CBU Options History — June 2017

In June 2017, CBU traded between $54.13 and $57.91. ATM implied volatility averaged 30.2%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 7.9% (HV 20d: 22.3%). Max pain ranged from $45.00 to $55.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 3.10.

Notable Days

  • 2017-06-09: Highest Volume — 272 contracts
  • 2017-06-09: Largest IV spike — 68.8% change
  • 2017-06-13: Highest IV Rank — 52.6%
  • 2017-06-21: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.92$54.13$57.91$54.67$56.08
Max Pain$52.73$45.00$55.00$55.00$55.00
ATM IV30.2%22.0%58.8%23.5%24.1%
Expected Move7.5%5.2%12.3%6.7%6.9%
HV 20d22.3%20.4%26.8%21.5%20.4%
HV 60d24.3%21.7%27.1%25.4%21.7%
IV Rank18.3%8.5%52.6%10.3%11.0%
IV Percentile68.0%32.5%95.6%50.0%57.9%
Term Structure-1.1%-16.9%7.5%-0.1%0.2%
VWIV29.9%23.0%47.4%23.4%24.9%
Skew 25d6.2%-4.1%34.6%6.2%4.9%
Skew 10d14.7%4.6%52.6%9.7%9.8%
Call IV 25d23.0%19.7%29.9%22.0%22.1%
Put IV 25d29.2%25.1%55.5%28.1%27.0%
Bid-Ask Spread %105.6588.77125.07106.84103.46
Gamma HHI0.540.370.650.580.60
Net GEX-18.2K-40.2K11.0K5.3K-36.4K
Net DEX351.9K39.8K649.6K299.9K180.4K
Net VEX-2.2K-3.4K-1.5K-1.5K-1.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.101.904.911.903.10
Total Volume176.818122272122168
Total OI404.364302476302379

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-06-01$54.67$55.0023.5%6.7%21.5%10.3%23.4%6.2%-0.1%5.3K299.9K-1.5K1.90106.844280180122
2017-06-02$55.15$55.0023.7%6.8%21.6%10.5%23.1%7.4%-0.7%6.0K259.6K-1.6K2.69108.3242113180122
2017-06-05$54.69$45.0023.8%6.6%21.7%10.7%31.9%3.5%0.5%2.2K299.1K-1.6K2.6988.7742113180162
2017-06-06$54.13$45.0023.6%6.9%21.9%10.4%30.6%3.2%-0.4%1.2K331.8K-1.5K2.1789.7546100180162
2017-06-07$54.16$45.0023.6%6.7%21.8%10.5%30.6%2.9%0.2%1.5K339.6K-1.5K2.1791.7546100180164
2017-06-08$55.86$45.0023.4%6.6%24.8%10.1%35.8%3.3%0.1%4.0K237.0K-1.7K2.1789.2046100180164
2017-06-09$57.63$45.0039.4%5.2%26.8%29.4%25.1%4.7%0.7%11.0K118.1K-2.0K4.91103.3646226180164
2017-06-12$57.86$55.0049.8%6.8%26.7%41.8%23.0%13.1%0.9%-29.3K276.6K-2.8K4.91111.2046226180289
2017-06-13$57.91$55.0058.8%6.1%26.7%52.6%42.5%17.1%7.5%-18.8K39.8K-3.3K4.91123.2546226180289
2017-06-14$57.33$55.0038.8%11.1%26.3%28.6%46.5%34.6%-7.4%-14.9K266.4K-3.4K2.80125.0746129177289
2017-06-15$57.65$55.0022.0%6.3%20.4%8.5%25.1%4.0%2.1%-20.6K319.5K-2.8K2.80102.8446129177299
2017-06-16$56.99$55.0028.7%8.2%21.1%16.5%28.9%4.8%0.1%-22.6K358.6K-2.7K2.85118.1246131177299
2017-06-19$56.81$55.0028.1%8.1%20.5%15.8%27.0%6.8%-3.5%-24.8K353.0K-2.6K3.17111.9140127151289
2017-06-20$56.03$55.0042.3%12.1%21.0%32.8%47.4%-4.1%-7.4%-19.4K505.0K-2.8K3.17123.2540127151289
2017-06-21$55.27$55.0042.9%12.3%21.4%33.6%42.6%3.0%-16.9%-19.5K609.5K-2.3K3.17123.0440127151289
2017-06-22$55.00$55.0024.9%7.1%21.4%11.9%25.3%4.1%-0.3%-36.3K634.7K-2.3K3.1099.0441127151289
2017-06-23$55.13$55.0023.8%6.8%21.5%10.6%23.7%3.4%0.7%-38.2K625.4K-2.2K3.1098.4941127152289
2017-06-26$54.86$55.0024.1%6.9%21.4%11.0%24.0%2.8%0.1%-39.9K649.6K-2.1K3.10100.8441127152289
2017-06-27$55.01$55.0024.4%7.0%20.5%11.4%25.0%2.8%0.1%-40.2K640.2K-2.0K3.10102.0941127152289
2017-06-28$55.61$55.0024.5%7.0%20.7%11.5%24.9%4.0%-0.3%-36.9K241.8K-2.0K3.10101.1141127152227
2017-06-29$56.37$55.0025.1%7.2%20.5%12.2%26.0%3.6%-0.0%-32.8K156.5K-2.0K3.10102.6541127152227
2017-06-30$56.08$55.0024.1%6.9%20.4%11.0%24.9%4.9%0.2%-36.4K180.4K-1.9K3.10103.4641127152227