CBU Options History — June 2013 In June 2013, CBU traded between $28.71 and $30.85. ATM implied volatility averaged 19.6%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 0.4% (HV 20d: 19.1%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2013-06-27 : Highest Volume — 100 contracts2013-06-06 : Largest IV spike — 25.6% change2013-06-17 : Highest IV Rank — 20.3%2013-06-17 : Largest Expected Move — 6.5%Monthly Statistics Metric Avg Min Max Open Close Price $29.55 $28.71 $30.85 $29.74 $30.85 Max Pain $30.00 $30.00 $30.00 $30.00 $30.00 ATM IV 19.6% 14.7% 22.6% 18.0% 21.0% Expected Move 5.7% 4.2% 6.5% 5.2% 6.0% HV 20d 19.1% 15.3% 21.7% 16.9% 20.5% HV 60d 19.6% 18.3% 20.6% 18.3% 20.3% IV Rank 14.4% 4.7% 20.3% 11.4% 17.3% IV Percentile 28.5% 2.0% 52.4% 17.1% 40.5% Term Structure 2.2% 0.2% 4.5% 1.9% 2.0% VWIV 20.4% 19.5% 21.1% 19.5% 20.6% Skew 25d 4.4% -0.3% 15.1% 15.1% 1.4% Skew 10d 4.9% -2.2% 14.1% 13.9% 14.1% Call IV 25d 21.6% 15.6% 23.7% 20.2% 23.4% Put IV 25d 26.0% 21.1% 35.3% 35.3% 24.9% Bid-Ask Spread % 98.59 92.73 108.41 98.68 103.02 Gamma HHI 0.92 0.88 0.96 0.96 0.96 Net GEX 30.0K 18.7K 42.6K 42.4K 35.4K Net DEX -334.7K -814.0K -142.6K -440.4K -814.0K Net VEX -2.8K -3.1K -2.6K -2.8K -3.0K 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 13.6 0 100 0 15 Total OI 595.9 531 685 531 685
Daily Data (20 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 2013-06-03 $29.74 $30.00 18.0% 5.2% 16.9% 11.4% 0.0% 15.1% 1.9% 42.4K -440.4K -2.8K 0.00 98.68 0 0 422 109 2013-06-04 $29.53 $30.00 19.6% 5.6% 17.1% 14.5% 19.5% 5.8% 0.8% 41.1K -400.2K -2.8K 0.00 104.54 5 0 422 109 2013-06-05 $29.17 $30.00 14.7% 4.2% 15.5% 4.7% 0.0% 5.4% 4.3% 39.6K -361.9K -2.8K 0.00 108.41 0 0 427 109 2013-06-06 $29.36 $30.00 18.4% 5.3% 15.6% 12.2% 0.0% 13.6% 4.5% 42.6K -354.0K -2.6K 0.00 108.15 0 80 427 109 2013-06-07 $29.60 $30.00 16.8% 5.7% 15.3% 9.0% 0.0% 0.4% 0.6% 31.2K -275.0K -3.1K 0.00 94.42 0 0 427 189 2013-06-10 $29.88 $30.00 18.2% 5.5% 15.5% 11.7% 0.0% 5.9% 1.4% 32.0K -320.0K -3.1K 0.00 95.92 0 0 427 189 2013-06-11 $29.37 $30.00 15.9% 5.8% 16.8% 7.2% 0.0% 0.7% 1.1% 29.6K -226.7K -3.0K 0.00 97.12 0 0 427 189 2013-06-12 $28.80 $30.00 18.6% 5.7% 18.0% 12.5% 0.0% 0.6% 0.8% 27.0K -142.6K -2.8K 0.00 99.62 0 2 427 189 2013-06-13 $29.35 $30.00 19.0% 5.4% 19.4% 13.3% 0.0% 7.0% 0.2% 33.4K -230.7K -2.9K 0.00 95.44 0 0 427 189 2013-06-14 $28.71 $30.00 19.6% 5.6% 20.9% 14.5% 0.0% 1.4% 3.6% 25.2K -154.4K -2.8K 0.00 100.53 4 0 427 189 2013-06-17 $28.89 $30.00 22.6% 6.5% 20.7% 20.3% 0.0% -0.3% 1.0% 25.2K -181.4K -2.8K 0.00 97.84 0 0 423 189 2013-06-18 $29.33 $30.00 21.2% 6.1% 21.5% 17.7% 0.0% 6.7% 2.7% 27.5K -257.5K -2.8K 0.00 94.69 0 0 423 189 2013-06-19 $29.15 $30.00 22.1% 6.3% 21.6% 19.4% 0.0% 0.7% 2.2% 26.0K -235.1K -2.8K 0.00 99.83 0 0 423 189 2013-06-20 $29.16 $30.00 21.1% 6.1% 20.7% 17.5% 21.1% 1.6% 2.5% 25.8K -219.5K -2.7K 0.00 97.39 4 0 423 189 2013-06-21 $29.63 $30.00 19.8% 5.7% 21.4% 14.9% 0.0% 7.7% 3.9% 34.0K -317.8K -2.8K 0.00 92.73 43 0 427 189 2013-06-24 $29.52 $30.00 21.8% 6.2% 21.1% 18.8% 0.0% 1.6% 2.5% 18.7K -300.2K -2.7K 0.00 95.42 12 0 387 189 2013-06-25 $30.11 $30.00 20.6% 5.9% 21.7% 16.6% 20.6% 7.8% 2.6% 19.6K -426.9K -2.8K 0.00 95.85 5 0 395 189 2013-06-26 $30.22 $30.00 21.0% 6.0% 20.9% 17.2% 0.0% 1.4% 2.9% 20.8K -485.3K -2.8K 0.00 94.70 0 2 400 189 2013-06-27 $30.60 $30.00 20.9% 6.0% 21.0% 17.1% 0.0% 4.5% 1.8% 22.5K -549.4K -2.7K 0.00 97.58 100 0 400 190 2013-06-28 $30.85 $30.00 21.0% 6.0% 20.5% 17.3% 0.0% 1.4% 2.0% 35.4K -814.0K -3.0K 0.00 103.02 15 0 495 190
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