CBU Options History — May 2019

In May 2019, CBU traded between $61.54 and $67.62. ATM implied volatility averaged 28.8%, placing in the 28.1% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 3.0% (HV 20d: 25.8%). Max pain ranged from $50.00 to $65.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.60.

Notable Days

  • 2019-05-14: Highest Volume — 112 contracts
  • 2019-05-13: Largest IV spike — 192.0% change
  • 2019-05-13: Highest IV Rank — 73.5%
  • 2019-05-30: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.70$61.54$67.62$65.26$61.54
Max Pain$56.36$50.00$65.00$60.00$65.00
ATM IV28.8%16.4%54.1%17.9%40.1%
Expected Move8.2%4.4%12.3%5.1%11.5%
HV 20d25.8%23.7%28.4%24.8%25.8%
HV 60d25.5%23.9%26.9%23.9%26.3%
IV Rank28.1%5.8%73.5%8.5%48.3%
IV Percentile49.5%5.2%97.2%7.9%85.3%
Term Structure-3.3%-15.9%8.3%2.2%-0.8%
VWIV23.3%17.7%28.6%17.9%28.0%
Skew 25d6.1%-15.8%26.9%1.1%-15.8%
Skew 10d2.3%-37.2%25.7%1.6%-37.2%
Call IV 25d30.7%16.1%60.8%17.0%60.8%
Put IV 25d36.8%14.5%51.8%18.0%45.0%
Bid-Ask Spread %107.9194.13122.3894.13117.21
Gamma HHI0.600.460.720.550.62
Net GEX139.1K54.0K333.7K153.6K55.0K
Net DEX-878.3K-1.7M-413.1K-1.0M-432.7K
Net VEX-3.2K-4.0K-2.8K-3.4K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.004.500.000.00
Total Volume32.0910112701
Total OI612.5435769658486

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-05-01$65.26$60.0017.9%5.1%24.8%8.5%17.9%1.1%2.2%153.6K-1.0M-3.4K0.0094.13700401257
2019-05-02$65.78$60.0017.6%5.0%24.8%7.9%17.7%1.7%2.0%168.1K-1.3M-3.8K0.0195.05701461257
2019-05-03$67.30$65.0016.4%4.7%25.6%5.8%18.6%-1.8%0.8%141.1K-1.6M-4.0K0.02100.92631461258
2019-05-06$67.62$50.0027.1%4.4%25.5%25.0%0.0%11.6%3.5%129.7K-1.7M-3.9K0.00100.47300458258
2019-05-07$66.01$50.0020.6%8.0%27.5%13.3%0.0%13.1%2.7%171.6K-1.4M-3.8K0.00108.80300461258
2019-05-08$65.53$50.0019.7%8.2%27.0%11.7%0.0%13.1%-1.8%184.0K-1.3M-3.7K0.00111.05300461258
2019-05-09$65.74$50.0021.9%6.9%26.1%15.6%0.0%9.9%-5.5%185.6K-1.1M-3.2K0.00114.99300461258
2019-05-10$65.88$50.0018.5%8.6%26.0%9.6%0.0%6.1%-2.0%183.1K-1.3M-3.5K0.00114.4700461258
2019-05-13$63.58$50.0054.1%9.2%28.4%73.5%0.0%22.3%-15.9%112.1K-671.9K-3.1K0.18118.98112461258
2019-05-14$64.93$50.0027.0%8.1%27.9%24.8%28.6%18.6%-6.3%210.3K-977.1K-3.0K0.12104.0410012460256
2019-05-15$64.17$50.0031.0%8.9%27.4%32.0%21.7%21.9%-14.8%229.8K-657.5K-2.8K0.55106.91116460256
2019-05-16$64.75$50.0030.9%8.9%27.6%31.8%22.5%26.9%-12.8%285.7K-914.9K-2.9K0.07118.78826460262
2019-05-17$64.70$50.0030.5%8.7%26.2%31.1%26.5%22.4%-8.5%333.7K-937.6K-3.2K0.45112.024018507262
2019-05-20$64.76$50.0028.1%8.1%23.9%26.8%0.0%-5.2%-0.0%65.9K-492.3K-2.9K0.00104.922038055
2019-05-21$65.22$50.0026.3%7.5%23.8%23.6%27.4%-1.6%2.7%75.2K-516.9K-3.0K3.0095.932638255
2019-05-22$64.50$65.0023.4%6.7%23.7%18.4%21.7%8.2%4.8%72.4K-503.6K-3.0K3.00103.042638261
2019-05-23$62.64$65.0034.2%9.8%25.0%37.7%25.9%-5.5%-10.0%54.0K-470.9K-2.9K4.50101.812938261
2019-05-24$63.97$65.0031.9%9.1%25.5%33.6%28.0%7.4%-3.0%55.5K-413.1K-2.8K0.17109.8552938264
2019-05-28$63.36$65.0035.0%10.0%25.4%39.3%0.0%-8.4%-4.9%63.5K-521.3K-3.2K0.00105.550042164
2019-05-29$63.58$65.0038.9%11.1%25.4%46.1%0.0%-13.1%-12.9%61.7K-633.9K-3.3K0.00122.381042164
2019-05-30$62.48$65.0042.8%12.3%25.7%53.3%0.0%2.4%8.3%68.3K-639.2K-3.2K0.00112.631042264
2019-05-31$61.54$65.0040.1%11.5%25.8%48.3%0.0%-15.8%-0.8%55.0K-432.7K-2.8K0.00117.211042264