CBU Options History — May 2017

In May 2017, CBU traded between $53.67 and $57.37. ATM implied volatility averaged 23.6%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 0.6% (HV 20d: 23.0%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.63.

Notable Days

  • 2017-05-15: Highest Volume — 268 contracts
  • 2017-05-04: Largest IV drop — 17.4% change
  • 2017-05-17: Highest IV Rank — 12.1%
  • 2017-05-04: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.65$53.67$57.37$56.81$53.78
Max Pain$54.32$50.00$55.00$50.00$55.00
ATM IV23.6%20.4%25.0%24.9%23.8%
Expected Move6.9%6.5%7.2%7.1%6.8%
HV 20d23.0%20.6%26.5%25.0%21.0%
HV 60d25.2%24.5%26.5%25.4%25.3%
IV Rank10.4%6.6%12.1%12.0%10.7%
IV Percentile50.0%19.4%67.5%63.1%54.0%
Term Structure-0.1%-0.9%0.8%0.6%0.0%
VWIV24.0%22.1%25.9%25.6%23.7%
Skew 25d4.6%1.9%7.3%4.2%4.1%
Skew 10d9.1%1.9%22.2%11.6%22.2%
Call IV 25d21.6%18.7%24.7%21.6%23.6%
Put IV 25d26.2%24.7%28.6%25.8%27.8%
Bid-Ask Spread %98.7293.16107.8095.51102.92
Gamma HHI0.530.300.790.650.57
Net GEX15.0K-5.9K32.3K29.5K4.4K
Net DEX66.3K-176.6K336.2K-116.5K334.7K
Net VEX-1.7K-2.2K-1.2K-2.2K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.630.872.051.371.90
Total Volume191.455119268232122
Total OI605.136246776743302

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$56.81$50.0024.9%7.1%25.0%12.0%25.6%4.2%0.6%29.5K-116.5K-2.2K1.3795.5198134500243
2017-05-02$56.36$50.0024.3%7.0%24.3%11.3%25.9%3.7%0.7%24.7K-53.0K-2.1K1.68101.7379133520250
2017-05-03$57.02$50.0024.7%7.1%24.1%11.7%24.2%3.8%0.6%30.2K-120.2K-2.2K1.68104.1779133520256
2017-05-04$57.37$55.0020.4%7.2%22.9%6.6%24.8%5.2%-0.6%32.3K-176.6K-2.2K1.6893.9979133520256
2017-05-05$57.32$55.0020.6%7.1%22.9%6.9%24.6%5.1%-0.7%31.4K-171.6K-2.2K1.6893.8679133520256
2017-05-08$57.10$55.0021.1%7.1%22.9%7.4%24.4%3.9%-0.9%27.9K-135.5K-2.0K1.8193.9479143520256
2017-05-09$56.65$55.0024.3%7.0%22.9%11.2%24.3%3.8%-0.6%23.6K-85.7K-1.7K1.9595.4979154520240
2017-05-10$56.82$55.0024.6%7.0%22.7%11.6%24.2%3.7%-0.6%26.3K-123.3K-1.6K1.9593.1679154520230
2017-05-11$56.06$55.0024.6%7.1%23.2%11.6%24.4%4.1%-0.3%21.8K-42.6K-1.4K1.7894.1173130520220
2017-05-12$55.89$55.0024.2%6.9%21.2%11.2%24.0%4.0%-0.1%22.0K-28.6K-1.3K1.7894.6173130520217
2017-05-15$55.83$55.0024.2%6.9%21.2%11.2%24.1%4.0%-0.1%20.7K-23.1K-1.2K0.8794.38143125520217
2017-05-16$56.85$55.0024.5%7.0%20.6%11.5%24.3%4.2%-0.9%13.0K-57.6K-1.8K1.4795.4585125522216
2017-05-17$54.41$55.0025.0%7.2%26.5%12.1%24.9%4.0%-0.2%-3.6K147.6K-1.6K1.5298.9082125527216
2017-05-18$54.52$55.0024.4%7.0%25.5%11.4%24.0%7.1%-0.2%-5.9K161.0K-1.6K1.52101.1382125532219
2017-05-19$53.88$55.0023.4%6.7%25.8%10.2%23.2%5.9%0.3%1.5K225.0K-1.5K1.52102.0082125532219
2017-05-22$54.52$55.0024.1%6.9%24.9%11.0%24.1%1.9%-0.5%2.1K336.2K-1.4K2.0596.023980126120
2017-05-23$55.09$55.0023.2%6.6%22.0%9.9%23.2%2.1%0.0%5.4K267.6K-1.6K2.0099.994080140120
2017-05-24$54.96$55.0022.5%6.5%22.0%9.1%22.1%7.1%0.7%4.4K267.0K-1.7K0.92106.358780143122
2017-05-25$54.91$55.0023.0%6.6%21.9%9.7%22.6%7.3%0.2%6.6K257.5K-1.8K0.92107.038780185122
2017-05-26$54.58$55.0022.5%6.5%21.2%9.1%22.2%6.8%0.8%6.2K266.9K-1.7K1.90107.804280185122
2017-05-30$53.67$55.0024.2%6.9%21.0%11.1%24.1%5.0%-0.2%4.7K329.5K-1.4K1.9099.374280180122
2017-05-31$53.78$55.0023.8%6.8%21.0%10.7%23.7%4.1%0.0%4.4K334.7K-1.4K1.90102.924280180122