CBU Options History — June 2016

In June 2016, CBU traded between $38.53 and $42.10. ATM implied volatility averaged 37.7%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 19.8% (HV 20d: 17.9%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.10.

Notable Days

  • 2016-06-10: Highest Volume — 92 contracts
  • 2016-06-22: Largest IV spike — 183.4% change
  • 2016-06-03: Highest IV Rank — 43.6%
  • 2016-06-27: Largest Expected Move — 18.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.69$38.53$42.10$41.31$40.96
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV37.7%18.3%74.2%53.3%28.8%
Expected Move10.4%5.3%18.6%15.3%8.3%
HV 20d17.9%12.6%31.6%14.2%31.6%
HV 60d18.3%16.6%23.1%17.6%23.1%
IV Rank15.9%1.3%43.6%27.8%9.2%
IV Percentile46.3%1.6%91.3%72.6%34.9%
Term Structure-5.2%-25.3%18.2%-11.8%7.7%
VWIV35.1%12.5%72.7%12.5%14.4%
Skew 25d1.1%-28.6%42.0%-19.6%-7.2%
Skew 10d0.5%-49.8%63.5%-43.3%2.4%
Call IV 25d40.3%14.3%86.6%86.6%80.1%
Put IV 25d41.4%22.5%72.9%66.9%72.9%
Bid-Ask Spread %123.57100.24132.51131.80125.30
Gamma HHI0.700.630.800.740.80
Net GEX30.8K20.1K54.0K32.2K54.0K
Net DEX-539.0K-648.2K-378.4K-557.0K-528.1K
Net VEX-2.1K-2.4K-1.7K-2.3K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.100.080.110.080.11
Total Volume86.54583929183
Total OI277.682276279276279

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-06-01$41.31$0.0053.3%15.3%14.2%27.8%0.0%-19.6%-11.8%32.2K-557.0K-2.3K0.08131.8084726016
2016-06-02$41.39$40.0039.3%5.7%13.9%17.1%12.5%-5.4%18.2%34.6K-522.3K-2.2K0.08130.6384726016
2016-06-03$40.99$40.0074.2%15.0%14.2%43.6%52.3%16.5%-19.0%22.2K-539.3K-2.4K0.08124.1584726016
2016-06-06$41.54$40.0024.7%9.3%14.7%6.0%37.0%12.7%-8.4%28.1K-629.5K-2.3K0.08124.0184726016
2016-06-07$41.31$40.0038.2%11.3%15.0%16.3%38.8%-1.4%-0.2%23.9K-575.2K-2.4K0.08129.0384726016
2016-06-08$41.54$40.0040.3%11.5%14.8%17.9%40.9%14.8%-1.5%22.9K-557.4K-2.3K0.08126.9384726016
2016-06-09$41.37$40.0018.3%5.3%14.3%1.3%15.6%18.9%8.6%34.4K-542.8K-2.2K0.08114.6984726016
2016-06-10$41.21$40.0034.7%9.9%14.5%13.6%37.2%-13.6%-13.8%31.8K-570.3K-2.1K0.10126.7084826016
2016-06-13$40.62$40.0024.9%7.1%14.5%6.2%24.9%1.4%-1.8%32.4K-558.0K-2.1K0.10100.2484826017
2016-06-14$40.59$40.0026.3%7.6%14.1%7.3%26.3%5.1%1.3%28.5K-586.1K-2.2K0.11114.4176826017
2016-06-15$40.55$40.0037.7%10.8%14.1%15.9%45.3%0.2%-11.4%28.1K-570.9K-2.2K0.11130.6576826217
2016-06-16$40.29$40.0054.5%15.6%14.1%28.7%54.5%-28.6%-17.6%25.0K-533.7K-2.2K0.11131.8676826217
2016-06-17$39.95$40.0021.6%6.2%14.5%3.7%21.6%2.2%1.8%33.1K-502.2K-2.1K0.11112.2676826217
2016-06-20$40.50$40.0023.8%6.8%15.1%5.4%23.8%3.5%-2.8%36.2K-563.8K-2.0K0.11120.4675826217
2016-06-21$40.65$40.0022.5%6.4%15.1%4.4%21.9%25.9%0.8%34.4K-556.1K-2.1K0.11115.4175826117
2016-06-22$40.60$40.0063.7%18.3%12.6%35.6%58.8%-2.1%-22.4%26.2K-547.0K-2.1K0.11130.6775826118
2016-06-23$42.10$40.0038.0%10.9%17.7%16.1%47.0%-18.0%-17.1%37.0K-648.2K-1.9K0.11132.5175826118
2016-06-24$39.94$40.0027.5%7.9%26.0%8.2%29.1%-9.4%-1.9%30.0K-485.5K-2.0K0.11132.3975826118
2016-06-27$38.53$40.0065.0%18.6%28.4%36.6%72.7%-24.3%-25.3%20.1K-378.4K-1.9K0.11125.8375826118
2016-06-28$39.18$40.0050.8%14.6%29.2%25.8%41.8%9.5%-1.0%24.5K-465.2K-1.9K0.11130.9175826118
2016-06-29$40.00$40.0020.8%6.0%30.3%3.2%20.8%42.0%2.2%38.0K-440.3K-1.9K0.11107.6475826118
2016-06-30$40.96$40.0028.8%8.3%31.6%9.2%14.4%-7.2%7.7%54.0K-528.1K-1.7K0.11125.3075826118