CBU Options History — April 2013

In April 2013, CBU traded between $28.09 and $29.61. ATM implied volatility averaged 17.2%, placing in the 6.8% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 0.6% (HV 20d: 16.7%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2013-04-23: Highest Volume — 21 contracts
  • 2013-04-10: Largest IV spike — 49.0% change
  • 2013-04-11: Highest IV Rank — 19.6%
  • 2013-04-01: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.78$28.09$29.61$29.20$28.64
Max Pain$25.91$25.00$30.00$30.00$25.00
ATM IV17.2%12.3%24.0%24.0%14.7%
Expected Move5.1%3.5%6.9%6.9%4.2%
HV 20d16.7%10.7%20.6%10.7%20.0%
HV 60d15.1%13.8%15.9%13.8%15.5%
IV Rank6.8%0.0%19.6%18.0%4.7%
IV Percentile11.8%0.0%53.6%53.6%1.6%
Term Structure3.5%-1.9%9.1%-1.9%7.7%
VWIV19.1%12.1%27.9%19.9%12.9%
Skew 25d5.3%-0.5%12.9%11.3%9.1%
Skew 10d5.3%-1.6%14.2%11.9%14.2%
Call IV 25d19.2%13.0%25.8%25.8%16.2%
Put IV 25d24.5%18.7%37.1%37.1%25.3%
Bid-Ask Spread %103.7792.81109.48100.65109.09
Gamma HHI0.740.570.920.600.85
Net GEX23.2K14.3K33.0K18.3K26.0K
Net DEX-127.8K-272.6K-17.1K-211.0K-73.9K
Net VEX-1.7K-2.2K-1.3K-2.0K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume5.045021220
Total OI1,005.5459891,0339891,026

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-04-01$29.20$30.0024.0%6.9%10.7%18.0%0.0%11.3%-1.9%18.3K-211.0K-2.0K0.00100.6502278711
2013-04-02$28.99$30.0020.4%5.9%11.1%10.5%0.0%0.3%-1.1%16.3K-182.4K-2.2K0.00102.8200278713
2013-04-03$28.59$30.0014.8%4.2%12.1%0.0%0.0%8.3%7.1%14.6K-113.4K-2.0K0.00108.5400278713
2013-04-04$29.02$30.0019.6%5.6%13.0%10.1%0.0%12.9%5.1%18.2K-180.6K-1.9K0.00109.4000278713
2013-04-05$29.01$25.0016.3%5.7%12.9%3.0%19.9%6.0%1.4%28.4K-179.2K-1.8K0.0095.4020278713
2013-04-08$29.27$25.0019.8%6.2%13.3%10.4%0.0%4.9%-0.4%29.2K-218.8K-1.9K0.0096.6500278713
2013-04-09$29.14$25.0014.0%6.6%13.2%0.0%0.0%-0.5%-1.1%21.4K-204.8K-2.1K0.0096.0600278713
2013-04-10$29.61$25.0020.9%5.9%14.4%14.1%20.8%5.7%1.2%33.0K-272.6K-1.9K0.0092.81110278713
2013-04-11$29.18$25.0023.5%6.7%15.4%19.6%0.0%-0.3%-1.1%24.3K-226.4K-2.0K0.0095.4300289713
2013-04-12$29.00$25.0021.4%6.1%14.9%15.2%0.0%-0.1%0.3%25.2K-177.4K-1.9K0.0098.8100289713
2013-04-15$28.09$25.0015.2%4.4%18.2%2.5%0.0%0.6%5.2%14.3K-44.7K-1.6K0.00107.5700289713
2013-04-16$28.47$25.0015.3%4.4%19.1%2.5%0.0%4.1%6.1%23.4K-79.0K-1.6K0.00108.74010289713
2013-04-17$28.13$25.0015.4%4.4%19.0%2.9%0.0%2.3%5.3%14.7K-17.1K-1.5K0.00107.5205289723
2013-04-18$28.17$25.0015.9%4.6%18.9%3.9%0.0%2.6%4.1%15.7K-23.2K-1.5K0.00108.2008289718
2013-04-19$28.44$25.0015.4%4.4%19.1%2.9%0.0%4.8%6.4%21.8K-50.1K-1.5K0.00108.8005289720
2013-04-22$28.40$25.0016.1%4.6%19.1%4.4%0.0%4.4%5.8%21.2K-43.0K-1.5K0.00108.0705282725
2013-04-23$28.98$25.0020.8%6.0%20.6%13.9%21.1%10.7%1.1%31.8K-127.5K-1.7K0.00105.79210282730
2013-04-24$28.77$25.0012.3%3.5%20.6%0.0%27.9%9.2%9.1%30.2K-111.3K-1.5K0.00109.37200303730
2013-04-25$28.75$25.0016.7%4.8%20.4%8.7%0.0%2.3%1.4%28.9K-131.3K-1.6K0.0095.2000298730
2013-04-26$28.57$25.0012.9%3.7%20.5%1.1%12.1%7.5%8.0%24.4K-62.6K-1.4K0.00108.4920298730
2013-04-29$28.76$25.0013.2%3.8%20.1%1.8%0.0%9.5%8.3%28.8K-80.8K-1.4K0.00109.4800296730
2013-04-30$28.64$25.0014.7%4.2%20.0%4.7%12.9%9.1%7.7%26.0K-73.9K-1.3K0.00109.09200296730