CBU Options History — May 2014 In May 2014, CBU traded between $35.35 and $37.54. ATM implied volatility averaged 21.8%, placing in the 42.7% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 1.5% (HV 20d: 20.2%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 2.55.
Notable Days 2014-05-06 : Highest Volume — 25 contracts2014-05-12 : Largest IV spike — 56.0% change2014-05-12 : Highest IV Rank — 92.2%2014-05-27 : Largest Expected Move — 7.1%Monthly Statistics Metric Avg Min Max Open Close Price $36.15 $35.35 $37.54 $36.97 $35.51 Max Pain $35.50 $35.00 $40.00 $40.00 $35.00 ATM IV 21.8% 15.3% 31.9% 15.6% 21.5% Expected Move 6.1% 3.7% 7.1% 4.5% 6.2% HV 20d 20.2% 15.1% 24.3% 17.1% 24.1% HV 60d 21.2% 20.0% 22.8% 20.1% 20.6% IV Rank 42.7% 10.8% 92.2% 12.3% 41.3% IV Percentile 70.8% 10.3% 99.6% 11.1% 72.2% Term Structure 0.3% -2.5% 8.8% 6.9% -0.3% VWIV 22.3% 21.7% 23.9% 21.7% 22.0% Skew 25d 5.5% -0.8% 18.7% -0.7% 2.3% Skew 10d 8.8% -2.7% 32.9% -2.7% 4.6% Call IV 25d 18.4% 12.3% 21.6% 18.7% 21.6% Put IV 25d 23.9% 18.0% 39.1% 18.0% 23.9% Bid-Ask Spread % 99.65 96.93 106.84 106.84 99.11 Gamma HHI 0.60 0.48 0.72 0.62 0.68 Net GEX -5.3K -12.1K 6.2K 5.4K -10.7K Net DEX 54.3K -32.9K 154.5K -24.6K 84.5K Net VEX -844 -989 -501 -553 -870 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.55 0.00 9.00 9.00 0.00 Total Volume 6.429 0 25 0 0 Total OI 245.476 197 327 232 198
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 2014-05-01 $36.97 $40.00 15.6% 4.5% 17.1% 12.3% 0.0% -0.7% 6.9% 5.4K -24.6K -553 0.00 106.84 0 0 182 50 2014-05-02 $37.06 $40.00 16.7% 4.8% 17.2% 17.5% 21.7% -0.8% 4.7% 6.2K -32.9K -559 0.00 106.68 0 15 182 50 2014-05-05 $36.69 $0.00 16.9% 6.2% 15.1% 18.6% 21.7% 6.0% -0.7% 3.3K -13.3K -501 0.00 98.06 0 18 182 50 2014-05-06 $35.95 $35.00 20.1% 6.0% 16.4% 34.6% 0.0% 4.3% 0.7% 62 33.1K -595 0.00 98.23 0 25 182 68 2014-05-07 $36.38 $35.00 19.9% 6.5% 17.1% 33.5% 22.5% 6.3% -0.5% -1.8K 60.8K -812 9.00 98.21 1 9 182 93 2014-05-08 $36.02 $35.00 15.3% 6.3% 17.2% 10.8% 22.0% 5.3% -0.6% -5.3K 70.8K -824 0.00 98.13 8 0 183 102 2014-05-09 $36.72 $35.00 20.4% 6.8% 16.8% 36.0% 23.9% 8.5% -2.1% -2.6K 29.4K -855 0.00 98.65 0 18 191 102 2014-05-12 $37.54 $35.00 31.9% 3.7% 18.5% 92.2% 0.0% 11.8% 8.8% 630 -2.7K -912 0.00 100.30 0 0 191 120 2014-05-13 $36.77 $35.00 29.4% 6.2% 19.5% 80.0% 0.0% 6.0% -0.5% -4.6K 17.4K -893 0.00 101.06 0 0 191 120 2014-05-14 $35.69 $35.00 22.9% 6.2% 21.8% 48.2% 0.0% 3.6% -0.2% -8.4K 94.7K -884 0.00 98.61 0 10 191 120 2014-05-15 $35.51 $35.00 22.6% 6.5% 21.8% 46.5% 0.0% 3.0% -0.6% -10.1K 122.3K -950 0.00 98.03 0 8 191 128 2014-05-16 $35.35 $35.00 22.0% 6.3% 20.8% 43.9% 22.0% 18.7% -0.2% -12.1K 154.5K -951 1.20 96.93 10 12 191 136 2014-05-19 $35.97 $35.00 22.9% 6.6% 22.2% 48.2% 0.0% 16.6% -1.2% -8.8K 74.8K -989 0.00 98.32 0 0 87 110 2014-05-20 $35.51 $35.00 23.0% 6.6% 22.0% 48.9% 0.0% 3.0% -1.4% -9.0K 93.3K -963 0.00 98.39 0 0 87 110 2014-05-21 $35.65 $35.00 22.2% 6.4% 22.1% 44.9% 0.0% 3.1% -0.3% -9.1K 83.3K -970 0.00 98.70 0 0 87 110 2014-05-22 $35.77 $35.00 22.8% 6.5% 22.1% 47.7% 0.0% 3.8% -0.8% -8.8K 73.4K -959 0.00 99.97 0 0 87 110 2014-05-23 $36.03 $35.00 22.0% 6.3% 22.0% 43.9% 0.0% 3.6% -0.4% -8.6K 56.4K -957 0.00 99.96 1 0 87 110 2014-05-27 $36.67 $35.00 24.8% 7.1% 22.8% 57.6% 0.0% 5.4% -2.5% -7.2K 19.3K -927 0.00 99.84 0 0 88 110 2014-05-28 $35.78 $35.00 22.6% 6.5% 24.3% 46.9% 0.0% 2.6% -1.3% -9.6K 69.5K -898 0.00 99.16 0 0 88 110 2014-05-29 $35.60 $35.00 21.8% 6.2% 24.2% 42.5% 0.0% 2.5% -0.6% -10.2K 75.5K -894 0.00 99.39 0 0 88 110 2014-05-30 $35.51 $35.00 21.5% 6.2% 24.1% 41.3% 0.0% 2.3% -0.3% -10.7K 84.5K -870 0.00 99.11 0 0 88 110
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