CBU Options History — February 2014 In February 2014, CBU traded between $33.74 and $36.43. ATM implied volatility averaged 22.0%, placing in the 45.8% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 0.5% (HV 20d: 22.4%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2014-02-24 : Highest Volume — 32 contracts2014-02-12 : Largest IV spike — 8.9% change2014-02-27 : Highest IV Rank — 51.1%2014-02-27 : Largest Expected Move — 6.6%Monthly Statistics Metric Avg Min Max Open Close Price $34.72 $33.74 $36.43 $34.23 $36.43 Max Pain $36.05 $35.00 $40.00 $40.00 $35.00 ATM IV 22.0% 20.0% 23.1% 21.9% 22.4% Expected Move 6.4% 6.2% 6.6% 6.3% 6.4% HV 20d 22.4% 20.4% 26.9% 21.1% 26.1% HV 60d 20.2% 19.4% 21.3% 21.2% 21.2% IV Rank 45.8% 36.2% 51.1% 45.4% 47.9% IV Percentile 80.6% 55.6% 92.9% 79.8% 86.1% Term Structure -0.3% -2.1% 1.2% 0.9% -0.7% VWIV 23.3% 21.6% 28.9% 28.9% 22.6% Skew 25d 6.2% -2.9% 36.7% 0.9% 2.0% Skew 10d 9.9% -4.1% 47.3% -0.2% 7.5% Call IV 25d 22.3% 20.5% 24.4% 23.7% 20.5% Put IV 25d 28.5% 18.4% 60.4% 24.6% 22.5% Bid-Ask Spread % 99.35 97.49 103.13 99.78 102.03 Gamma HHI 0.55 0.48 0.67 0.60 0.56 Net GEX 13.0K 5.6K 25.0K 6.0K 24.3K Net DEX 29.8K -254.7K 122.5K 119.9K -254.7K Net VEX -720 -979 -569 -678 -957 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 7.053 0 32 4 2 Total OI 260.789 214 285 254 245
Daily Data (19 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 2014-02-03 $34.23 $40.00 21.9% 6.3% 21.1% 45.4% 0.0% 0.9% 0.9% 6.0K 119.9K -678 0.00 99.78 4 0 186 68 2014-02-04 $34.53 $40.00 22.0% 6.3% 21.6% 45.9% 0.0% 1.4% 0.4% 6.3K 104.2K -663 0.00 98.42 0 0 182 66 2014-02-05 $34.24 $40.00 22.2% 6.4% 20.6% 46.8% 28.9% 1.3% -0.3% 5.6K 121.6K -589 0.00 100.27 20 0 182 66 2014-02-06 $34.39 $40.00 21.5% 6.2% 20.8% 43.4% 0.0% 36.7% 1.2% 7.5K 108.6K -655 0.00 103.13 0 12 192 66 2014-02-07 $34.36 $35.00 21.5% 6.3% 20.4% 43.6% 0.0% -2.4% -0.2% 7.1K 120.1K -589 0.00 98.75 10 0 192 67 2014-02-10 $34.51 $35.00 20.0% 6.4% 20.8% 36.2% 0.0% -1.5% -0.5% 8.4K 105.9K -680 0.00 98.47 0 0 199 67 2014-02-11 $34.65 $35.00 21.0% 6.5% 21.0% 41.3% 0.0% -0.2% -1.2% 9.2K 83.0K -735 0.00 98.72 0 0 199 67 2014-02-12 $34.41 $35.00 22.9% 6.5% 20.9% 50.1% 22.7% -1.1% -0.5% 8.7K 94.7K -672 0.00 97.49 17 0 199 67 2014-02-13 $34.49 $35.00 21.6% 6.2% 20.9% 43.8% 0.0% -1.4% 0.1% 11.6K 84.2K -696 0.00 99.53 0 2 216 67 2014-02-14 $34.48 $35.00 22.2% 6.4% 21.0% 46.8% 22.2% -0.8% -0.4% 12.5K 83.2K -706 0.00 98.59 5 0 216 67 2014-02-18 $34.80 $35.00 21.7% 6.2% 21.2% 44.4% 0.0% -0.1% 0.1% 13.4K 66.6K -712 0.00 98.21 2 0 216 67 2014-02-19 $33.74 $35.00 22.7% 6.5% 22.1% 49.0% 0.0% -2.9% -0.2% 9.6K 122.5K -569 0.00 101.20 0 0 218 67 2014-02-20 $34.35 $35.00 21.6% 6.2% 23.8% 44.2% 21.6% 24.0% 0.4% 12.8K 104.3K -608 0.00 100.86 5 0 216 66 2014-02-21 $34.52 $35.00 21.6% 6.2% 23.5% 44.0% 21.6% 23.8% 0.7% 14.7K 87.4K -651 0.00 98.38 20 0 216 66 2014-02-24 $35.03 $35.00 22.6% 6.5% 24.1% 48.6% 22.6% 1.5% -1.5% 16.6K -86.5K -767 0.00 97.71 32 0 186 28 2014-02-25 $34.72 $35.00 23.0% 6.6% 24.1% 50.4% 0.0% 1.0% -2.1% 22.0K -108.0K -836 0.00 97.93 2 0 216 28 2014-02-26 $35.79 $35.00 22.4% 6.4% 26.9% 48.0% 0.0% 18.6% -0.9% 24.7K -186.2K -944 0.00 98.52 1 0 216 28 2014-02-27 $35.95 $35.00 23.1% 6.6% 25.8% 51.1% 0.0% 17.1% -1.3% 25.0K -205.5K -979 0.00 99.66 0 0 217 28 2014-02-28 $36.43 $35.00 22.4% 6.4% 26.1% 47.9% 0.0% 2.0% -0.7% 24.3K -254.7K -957 0.00 102.03 2 0 217 28
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