CBU Options History — December 2015

In December 2015, CBU traded between $38.97 and $42.99. ATM implied volatility averaged 33.0%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 9.7% (HV 20d: 23.3%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 10.70.

Notable Days

  • 2015-12-15: Highest Volume — 161 contracts
  • 2015-12-24: Largest IV spike — 203.3% change
  • 2015-12-30: Highest IV Rank — 30.1%
  • 2015-12-30: Largest Expected Move — 20.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.87$38.97$42.99$42.99$40.13
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV33.0%16.9%70.6%25.9%16.9%
Expected Move9.0%4.9%20.2%7.4%4.9%
HV 20d23.3%18.7%26.3%18.8%26.1%
HV 60d23.5%21.2%24.9%21.3%24.3%
IV Rank9.1%0.1%30.1%5.1%0.1%
IV Percentile31.3%0.8%84.5%19.0%0.8%
Term Structure-5.2%-45.7%11.7%-0.6%5.3%
VWIV35.3%16.0%67.5%16.0%17.0%
Skew 25d9.9%-32.4%59.1%5.6%0.7%
Skew 10d13.8%-12.1%82.0%0.8%3.8%
Call IV 25d26.0%15.3%73.1%19.1%21.5%
Put IV 25d35.8%15.5%99.2%24.7%22.2%
Bid-Ask Spread %120.99106.67129.06126.62106.67
Gamma HHI0.930.740.990.970.89
Net GEX-23.2K-68.9K-9.4K-13.1K-20.5K
Net DEX171.2K69.6K366.8K69.6K156.8K
Net VEX-1.4K-1.6K-1.2K-1.2K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.700.0016.630.008.77
Total Volume122.63601611127
Total OI232.636195289195227

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$42.99$40.0025.9%7.4%18.8%5.1%0.0%5.6%-0.6%-13.1K69.6K-1.2K0.00126.621022173
2015-12-02$42.68$40.0026.1%7.5%18.7%5.3%16.0%-2.8%1.4%-14.5K83.2K-1.2K13.75129.00811022173
2015-12-03$42.17$0.0037.3%6.1%19.3%11.5%0.0%14.1%11.7%-15.1K99.2K-1.2K13.75128.67811022173
2015-12-04$42.91$0.0029.8%6.0%19.7%7.3%0.0%-0.8%-3.4%-15.7K92.4K-1.2K13.75112.78811022173
2015-12-07$42.00$0.0034.2%6.0%19.4%9.8%0.0%-26.9%-6.6%-16.0K107.6K-1.2K0.00124.680022173
2015-12-08$41.32$0.0027.1%8.7%19.9%5.8%0.0%12.8%-1.6%-16.9K154.0K-1.3K13.30125.001013322173
2015-12-09$40.94$0.0018.4%5.3%20.1%0.9%0.0%4.8%5.2%-18.9K171.9K-1.3K16.63120.40813324196
2015-12-10$40.71$0.0032.5%9.3%20.0%8.8%0.0%59.1%0.3%-37.4K303.2K-1.4K16.63124.07813329229
2015-12-11$38.97$0.0020.3%5.8%22.7%2.0%0.0%-0.1%3.2%-42.9K366.8K-1.5K16.63107.88813329229
2015-12-14$39.48$0.0030.7%8.8%23.0%7.8%30.7%-0.9%-5.7%-45.0K314.2K-1.5K11.00108.871314334229
2015-12-15$40.92$40.0039.1%11.2%26.3%12.5%40.8%9.9%-1.3%-23.6K264.1K-1.6K7.94126.951814344240
2015-12-16$40.91$40.0035.3%10.1%26.1%10.4%36.6%-32.4%-6.5%-38.7K98.9K-1.5K10.62126.801313849240
2015-12-17$40.28$40.0021.8%6.3%25.9%2.9%21.9%3.4%1.7%-68.9K237.4K-1.5K10.62107.531313844245
2015-12-18$40.01$40.0018.6%5.3%25.9%1.1%18.7%23.8%5.2%-16.9K189.9K-1.5K10.62109.651313844245
2015-12-21$40.10$40.0039.7%11.4%25.8%12.8%45.6%53.2%-0.3%-14.6K155.0K-1.4K8.08125.751310544174
2015-12-22$40.15$40.0019.9%5.7%25.8%1.8%19.9%24.7%1.6%-18.7K182.1K-1.4K8.77122.461311444174
2015-12-23$40.17$40.0019.7%5.6%25.7%1.7%20.1%1.8%9.0%-18.0K197.8K-1.5K8.77123.341311444183
2015-12-24$40.44$40.0059.7%17.1%25.9%24.0%66.0%12.9%-31.0%-14.6K164.5K-1.5K8.77123.391311444183
2015-12-28$40.42$40.0062.8%18.0%25.5%25.8%62.1%18.0%-30.0%-14.6K127.0K-1.4K8.77125.701311444183
2015-12-29$40.92$40.0040.0%11.5%25.9%13.0%31.5%7.7%-26.1%-16.4K124.1K-1.5K8.77129.061311444183
2015-12-30$40.60$40.0070.6%20.2%26.0%30.1%67.5%28.4%-45.7%-9.4K107.3K-1.5K8.77126.551311444183
2015-12-31$40.13$40.0016.9%4.9%26.1%0.1%17.0%0.7%5.3%-20.5K156.8K-1.5K8.77106.671311444183