CBU Options History — January 2013 In January 2013, CBU traded between $27.60 and $28.85. ATM implied volatility averaged 19.0%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 1.6% (HV 20d: 20.5%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2013-01-25 : Highest Volume — 48 contracts2013-01-24 : Largest IV spike — 25.1% change2013-01-09 : Highest IV Rank — 19.1%2013-01-09 : Largest Expected Move — 7.1%Monthly Statistics Metric Avg Min Max Open Close Price $28.33 $27.60 $28.85 $28.35 $28.40 Max Pain $30.00 $30.00 $30.00 $30.00 $30.00 ATM IV 19.0% 15.5% 24.8% 17.8% 17.3% Expected Move 5.5% 4.4% 7.1% 5.1% 4.9% HV 20d 20.5% 15.0% 22.8% 22.6% 15.0% HV 60d 19.8% 19.3% 20.4% 20.3% 19.3% IV Rank 7.0% 0.0% 19.1% 4.1% 3.7% IV Percentile 9.6% 0.0% 46.0% 1.6% 3.6% Term Structure 3.5% -3.1% 8.1% 4.0% 2.6% Skew 25d 2.6% -5.7% 18.9% 5.9% 0.3% Skew 10d 2.4% -7.4% 20.4% 10.7% 4.4% Call IV 25d 21.0% 16.9% 24.8% 20.7% 22.0% Put IV 25d 23.6% 18.9% 41.3% 26.6% 22.3% Bid-Ask Spread % 105.53 97.93 109.57 109.31 97.93 Gamma HHI 0.39 0.37 0.43 0.40 0.41 Net GEX -17.0K -25.6K -10.7K -20.6K -16.7K Net DEX 213.8K 143.7K 293.7K 264.3K 228.6K Net VEX -2.5K -2.8K -2.2K -2.7K -2.5K 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 5.524 0 48 16 6 Total OI 809.19 775 866 775 866
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 2013-01-02 $28.35 $0.00 17.8% 5.1% 22.6% 4.1% 0.0% 5.9% 4.0% -20.6K 264.3K -2.7K 0.00 109.31 16 0 77 698 2013-01-03 $28.57 $0.00 17.1% 4.9% 22.5% 2.7% 0.0% 8.4% 5.7% -16.6K 199.0K -2.8K 0.00 108.21 7 0 93 698 2013-01-04 $28.54 $30.00 18.8% 6.8% 22.4% 6.3% 0.0% -2.3% -1.3% -15.5K 176.0K -2.6K 0.00 98.26 0 0 100 698 2013-01-07 $28.23 $30.00 21.7% 6.9% 22.8% 12.5% 0.0% -2.8% 0.1% -18.3K 218.0K -2.8K 0.00 101.66 0 0 100 698 2013-01-08 $28.17 $30.00 23.0% 6.6% 22.6% 15.3% 0.0% -2.0% 1.3% -19.3K 231.8K -2.7K 0.00 104.51 0 2 100 698 2013-01-09 $28.15 $30.00 24.8% 7.1% 22.6% 19.1% 0.0% -3.1% -0.3% -19.2K 233.4K -2.7K 0.00 101.76 0 0 100 700 2013-01-10 $28.09 $30.00 19.5% 5.6% 22.6% 7.8% 0.0% -3.6% 1.0% -18.2K 223.7K -2.6K 0.00 103.81 3 0 100 700 2013-01-11 $27.60 $30.00 22.3% 6.4% 22.1% 13.7% 0.0% -5.7% -3.1% -25.6K 293.7K -2.8K 0.00 103.66 0 0 101 700 2013-01-14 $27.89 $30.00 19.7% 5.7% 21.0% 8.3% 0.0% 3.5% 6.7% -22.6K 273.4K -2.8K 0.00 109.57 0 0 101 700 2013-01-15 $28.11 $30.00 16.1% 4.6% 20.8% 0.4% 0.0% 2.6% 7.0% -18.5K 236.9K -2.5K 0.00 108.40 0 0 101 700 2013-01-16 $27.90 $30.00 16.3% 4.7% 19.2% 0.8% 0.0% 1.4% 6.9% -20.2K 261.9K -2.6K 0.00 107.72 2 0 101 700 2013-01-17 $28.29 $30.00 15.5% 4.4% 18.9% 0.0% 0.0% 3.5% 8.1% -16.8K 223.4K -2.5K 0.00 108.17 0 0 103 700 2013-01-18 $28.49 $30.00 18.7% 5.4% 18.9% 6.8% 0.0% -0.8% 1.5% -14.3K 185.3K -2.4K 0.00 103.82 0 0 103 700 2013-01-22 $28.78 $30.00 21.9% 6.3% 19.0% 13.6% 0.0% 18.9% 1.8% -11.0K 143.7K -2.3K 0.00 103.29 2 0 103 693 2013-01-23 $28.24 $30.00 17.1% 4.9% 20.1% 3.3% 0.0% 3.0% 6.7% -16.4K 195.6K -2.4K 0.00 107.64 6 0 105 693 2013-01-24 $28.42 $30.00 21.4% 6.1% 20.0% 12.4% 0.0% -1.1% 0.5% -13.9K 148.2K -2.3K 0.00 103.88 5 0 111 693 2013-01-25 $28.55 $30.00 16.7% 4.8% 19.7% 2.5% 0.0% 6.0% 6.6% -12.0K 159.1K -2.2K 0.00 108.25 0 48 106 693 2013-01-28 $28.75 $30.00 16.6% 4.8% 19.7% 2.4% 0.0% 7.8% 7.1% -14.7K 197.2K -2.4K 0.00 108.50 0 0 106 741 2013-01-29 $28.85 $30.00 17.5% 5.0% 19.4% 4.3% 0.0% 8.7% 5.5% -10.7K 179.3K -2.3K 0.00 109.48 0 19 106 741 2013-01-30 $28.56 $30.00 18.4% 5.3% 19.4% 6.2% 0.0% 6.5% 4.5% -15.0K 216.9K -2.6K 0.00 108.32 0 0 106 760 2013-01-31 $28.40 $30.00 17.3% 4.9% 15.0% 3.7% 0.0% 0.3% 2.6% -16.7K 228.6K -2.5K 0.00 97.93 0 6 106 760
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