CBU Options History — March 2016

In March 2016, CBU traded between $37.85 and $39.19. ATM implied volatility averaged 38.4%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 18.5% (HV 20d: 19.9%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.07.

Notable Days

  • 2016-03-02: Highest Volume — 119 contracts
  • 2016-03-21: Largest IV spike — 91.5% change
  • 2016-03-08: Highest IV Rank — 43.9%
  • 2016-03-08: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.44$37.85$39.19$37.97$38.31
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV38.4%16.7%95.3%39.2%19.2%
Expected Move9.3%4.8%14.2%11.2%5.5%
HV 20d19.9%16.3%22.9%22.9%16.6%
HV 60d24.6%22.8%26.5%26.5%22.8%
IV Rank12.1%0.0%43.9%12.6%1.4%
IV Percentile40.1%0.0%96.0%50.4%3.6%
Term Structure-6.4%-39.5%23.6%23.6%4.7%
VWIV57.1%54.8%59.4%59.4%54.8%
Skew 25d5.5%-11.4%25.1%24.7%3.5%
Skew 10d0.9%-45.3%31.0%13.4%0.7%
Call IV 25d28.6%14.7%68.6%18.9%19.2%
Put IV 25d34.1%20.3%69.4%43.6%22.7%
Bid-Ask Spread %125.6698.89143.92142.13119.84
Gamma HHI0.530.260.710.310.71
Net GEX5.2K-96511.7K-96511.7K
Net DEX-60.6K-130.5K5.2K5.2K-98.1K
Net VEX-1.7K-1.9K-1.3K-1.3K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.681.920.771.66
Total Volume102.2277311911077
Total OI272.409230309230309

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-03-01$37.97$30.0039.2%11.2%22.9%12.6%59.4%24.7%23.6%-9655.2K-1.3K0.77142.136248112118
2016-03-02$38.21$30.0042.8%12.3%21.5%14.6%54.8%0.4%-7.3%-873-9.1K-1.3K0.68143.927148112118
2016-03-03$38.75$0.0051.0%9.8%21.8%19.1%0.0%13.3%-8.0%3.2K-59.2K-1.5K0.68123.687148141118
2016-03-04$38.81$0.0074.3%13.3%21.8%32.2%0.0%25.1%-35.2%3.4K-38.5K-1.6K0.68129.957148130118
2016-03-07$39.19$0.0074.6%9.3%20.1%32.3%0.0%9.3%-7.5%3.0K-99.1K-1.8K0.68123.207148153118
2016-03-08$38.58$0.0095.3%14.2%21.1%43.9%0.0%0.8%-39.5%1.8K-130.5K-1.8K0.68131.837148153118
2016-03-09$38.10$0.0026.0%7.4%21.9%5.2%0.0%19.3%-11.0%5.0K-80.3K-1.8K0.68115.667148153118
2016-03-10$38.24$0.0035.9%10.3%21.7%10.7%0.0%21.4%-6.0%4.9K-51.4K-1.8K0.68131.847148153118
2016-03-11$38.85$0.0022.3%6.4%21.1%3.0%0.0%5.8%0.3%4.2K-88.8K-1.8K0.6898.897148153118
2016-03-14$38.64$0.0025.5%7.3%18.6%4.8%0.0%11.2%-3.9%3.4K-39.2K-1.7K0.68120.037148143118
2016-03-15$38.21$0.0027.2%7.8%18.8%5.8%0.0%-5.9%-5.1%4.7K-31.0K-1.7K0.68122.347148143118
2016-03-16$38.05$0.0037.5%10.7%18.9%11.5%0.0%-11.4%-10.4%3.7K-34.2K-1.7K0.68133.727148143118
2016-03-17$38.48$0.0037.1%10.6%18.9%11.3%0.0%-10.4%-16.5%4.1K-2.3K-1.6K0.68120.237148143118
2016-03-18$39.12$0.0023.2%6.7%19.5%3.6%0.0%-1.8%-1.7%3.9K-64.2K-1.7K0.91114.125348143118
2016-03-21$38.79$0.0044.5%12.8%19.8%15.5%0.0%3.2%-19.8%3.6K-56.6K-1.8K1.55133.333148145118
2016-03-22$38.41$0.0046.0%13.2%19.7%16.3%0.0%0.6%-24.5%7.7K-104.6K-1.8K1.92128.332548165118
2016-03-23$38.01$0.0046.4%13.3%20.1%16.5%0.0%-7.7%-17.1%9.0K-73.4K-1.9K1.66134.952948179118
2016-03-24$37.85$0.0021.0%6.0%20.2%2.3%0.0%3.4%8.6%9.1K-24.4K-1.7K1.66127.912948185118
2016-03-28$38.04$0.0021.2%6.1%19.0%2.4%0.0%0.7%16.0%9.3K-110.2K-1.9K1.66129.442948185118
2016-03-29$38.33$0.0019.2%5.5%18.2%1.3%0.0%7.9%10.9%10.0K-44.2K-1.7K1.92120.882548185118
2016-03-30$38.67$0.0016.7%4.8%16.3%0.0%0.0%6.4%7.7%10.7K-99.3K-1.8K1.66118.222948187118
2016-03-31$38.31$0.0019.2%5.5%16.6%1.4%0.0%3.5%4.7%11.7K-98.1K-1.8K1.66119.842948191118