14.5%47.8%0.0%8.3%-2.2%-30.3K441.0K-3.7K0.00105.230067703
2012-12-11$27.48$0.0035.2%5.7%14.5%41.4%0.0%-0.6%3.0%-29.3K411.3K-3.6K0.00109.160067703
2012-12-12$26.89$0.0027.3%4.7%16.1%24.5%0.0%-0.5%8.3%-29.6K431.0K-3.6K0.00107.845067703
2012-12-13$26.40$0.0022.3%6.4%16.8%13.8%0.0%1.8%3.1%-32.4K476.3K-3.8K0.00104.223072703
2012-12-14$26.25$0.0023.0%6.6%16.9%15.3%0.0%1.4%2.3%-32.9K491.8K-3.7K0.00103.940075703
2012-12-17$26.96$0.0022.1%6.3%19.2%13.2%0.0%8.6%8.3%-31.3K444.5K-3.6K0.0093.120075703
2012-12-18$27.44$0.0019.9%5.7%19.4%8.7%0.0%2.1%-0.9%-29.5K378.5K-3.4K0.00109.760075703
2012-12-19$27.38$0.0020.6%5.9%19.5%10.2%0.0%-0.0%-4.0%-25.7K348.3K-3.4K0.00108.260075703
2012-12-20$27.62$0.0019.1%5.5%19.6%6.9%0.0%1.1%6.6%-25.6K355.9K-3.4K0.00108.542075703
2012-12-21$27.38$0.0020.7%5.9%19.0%10.4%0.0%0.3%-4.2%-26.9K370.6K-3.4K0.00109.390077703
2012-12-24$27.28$0.0023.2%6.6%19.0%15.6%0.0%0.3%-7.8%-27.7K367.7K-3.2K0.00109.190077698
2012-12-26$27.07$0.0018.8%5.4%18.6%6.4%0.0%-0.8%0.1%-28.3K379.3K-3.3K0.00107.931077698
2012-12-27$27.08$0.0020.5%5.9%18.6%9.9%0.0%0.0%0.0%-29.1K396.9K-3.3K0.00108.250077698
2012-12-28$26.91$0.0019.6%5.6%18.4%8.0%0.0%-2.0%4.3%-29.6K400.6K-3.3K0.00108.340077698
2012-12-31$27.36$0.0025.8%7.4%19.2%21.2%0.0%0.0%-8.6%-29.4K374.4K-3.1K0.00109.530077698