CBU Options History — July 2019

In July 2019, CBU traded between $64.18 and $66.32. ATM implied volatility averaged 32.4%, placing in the 36.5% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 15.0% (HV 20d: 17.4%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.90.

Notable Days

  • 2019-07-23: Highest Volume — 22 contracts
  • 2019-07-30: Largest IV spike — 68.0% change
  • 2019-07-31: Highest IV Rank — 61.2%
  • 2019-07-31: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.16$64.18$66.32$65.73$66.32
Max Pain$60.68$60.00$65.00$65.00$60.00
ATM IV32.4%22.0%45.3%33.2%45.3%
Expected Move9.4%6.3%13.0%9.5%13.0%
HV 20d17.4%14.3%19.7%16.2%18.6%
HV 60d21.7%20.3%23.3%22.8%20.5%
IV Rank36.5%16.8%61.2%38.1%61.2%
IV Percentile63.8%28.6%91.7%65.5%91.7%
Term Structure-4.5%-12.5%9.5%6.6%-12.5%
VWIV35.9%25.1%40.3%25.1%38.5%
Skew 25d6.8%-16.6%69.3%7.0%5.5%
Skew 10d11.3%-8.8%101.4%4.9%4.6%
Call IV 25d33.6%19.2%58.3%45.2%58.3%
Put IV 25d40.4%21.5%101.3%52.3%63.9%
Bid-Ask Spread %118.89110.73126.27121.39124.73
Gamma HHI0.540.400.760.600.48
Net GEX69.0K23.9K179.5K93.2K27.8K
Net DEX-555.4K-863.9K-237.3K-863.9K-369.9K
Net VEX-1.7K-2.5K-979-2.4K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.002.670.000.00
Total Volume4.502201
Total OI290.818205335325230

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-07-01$65.73$65.0033.2%9.5%16.2%38.1%0.0%7.0%6.6%93.2K-863.9K-2.4K0.00121.390028243
2019-07-02$64.49$65.0026.0%7.5%14.3%24.4%0.0%-2.8%8.0%79.7K-695.1K-2.5K0.00121.440028243
2019-07-03$65.34$65.0028.7%8.2%14.9%29.5%0.0%69.3%9.5%87.2K-725.9K-2.3K0.00124.240028243
2019-07-05$66.12$60.0033.5%9.6%15.3%38.7%0.0%14.8%-3.6%94.0K-850.7K-2.3K0.00113.100028243
2019-07-08$65.28$60.0031.5%10.6%16.2%34.9%0.0%-6.4%-10.1%77.5K-812.5K-2.3K0.00120.940028243
2019-07-09$65.53$60.0031.4%10.1%15.9%34.7%0.0%16.6%-10.4%79.6K-783.3K-2.1K0.00120.840028243
2019-07-10$64.81$60.0032.5%9.3%16.3%36.7%0.0%1.2%-9.0%118.3K-697.8K-2.0K0.00124.690028243
2019-07-11$65.05$60.0033.1%9.5%16.3%38.0%0.0%11.8%-10.4%101.9K-743.0K-2.0K0.00118.980028243
2019-07-12$65.82$60.0034.7%9.9%16.8%40.9%0.0%16.9%-7.5%73.1K-817.5K-1.9K0.00114.1601028243
2019-07-15$64.18$60.0031.5%9.0%19.2%34.9%0.0%17.1%-9.6%86.4K-627.2K-1.8K0.00110.730028253
2019-07-16$64.76$60.0034.6%9.9%18.8%40.7%0.0%5.1%-6.9%71.4K-690.2K-1.7K0.00125.110028253
2019-07-17$64.48$60.0037.8%10.8%18.1%46.9%0.0%-16.6%-10.9%76.7K-669.1K-1.7K0.00117.190028253
2019-07-18$64.68$60.0028.4%8.2%18.0%29.0%0.0%6.4%4.6%74.1K-651.5K-1.4K0.00126.271028253
2019-07-19$64.67$60.0034.9%10.0%17.6%41.3%0.0%3.9%-7.2%179.5K-292.3K-1.4K0.00115.261028253
2019-07-22$64.40$60.0032.5%9.3%17.6%36.8%25.1%-5.1%-9.5%24.3K-244.8K-1.2K1.33123.156815253
2019-07-23$64.74$60.0032.4%9.3%17.4%36.5%40.3%12.3%-6.5%23.9K-251.7K-1.3K2.67115.5761615861
2019-07-24$65.82$60.0032.5%9.3%18.2%36.7%38.0%8.1%-5.1%27.2K-305.8K-1.3K1.67115.0161015869
2019-07-25$64.77$60.0032.6%9.4%19.3%37.0%37.7%-6.3%-6.9%28.5K-309.6K-1.4K1.67113.4461015871
2019-07-26$65.69$60.0026.0%7.5%19.3%24.4%38.5%1.3%3.5%30.6K-272.5K-1.2K1.67117.7661015871
2019-07-29$64.96$60.0022.0%6.3%19.2%16.8%0.0%4.7%2.9%33.9K-237.3K-9790.00115.161015871
2019-07-30$65.77$60.0037.0%10.6%19.7%45.3%0.0%-15.9%-8.2%30.2K-306.9K-1.2K0.00116.521015971
2019-07-31$66.32$60.0045.3%13.0%18.6%61.2%0.0%5.5%-12.5%27.8K-369.9K-1.3K0.00124.731015971