CBU Options History — March 2017

In March 2017, CBU traded between $52.77 and $60.87. ATM implied volatility averaged 27.6%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 4.9% (HV 20d: 22.7%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 15 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 1.84.

Notable Days

  • 2017-03-30: Highest Volume — 370 contracts
  • 2017-03-14: Largest IV spike — 135.0% change
  • 2017-03-14: Highest IV Rank — 61.5%
  • 2017-03-22: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.33$52.77$60.87$60.87$55.20
Max Pain$56.84$55.00$60.00$60.00$55.00
ATM IV27.6%19.8%66.2%24.9%22.9%
Expected Move7.0%6.2%7.5%7.1%6.6%
HV 20d22.7%17.4%29.7%18.4%29.7%
HV 60d24.7%22.7%27.6%23.7%27.5%
IV Rank15.2%5.8%61.5%12.0%9.6%
IV Percentile57.3%19.4%97.2%58.7%40.1%
Term Structure0.7%-1.2%2.8%-1.2%1.7%
VWIV24.5%22.2%27.8%25.1%23.1%
Skew 25d4.5%2.5%8.9%3.5%8.1%
Skew 10d9.1%0.1%15.8%6.7%13.0%
Call IV 25d22.1%16.7%25.0%24.7%18.1%
Put IV 25d26.6%24.0%29.5%28.2%26.2%
Bid-Ask Spread %97.6886.41109.11107.25105.21
Gamma HHI0.440.330.670.670.36
Net GEX6.2K-34.4K45.7K45.7K19.0K
Net DEX242.1K-423.6K834.8K-423.6K118.1K
Net VEX-3.5K-4.8K-2.6K-4.8K-3.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.840.663.912.040.66
Total Volume218.304137370143370
Total OI668.826545936545936

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-03-01$60.87$60.0024.9%7.1%18.4%12.0%25.1%3.5%-1.2%45.7K-423.6K-4.8K2.04107.254796362183
2017-03-02$58.93$60.0023.9%6.9%22.0%10.8%24.0%4.0%-0.1%32.2K-164.7K-4.1K2.04103.174796362183
2017-03-03$58.88$60.0023.1%6.6%21.5%9.8%23.2%3.6%0.2%31.6K-138.1K-4.0K2.04109.114796362183
2017-03-06$58.75$0.0022.5%6.7%18.4%9.1%0.0%3.5%0.8%30.7K-109.2K-3.8K2.3486.414196362183
2017-03-07$57.89$0.0019.8%6.6%18.7%5.8%0.0%3.7%1.0%25.3K-1.3K-3.6K2.3488.944196364188
2017-03-08$57.25$0.0027.6%7.4%19.1%15.2%0.0%3.2%0.0%22.4K73.0K-3.4K2.3489.604196364188
2017-03-09$57.41$0.0050.5%7.3%19.0%42.6%23.4%3.2%0.3%23.5K55.2K-3.3K1.5789.446196364188
2017-03-10$57.30$60.0032.4%7.2%18.8%21.0%22.4%3.6%0.3%26.9K68.1K-3.3K1.0890.798996385188
2017-03-13$57.08$60.0028.2%7.1%18.8%15.9%23.3%3.1%0.7%30.6K36.7K-3.4K1.0894.568996397188
2017-03-14$57.23$60.0066.2%7.3%18.2%61.5%22.9%4.2%0.2%30.0K31.2K-3.4K1.0893.178996397188
2017-03-15$57.16$60.0024.6%7.0%17.4%11.6%24.0%3.7%0.7%29.7K32.0K-3.2K2.4895.3189221397188
2017-03-16$57.32$55.0024.3%7.0%17.4%11.3%23.4%3.8%0.5%985182.9K-3.9K2.4798.3189220397303
2017-03-17$57.85$55.0021.6%6.2%17.9%8.0%23.7%3.9%1.3%9.5K86.6K-4.1K2.4798.2189220397304
2017-03-20$57.32$55.0023.9%6.9%18.1%10.8%23.7%3.3%1.1%7.9K77.3K-3.9K3.9197.5653207402291
2017-03-21$53.73$55.0024.7%7.1%28.2%11.8%24.9%2.5%0.8%-21.6K633.4K-2.9K1.7995.535395405291
2017-03-22$52.77$55.0026.0%7.5%28.0%13.3%27.4%4.8%0.3%-23.5K799.6K-2.6K2.5596.5253135405304
2017-03-23$53.10$55.0025.1%7.2%28.4%12.2%27.0%5.7%0.6%-34.4K834.8K-2.8K1.4097.3798137405344
2017-03-24$53.47$55.0025.0%7.2%28.7%12.0%26.0%6.0%1.2%-26.6K724.4K-3.1K1.40102.3698137455346
2017-03-27$53.02$55.0025.9%7.4%28.6%13.2%27.8%5.1%0.5%-28.7K806.0K-2.8K1.50100.9698147455346
2017-03-28$53.94$55.0024.7%7.1%29.7%11.7%25.9%6.3%0.9%-30.4K689.8K-3.2K1.50100.4298147455356
2017-03-29$53.56$55.0024.1%6.9%27.7%11.0%26.3%5.6%1.5%-32.6K739.8K-3.0K1.50101.0298147455356
2017-03-30$55.49$55.0022.2%6.4%29.7%8.8%22.2%8.9%2.8%-25.7K416.4K-3.4K0.66105.39223147455356
2017-03-31$55.20$55.0022.9%6.6%29.7%9.6%23.1%8.1%1.7%19.0K118.1K-3.8K0.66105.21223147580356