CBU Options History — August 2017

In August 2017, CBU traded between $51.36 and $55.76. ATM implied volatility averaged 23.2%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 3.8% (HV 20d: 19.4%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 19 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 1.09.

Notable Days

  • 2017-08-04: Highest Volume — 187 contracts
  • 2017-08-14: Largest IV drop — 17.9% change
  • 2017-08-11: Highest IV Rank — 15.6%
  • 2017-08-11: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.04$51.36$55.76$55.35$51.44
Max Pain$50.83$50.00$55.00$55.00$50.00
ATM IV23.2%20.9%26.5%21.9%23.7%
Expected Move6.7%6.1%7.6%6.3%6.8%
HV 20d19.4%15.7%23.0%15.7%18.3%
HV 60d19.5%18.6%20.5%19.7%18.9%
IV Rank11.2%8.1%15.6%9.4%11.8%
IV Percentile46.2%18.7%86.5%28.2%49.2%
Term Structure0.1%-1.9%1.3%0.8%-0.2%
VWIV23.9%21.2%25.7%21.8%23.8%
Skew 25d3.2%-3.8%7.8%-3.8%5.6%
Skew 10d3.9%-5.9%12.9%-5.9%5.7%
Call IV 25d20.7%16.5%24.6%24.6%17.9%
Put IV 25d23.8%20.8%26.8%20.8%23.5%
Bid-Ask Spread %88.7178.5394.0693.1592.37
Gamma HHI0.450.340.660.480.42
Net GEX6.6K-5.7K32.1K26.7K-2.4K
Net DEX4.9K-215.0K151.8K-177.9K37.0K
Net VEX-779-1.2K-550-1.2K-646
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.901.201.190.90
Total Volume126.2173518718638
Total OI221.043105308308129

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-08-01$55.35$55.0021.9%6.3%15.7%9.4%21.8%-3.8%0.8%26.7K-177.9K-1.2K1.1993.158510120999
2017-08-02$55.76$55.0021.3%6.1%15.7%8.6%21.2%3.4%1.3%28.9K-215.0K-1.2K1.1988.038510120999
2017-08-03$54.83$0.0022.2%6.3%16.3%9.8%0.0%1.9%0.7%27.0K-135.4K-1.2K1.1982.988510120999
2017-08-04$55.62$0.0020.9%6.3%17.0%8.1%0.0%3.0%0.7%32.1K-204.4K-1.2K1.2085.718510220999
2017-08-07$54.98$0.0022.5%6.6%17.1%10.3%0.0%1.3%-1.2%6.4K-28.9K-9561.2085.0485102175110
2017-08-08$54.99$0.0021.5%6.4%16.6%8.9%0.0%1.8%-0.4%6.8K-31.0K-9371.2088.6885102175110
2017-08-09$54.00$0.0022.8%6.5%17.7%10.6%0.0%3.0%0.3%3.3K51.6K-9461.1286.038595175110
2017-08-10$52.94$0.0023.1%6.6%18.9%11.0%0.0%1.4%0.4%1.0K109.5K-8311.1284.328595175110
2017-08-11$52.42$0.0026.5%7.6%19.1%15.6%0.0%3.8%-1.9%-4.1K151.8K-7721.1287.218595175110
2017-08-14$53.65$0.0021.8%6.2%21.1%9.2%0.0%4.2%0.7%99292.1K-7971.1286.238595175110
2017-08-15$53.34$0.0021.8%6.3%21.1%9.3%0.0%4.1%0.9%4.6K113.7K-7371.1278.538595175110
2017-08-16$52.94$0.0021.9%6.3%21.2%9.4%0.0%3.5%0.9%3.9K108.2K-7061.1291.278595175105
2017-08-17$51.55$0.0025.3%7.3%23.0%14.0%25.7%2.1%-1.0%-5.7K150.4K-5841.1892.8585100175105
2017-08-18$51.67$50.0024.5%7.0%23.0%12.9%24.6%5.5%-0.4%3.4K112.3K-6011.1989.1385101177104
2017-08-21$51.36$50.0024.1%6.9%22.7%12.4%24.1%1.6%-0.0%2.7K-4.0K-5641.0694.0617188124
2017-08-22$51.72$50.0023.7%6.8%21.6%11.9%23.9%2.7%0.2%3.1K-10.1K-5881.0693.8717188124
2017-08-23$51.77$50.0024.4%7.0%20.5%12.8%24.4%2.9%-0.7%3.2K-10.0K-5521.0689.2617188124
2017-08-24$51.89$50.0023.6%6.8%20.6%11.7%23.8%2.9%0.3%3.2K-10.0K-5501.0689.3517188124
2017-08-25$52.29$50.0023.0%6.6%20.9%10.9%23.4%4.6%0.6%4.2K-21.4K-5851.0589.1220218124
2017-08-28$51.99$50.0024.4%7.0%19.5%12.8%24.6%2.3%-0.2%3.0K-10.2K-6060.9088.6420188527
2017-08-29$51.73$50.0024.2%6.9%19.3%12.6%24.6%7.8%0.1%48713.6K-6310.9092.6020188536
2017-08-30$51.69$50.0024.3%7.0%18.9%12.6%24.4%7.1%-0.1%-1.6K31.2K-6510.9091.8520188544
2017-08-31$51.44$50.0023.7%6.8%18.3%11.8%23.8%5.6%-0.2%-2.4K37.0K-6460.9092.3720188544