CBU Options History — September 2013 In September 2013, CBU traded between $33.16 and $34.12. ATM implied volatility averaged 17.6%, placing in the 20.3% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 1.5% (HV 20d: 16.1%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2013-09-04 : Highest Volume — 12 contracts2013-09-19 : Largest IV drop — 37.4% change2013-09-18 : Highest IV Rank — 33.2%2013-09-18 : Largest Expected Move — 6.0%Monthly Statistics Metric Avg Min Max Open Close Price $33.65 $33.16 $34.12 $33.34 $34.12 Max Pain $35.00 $35.00 $35.00 $35.00 $35.00 ATM IV 17.6% 13.1% 20.9% 15.7% 18.1% Expected Move 5.1% 3.8% 6.0% 4.5% 5.2% HV 20d 16.1% 13.3% 17.6% 15.9% 13.3% HV 60d 16.3% 14.6% 17.9% 17.9% 14.6% IV Rank 20.3% 3.0% 33.2% 12.9% 22.2% IV Percentile 21.9% 0.8% 47.6% 6.0% 27.8% Term Structure 1.8% -1.1% 5.9% 1.9% 2.1% Skew 25d 2.5% -2.3% 20.1% 2.2% 20.1% Skew 10d 0.7% -4.5% 20.2% 1.7% 20.2% Call IV 25d 18.7% 13.9% 21.3% 19.1% 18.5% Put IV 25d 21.1% 16.7% 38.6% 21.4% 38.6% Bid-Ask Spread % 102.87 96.32 107.64 106.75 103.29 Gamma HHI 0.57 0.46 0.65 0.52 0.60 Net GEX 11.2K 6.7K 18.8K 16.0K 7.7K Net DEX -190.5K -466.6K -40.8K -415.8K -67.1K Net VEX -698 -1.0K -527 -1.0K -533 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 0.8 0 12 0 0 Total OI 162.1 108 252 240 111
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 2013-09-03 $33.34 $35.00 15.7% 4.5% 15.9% 12.9% 0.0% 2.2% 1.9% 16.0K -415.8K -1.0K 0.00 106.75 0 0 204 36 2013-09-04 $33.37 $35.00 17.5% 5.0% 15.5% 20.0% 0.0% 2.5% 2.3% 16.7K -403.5K -1.0K 0.00 107.37 12 0 204 36 2013-09-05 $33.66 $35.00 16.9% 4.8% 15.7% 17.5% 0.0% 3.7% 2.7% 17.1K -449.3K -1.0K 0.00 107.64 0 0 216 36 2013-09-06 $33.36 $0.00 16.7% 5.4% 15.8% 17.0% 0.0% -2.3% 0.3% 17.7K -434.9K -1.0K 0.00 99.16 0 0 216 36 2013-09-09 $33.61 $0.00 17.9% 5.0% 16.0% 21.4% 0.0% -0.8% 2.1% 18.8K -437.6K -924 0.00 102.88 0 0 216 36 2013-09-10 $33.98 $0.00 17.8% 5.4% 16.6% 21.0% 0.0% -0.6% 1.7% 18.0K -466.6K -902 0.00 99.29 0 0 216 36 2013-09-11 $33.91 $0.00 18.2% 5.6% 16.6% 22.6% 0.0% -1.7% 0.5% 17.1K -465.0K -920 0.00 98.74 0 0 216 36 2013-09-12 $33.36 $0.00 19.6% 5.6% 17.5% 28.3% 0.0% -2.2% -1.1% 7.9K -50.9K -560 0.00 101.10 0 0 84 36 2013-09-13 $33.48 $0.00 18.3% 5.2% 17.3% 23.1% 0.0% -0.3% 1.7% 8.1K -52.6K -576 0.00 103.49 1 0 84 36 2013-09-16 $33.53 $0.00 18.8% 5.4% 17.3% 24.9% 0.0% -0.2% 1.7% 8.4K -55.8K -573 0.00 103.95 0 0 85 36 2013-09-17 $33.85 $0.00 18.3% 5.3% 17.6% 23.3% 0.0% 12.2% 1.2% 9.7K -60.4K -561 0.00 100.68 0 0 85 36 2013-09-18 $33.71 $0.00 20.9% 6.0% 16.1% 33.2% 0.0% -1.0% -0.4% 9.1K -60.4K -554 0.00 96.32 0 0 85 36 2013-09-19 $33.16 $0.00 13.1% 3.8% 16.7% 3.0% 0.0% 1.7% 5.8% 7.5K -40.8K -527 0.00 106.81 0 0 85 36 2013-09-20 $33.69 $0.00 17.7% 5.1% 16.4% 20.8% 0.0% 1.4% 1.7% 9.0K -55.5K -547 0.00 104.11 0 0 85 36 2013-09-23 $33.64 $0.00 15.7% 4.5% 16.4% 13.1% 0.0% 6.4% 5.9% 6.7K -51.3K -533 0.00 106.72 1 0 72 36 2013-09-24 $33.84 $0.00 18.7% 5.4% 16.3% 24.8% 0.0% 2.1% 1.6% 7.0K -62.4K -549 0.00 100.32 0 0 73 36 2013-09-25 $33.76 $0.00 16.2% 4.6% 14.8% 14.9% 0.0% 0.4% 1.7% 7.1K -59.9K -536 0.00 100.79 0 0 73 36 2013-09-26 $33.86 $0.00 16.4% 4.7% 14.8% 15.6% 0.0% 1.7% 1.7% 7.1K -57.7K -535 0.00 104.25 2 0 73 36 2013-09-27 $33.85 $0.00 18.9% 5.4% 14.7% 25.5% 0.0% 3.6% 1.6% 7.4K -63.0K -548 0.00 103.67 0 0 75 36 2013-09-30 $34.12 $0.00 18.1% 5.2% 13.3% 22.2% 0.0% 20.1% 2.1% 7.7K -67.1K -533 0.00 103.29 0 0 75 36
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