CBU Options History — September 2014 In September 2014, CBU traded between $33.59 and $35.82. ATM implied volatility averaged 40.0%, placing in the 35.7% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 26.4% (HV 20d: 13.6%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 1 of 21 days.
Notable Days 2014-09-09 : Largest IV spike — 50.3% change2014-09-10 : Highest IV Rank — 54.7%2014-09-17 : Largest Expected Move — 7.6%Monthly Statistics Metric Avg Min Max Open Close Price $34.99 $33.59 $35.82 $35.72 $33.59 Max Pain $40.00 $40.00 $40.00 $40.00 $40.00 ATM IV 40.0% 30.0% 54.1% 46.0% 45.2% Expected Move 6.4% 5.3% 7.6% 5.9% 5.3% HV 20d 13.6% 12.4% 15.0% 14.7% 13.2% HV 60d 16.3% 15.5% 17.1% 17.1% 15.5% IV Rank 35.7% 22.6% 54.7% 43.9% 42.5% IV Percentile 92.1% 85.7% 97.6% 96.8% 95.6% Term Structure -9.4% -23.9% 0.3% -13.0% -15.7% Skew 25d 1.9% -12.5% 12.6% 4.5% 12.1% Skew 10d 1.8% -12.4% 19.1% -4.3% 17.5% Call IV 25d 31.4% 18.9% 46.5% 40.2% 46.5% Put IV 25d 33.3% 21.7% 58.6% 44.6% 58.6% Bid-Ask Spread % 126.16 117.80 128.86 127.99 127.23 Gamma HHI 0.44 0.37 0.55 0.38 0.43 Net GEX 1.1K -1.9K 2.7K 2.6K 21 Net DEX -53.3K -198.3K 84.9K -176.8K 60.8K Net VEX -1.1K -1.3K -789 -1.2K -846 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 204.333 190 233 233 190
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 2014-09-02 $35.72 $40.00 46.0% 5.9% 14.7% 43.9% 0.0% 4.5% -13.0% 2.6K -176.8K -1.2K 0.00 127.99 0 0 152 81 2014-09-03 $35.50 $40.00 30.0% 6.6% 14.9% 22.6% 0.0% -12.5% -13.4% 2.7K -165.7K -1.3K 0.00 123.66 0 0 152 81 2014-09-04 $35.39 $40.00 44.3% 5.9% 15.0% 41.6% 0.0% 2.2% -14.4% 2.4K -158.5K -1.2K 0.00 126.38 0 0 152 81 2014-09-05 $35.43 $40.00 44.8% 6.0% 14.2% 42.3% 0.0% 2.8% -1.7% -122 -156.8K -1.1K 0.00 128.44 0 0 152 81 2014-09-08 $35.65 $40.00 34.2% 6.8% 12.6% 28.1% 0.0% 3.8% -0.9% 1.8K -168.2K -1.1K 0.00 121.00 0 0 152 81 2014-09-09 $35.42 $40.00 51.4% 6.3% 12.8% 51.1% 0.0% 9.0% -7.6% 2.5K -157.9K -1.2K 0.00 128.80 0 0 152 81 2014-09-10 $35.82 $40.00 54.1% 6.2% 13.4% 54.7% 0.0% 11.3% -6.1% 2.7K -198.3K -1.2K 0.00 128.45 0 0 152 81 2014-09-11 $35.77 $40.00 32.4% 6.2% 13.0% 25.8% 0.0% 10.2% -5.6% 1.5K -51.5K -1.1K 0.00 127.98 0 0 109 81 2014-09-12 $35.77 $40.00 32.6% 6.1% 12.9% 26.0% 0.0% 8.6% -5.8% 1.5K -50.2K -1.1K 0.00 127.50 0 0 109 81 2014-09-15 $35.29 $40.00 34.1% 6.6% 13.3% 28.0% 0.0% 4.3% -7.3% 839 -26.0K -1.1K 0.00 127.21 0 0 109 81 2014-09-16 $34.97 $40.00 37.9% 6.4% 12.4% 33.1% 0.0% 1.6% -14.4% 900 -7.3K -1.0K 0.00 128.86 0 0 109 81 2014-09-17 $34.95 $40.00 38.9% 7.6% 12.4% 34.5% 0.0% 5.3% -11.7% 965 -14.1K -1.1K 0.00 117.80 0 0 109 81 2014-09-18 $35.42 $40.00 35.6% 6.4% 12.9% 30.1% 0.0% -10.1% -8.1% 1.1K -32.5K -1.0K 0.00 128.19 0 0 109 81 2014-09-19 $35.01 $40.00 34.7% 6.2% 13.0% 28.8% 0.0% 1.3% 0.3% 1.4K -21.0K -1.1K 0.00 125.53 0 0 109 81 2014-09-22 $34.66 $40.00 37.0% 6.3% 13.2% 31.5% 0.0% -2.1% -2.4% 1.1K -8.6K -1.0K 0.00 128.74 0 0 109 81 2014-09-23 $34.11 $40.00 41.6% 6.9% 14.2% 37.6% 0.0% -9.0% -19.0% 238 40.8K -944 0.00 123.88 0 0 109 81 2014-09-24 $34.34 $40.00 39.0% 6.9% 14.2% 34.1% 0.0% -0.2% -10.5% 36 34.0K -949 0.00 125.73 0 0 109 81 2014-09-25 $33.94 $40.00 40.5% 7.5% 14.5% 36.1% 0.0% -5.5% -8.3% 778 9.8K -974 0.00 119.64 0 0 109 81 2014-09-26 $34.09 $40.00 41.0% 6.5% 14.0% 36.9% 0.0% 12.6% -23.9% -1.9K 84.9K -789 0.00 128.31 0 0 109 81 2014-09-29 $33.87 $40.00 43.7% 6.6% 13.9% 40.5% 0.0% -10.1% -9.0% 435 43.4K -868 0.00 128.11 0 0 109 81 2014-09-30 $33.59 $40.00 45.2% 5.3% 13.2% 42.5% 0.0% 12.1% -15.7% 21 60.8K -846 0.00 127.23 0 0 109 81
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