CBU Options History — May 2018

In May 2018, CBU traded between $57.17 and $60.78. ATM implied volatility averaged 27.6%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 8.8% (HV 20d: 18.8%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.27.

Notable Days

  • 2018-05-09: Highest Volume — 326 contracts
  • 2018-05-04: Largest IV spike — 63.9% change
  • 2018-05-25: Highest IV Rank — 18.7%
  • 2018-05-25: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.61$57.17$60.78$57.51$59.97
Max Pain$54.55$50.00$55.00$50.00$55.00
ATM IV27.6%15.8%42.6%27.6%37.2%
Expected Move7.9%4.8%12.2%7.9%10.7%
HV 20d18.8%12.3%25.3%25.3%12.8%
HV 60d23.5%22.4%25.8%25.8%22.4%
IV Rank8.8%1.1%18.7%8.9%15.2%
IV Percentile54.3%0.4%86.9%67.9%77.0%
Term Structure-4.4%-28.0%9.6%9.6%-28.0%
VWIV22.7%13.7%28.7%20.5%26.1%
Skew 25d-0.6%-34.3%9.8%5.7%-3.4%
Skew 10d6.2%-24.3%32.4%27.9%-0.8%
Call IV 25d23.6%13.2%55.5%20.3%19.1%
Put IV 25d23.0%15.8%28.9%25.9%15.8%
Bid-Ask Spread %113.6353.14127.90118.09123.20
Gamma HHI0.740.510.980.710.61
Net GEX97.9K34.6K302.6K142.1K47.6K
Net DEX-2.1M-3.9M-687.6K-1.5M-776.8K
Net VEX-2.3K-2.8K-1.9K-2.2K-2.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.270.070.450.280.29
Total Volume171.0919632697137
Total OI494.864236812417289

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-05-01$57.51$50.0027.6%7.9%25.3%8.9%20.5%5.7%9.6%142.1K-1.5M-2.2K0.28118.09762139621
2018-05-02$57.65$50.0028.6%8.2%24.1%9.5%18.7%3.8%4.6%94.1K-1.6M-2.4K0.25126.08852139621
2018-05-03$57.17$55.0015.8%6.8%24.4%1.1%22.4%6.4%4.5%105.2K-1.5M-2.3K0.25113.21852140621
2018-05-04$58.10$55.0025.9%5.4%21.9%7.8%13.7%9.8%8.0%87.0K-1.7M-2.2K0.14119.791492140621
2018-05-07$58.61$55.0022.0%6.4%22.0%5.2%21.7%5.0%-3.3%61.3K-2.3M-1.9K0.08117.502652148021
2018-05-08$59.20$55.0018.9%4.8%21.2%3.1%18.2%7.3%4.9%123.8K-2.7M-2.4K0.0787.982952161221
2018-05-09$59.99$55.0020.3%5.8%21.1%4.1%20.6%4.5%0.8%103.6K-3.2M-2.4K0.1453.142854166221
2018-05-10$60.10$55.0019.9%5.7%20.9%3.8%20.3%4.4%0.8%112.1K-3.5M-2.4K0.1558.872654171241
2018-05-11$60.05$55.0027.7%8.0%19.4%8.9%25.1%-16.9%-9.1%132.1K-3.7M-2.4K0.21119.631974174241
2018-05-14$59.80$55.0029.8%8.5%19.6%10.3%23.2%-1.8%-13.5%114.0K-3.7M-2.3K0.23123.681814175141
2018-05-15$60.16$55.0029.4%8.4%19.1%10.1%22.3%0.2%-5.5%119.3K-3.7M-2.3K0.36114.571144174941
2018-05-16$60.44$55.0027.7%7.9%18.4%8.9%26.9%9.1%-6.3%104.1K-3.9M-2.3K0.36120.681144177141
2018-05-17$60.78$55.0032.1%9.2%18.3%11.9%24.6%-2.2%-15.6%125.0K-3.0M-2.2K0.36124.001144160841
2018-05-18$60.20$55.0031.2%8.9%19.1%11.2%28.7%-5.2%-12.3%302.6K-3.1M-2.1K0.36118.891144160841
2018-05-21$60.20$55.0032.6%9.3%19.2%12.1%25.0%1.7%-8.4%34.6K-727.3K-2.0K0.45123.90663020630
2018-05-22$60.67$55.0024.6%7.0%18.9%6.8%23.3%2.9%-3.3%56.5K-793.0K-1.9K0.45117.97663020830
2018-05-23$60.18$55.0024.3%7.0%14.4%6.7%21.2%-10.8%0.3%51.5K-687.6K-2.0K0.45122.65663020830
2018-05-24$60.30$55.0026.9%7.7%14.1%8.4%25.1%-0.5%-3.4%59.6K-841.4K-2.8K0.28121.211063025830
2018-05-25$60.16$55.0042.6%12.2%14.2%18.7%20.1%-34.3%-17.9%51.7K-801.1K-2.8K0.28127.901063025830
2018-05-29$59.67$55.0029.9%8.6%13.2%10.4%28.6%1.3%-3.1%64.7K-737.4K-2.6K0.29120.151063125830
2018-05-30$60.45$55.0031.2%9.0%12.3%11.2%22.2%0.4%0.5%62.4K-794.6K-2.7K0.29126.851063125831
2018-05-31$59.97$55.0037.2%10.7%12.8%15.2%26.1%-3.4%-28.0%47.6K-776.8K-2.6K0.29123.201063125831