CBU Options History — October 2018

In October 2018, CBU traded between $54.98 and $61.95. ATM implied volatility averaged 33.4%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 11.5% (HV 20d: 21.9%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 3.15.

Notable Days

  • 2018-10-10: Highest Volume — 293 contracts
  • 2018-10-03: Largest IV spike — 105.0% change
  • 2018-10-03: Highest IV Rank — 21.2%
  • 2018-10-03: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.01$54.98$61.95$59.99$58.43
Max Pain$60.22$60.00$65.00$65.00$60.00
ATM IV33.4%21.9%46.4%32.2%21.9%
Expected Move9.3%6.2%13.3%9.2%6.3%
HV 20d21.9%14.0%29.6%14.2%28.2%
HV 60d17.7%15.5%20.4%15.8%20.4%
IV Rank12.7%5.1%21.2%11.9%5.1%
IV Percentile57.5%17.1%86.5%59.5%17.1%
Term Structure-6.4%-23.5%8.2%-8.5%2.8%
VWIV34.3%21.8%57.3%33.2%29.6%
Skew 25d13.2%-6.8%63.2%3.3%15.1%
Skew 10d28.1%-11.6%94.6%8.7%19.2%
Call IV 25d31.6%20.6%64.7%33.5%25.5%
Put IV 25d44.8%24.0%88.1%36.8%40.7%
Bid-Ask Spread %114.5099.06126.58106.33116.84
Gamma HHI0.290.210.340.340.23
Net GEX-893-12.5K5.4K4.9K-1.7K
Net DEX118.0K-7.7K281.6K48.3K131.4K
Net VEX-2.0K-2.5K-1.6K-1.6K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.151.874.323.552.91
Total Volume233.087168293273180
Total OI339.348242368242357

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-10-01$59.99$65.0032.2%9.2%14.2%11.9%33.2%3.3%-8.5%4.9K48.3K-1.6K3.55106.336021397145
2018-10-02$60.08$60.0022.6%6.5%14.0%5.6%26.2%63.2%0.0%-9.0K153.8K-1.9K3.38112.136020397220
2018-10-03$61.43$60.0046.4%13.3%17.0%21.2%57.3%-6.8%-20.0%-20336.4K-2.0K3.18126.586019197230
2018-10-04$61.31$60.0035.3%7.7%17.0%13.9%25.1%8.8%0.2%3.2K41.4K-2.2K3.1899.066019197231
2018-10-05$60.94$60.0025.1%6.2%17.0%7.2%24.3%8.2%7.5%1.3K54.7K-2.2K3.18103.546019197231
2018-10-08$61.90$60.0026.3%6.9%18.3%8.0%21.8%3.4%0.0%2.6K82.9K-2.0K3.18113.836019197231
2018-10-09$61.95$60.0036.7%7.5%18.2%14.8%25.5%7.1%-1.9%3.3K53.8K-2.1K3.18101.146019197231
2018-10-10$61.55$60.0029.2%8.4%17.8%9.9%24.8%12.3%-2.5%3.5K43.5K-2.0K1.87115.45102191102231
2018-10-11$59.80$60.0039.4%11.3%19.1%16.6%27.7%9.5%-12.9%5.4K-7.7K-2.5K1.87120.34102191128231
2018-10-12$57.66$60.0041.5%11.9%21.6%18.0%40.6%25.5%-23.5%466111.1K-2.1K3.60120.6353191128231
2018-10-15$58.87$60.0038.9%11.1%23.1%16.3%39.8%32.8%-20.1%2.6K97.2K-2.0K3.60122.4753191127231
2018-10-16$58.70$60.0037.5%10.7%23.1%15.3%37.5%19.3%-18.0%-28156.7K-2.1K3.60113.2853191127231
2018-10-17$59.19$60.0031.1%8.9%23.4%11.2%35.0%31.4%-10.4%4.9K82.0K-2.2K3.60120.9153191127231
2018-10-18$58.77$60.0037.6%10.8%23.2%15.4%38.1%22.5%-19.9%-6.5K182.3K-1.9K3.60115.6453191127231
2018-10-19$58.17$60.0036.1%10.4%23.3%14.5%39.2%31.9%-23.4%1.0K193.4K-1.8K3.10120.6162192127231
2018-10-22$57.60$60.0036.5%10.5%23.1%14.7%35.9%1.3%-8.1%3.2K74.6K-2.1K4.32113.2841177106216
2018-10-23$57.03$60.0029.9%8.6%23.2%10.4%34.9%-2.1%-4.4%-9.6K198.6K-2.0K4.29106.9441176106221
2018-10-24$54.98$60.0035.0%10.0%25.6%13.7%42.2%0.9%1.5%-4.8K185.2K-2.2K3.10115.1041127106225
2018-10-25$56.48$60.0030.7%8.8%28.0%10.9%32.9%7.4%8.2%-12.5K281.6K-1.8K2.49109.6651127106231
2018-10-26$56.56$60.0028.6%8.2%28.0%9.5%47.1%-2.3%3.2%-5.5K196.6K-1.8K2.40123.8952125116251
2018-10-29$57.20$60.0029.3%8.4%28.0%10.0%29.9%2.1%0.7%-8.0K197.8K-1.9K2.58113.3952134117251
2018-10-30$58.60$60.0039.9%11.4%29.6%17.0%40.5%9.8%1.9%815117.7K-1.6K2.58122.5452134117240
2018-10-31$58.43$60.0021.9%6.3%28.2%5.1%29.6%15.1%2.8%-1.7K131.4K-1.8K2.91116.8446134117240