CBU Options History — March 2015

In March 2015, CBU traded between $34.66 and $35.95. ATM implied volatility averaged 44.4%, placing in the 41.3% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 27.2% (HV 20d: 17.2%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 1.19.

Notable Days

  • 2015-03-26: Highest Volume — 85 contracts
  • 2015-03-25: Largest IV spike — 165.5% change
  • 2015-03-31: Highest IV Rank — 93.6%
  • 2015-03-31: Largest Expected Move — 23.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.35$34.66$35.95$35.85$35.42
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV44.4%16.7%83.3%38.2%83.3%
Expected Move12.3%4.7%23.9%10.9%23.9%
HV 20d17.2%13.9%20.5%20.5%17.5%
HV 60d23.0%22.4%23.3%23.1%23.0%
IV Rank41.3%4.2%93.6%33.0%93.6%
IV Percentile65.5%5.6%98.8%65.9%98.8%
Term Structure-12.3%-57.5%17.1%-24.6%-57.5%
VWIV54.7%19.1%83.7%38.2%83.7%
Skew 25d-2.1%-38.7%22.9%22.9%-24.5%
Skew 10d-4.8%-54.2%42.7%42.7%-38.4%
Call IV 25d47.2%18.4%100.6%52.1%78.2%
Put IV 25d45.2%18.5%104.4%75.0%53.7%
Bid-Ask Spread %128.54114.67136.04121.49133.22
Gamma HHI0.640.490.780.680.62
Net GEX-10.3K-20.8K-6.2K-11.8K-8.5K
Net DEX107.6K50.7K165.2K112.2K91.9K
Net VEX-922-997-850-960-907
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.001.931.471.93
Total Volume32.1360857985
Total OI163137177160177

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-03-02$35.85$35.0038.2%10.9%20.5%33.0%38.2%22.9%-24.6%-11.8K112.2K-9601.47121.49324744116
2015-03-03$35.36$35.0045.0%12.9%18.3%42.2%45.0%-15.6%-24.8%-9.2K113.5K-9771.47127.98324744116
2015-03-04$35.09$35.0019.2%5.5%17.9%7.6%19.1%-3.1%10.2%-13.1K125.3K-9541.47119.24324744116
2015-03-05$35.10$0.0047.7%10.6%17.5%45.8%0.0%3.8%-14.5%-10.8K131.3K-8551.47132.65324744116
2015-03-06$35.15$0.0020.1%4.7%15.3%8.7%0.0%7.2%1.3%-15.6K134.0K-9021.47122.13324744116
2015-03-09$35.33$0.0039.6%4.7%15.3%35.0%0.0%-2.6%-5.9%-11.2K125.8K-8940.00135.060044116
2015-03-10$34.66$0.0024.3%7.6%14.0%14.4%0.0%8.2%11.0%-12.1K165.2K-8710.00134.600044116
2015-03-11$34.74$0.0016.7%4.8%13.9%4.2%0.0%3.5%7.6%-12.0K164.8K-8560.00122.660544116
2015-03-12$35.87$0.0022.5%6.5%18.0%12.0%0.0%-17.9%6.8%-20.8K70.1K-9170.00118.512044121
2015-03-13$35.64$0.0033.7%9.7%17.1%27.0%0.0%15.2%17.1%-6.6K103.2K-9970.00131.840046121
2015-03-16$35.69$0.0043.1%12.3%17.0%39.6%0.0%12.6%0.9%-6.9K101.4K-9670.00135.340046121
2015-03-17$35.95$0.0040.0%11.5%17.2%35.5%0.0%-3.8%-15.6%-6.4K90.1K-9510.00131.680046121
2015-03-18$35.36$0.0041.6%11.9%17.5%37.6%0.0%-28.1%-2.0%-15.8K85.1K-9710.00123.880046121
2015-03-19$35.50$0.0061.3%17.6%17.5%64.1%0.0%2.9%-22.9%-16.6K70.2K-9170.00132.020046121
2015-03-20$35.59$0.0060.4%17.3%17.5%62.8%61.6%-16.4%-35.8%-6.8K50.7K-8610.00122.8301046121
2015-03-23$35.59$35.0035.8%10.3%17.4%29.9%55.7%-22.9%-12.7%-6.5K91.3K-8500.00136.0410036101
2015-03-24$35.43$35.0023.0%6.6%17.3%12.7%23.2%-38.7%0.9%-7.3K81.1K-9010.00114.6702046101
2015-03-25$34.86$35.0061.0%17.5%18.0%63.7%0.0%20.3%-22.4%-8.5K130.0K-9420.00131.400046121
2015-03-26$34.97$35.0065.4%18.7%17.8%69.5%64.5%9.2%-36.0%-8.1K112.5K-9521.93133.04295646121
2015-03-27$35.02$35.0073.5%21.1%17.8%80.4%73.3%3.8%-25.3%-6.2K121.1K-9750.00133.7110046121
2015-03-30$35.45$35.0080.8%23.2%18.2%90.2%82.4%18.4%-26.2%-6.5K97.2K-9101.93133.83295656121
2015-03-31$35.42$35.0083.3%23.9%17.5%93.6%83.7%-24.5%-57.5%-8.5K91.9K-9071.93133.22295656121