CBU Options History — October 2019

In October 2019, CBU traded between $60.17 and $68.84. ATM implied volatility averaged 22.3%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 3.1% (HV 20d: 19.1%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 15 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 0.64.

Notable Days

  • 2019-10-22: Highest Volume — 122 contracts
  • 2019-10-25: Largest IV drop — 38.7% change
  • 2019-10-09: Highest IV Rank — 22.1%
  • 2019-10-08: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.96$60.17$68.84$60.93$67.64
Max Pain$64.57$60.00$65.00$60.00$65.00
ATM IV22.3%13.7%26.9%24.7%15.5%
Expected Move6.4%3.9%7.8%7.1%4.5%
HV 20d19.1%15.8%21.9%21.9%17.9%
HV 60d22.5%21.2%23.3%22.7%21.3%
IV Rank14.7%0.8%22.1%18.6%3.8%
IV Percentile28.5%0.8%47.6%41.7%2.0%
Term Structure0.9%-1.5%3.5%1.3%2.2%
VWIV20.4%16.0%28.4%28.4%17.1%
Skew 25d4.6%-7.6%11.5%11.5%4.0%
Skew 10d7.5%-26.5%19.3%19.3%2.0%
Call IV 25d21.4%16.3%29.6%16.9%17.7%
Put IV 25d25.9%21.4%30.8%28.4%21.8%
Bid-Ask Spread %86.6561.16107.19107.1998.43
Gamma HHI0.500.360.830.510.44
Net GEX37.3K-39.5K129.1K-21.8K129.1K
Net DEX-613.9K-2.7M545.6K545.6K-2.4M
Net VEX-2.0K-2.5K-1.5K-2.3K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.002.801.672.80
Total Volume15.13012250
Total OI487.087327594521594

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-10-01$60.93$60.0024.7%7.1%21.9%18.6%0.0%11.5%1.3%-21.8K545.6K-2.3K0.00107.1905268253
2019-10-02$60.91$60.0026.0%7.4%21.9%20.6%0.0%5.8%1.4%-19.3K435.3K-2.3K0.00104.5900268238
2019-10-03$60.43$65.0025.0%7.5%20.6%19.0%28.4%5.2%-0.6%-28.6K536.0K-2.0K1.6787.7035268238
2019-10-04$60.94$65.0024.2%7.1%20.8%17.8%0.0%6.3%0.7%-24.5K327.5K-2.0K0.0087.6800265215
2019-10-07$61.07$65.0025.2%7.5%19.1%19.3%0.0%6.3%-0.2%-27.4K305.4K-1.8K0.0084.4700265215
2019-10-08$60.17$65.0026.7%7.8%19.1%21.8%0.0%6.0%-1.2%-39.5K462.1K-1.8K0.0086.3300265215
2019-10-09$60.65$65.0026.9%7.7%16.9%22.1%0.0%6.3%-0.6%-38.0K345.5K-1.7K0.0086.5100265215
2019-10-10$61.35$65.0026.7%7.7%15.8%21.8%0.0%5.4%-0.5%-27.2K146.2K-1.8K0.0087.47130265198
2019-10-11$63.03$65.0023.0%6.6%19.2%15.9%0.0%4.1%1.3%20.0K-196.1K-2.0K0.6778.9232273198
2019-10-14$62.35$65.0026.4%7.6%19.1%21.3%0.0%6.5%-0.2%5.4K-93.2K-1.6K0.0091.3700274200
2019-10-15$62.48$65.0026.1%7.5%19.0%20.9%0.0%6.2%-1.5%9.0K-66.2K-1.6K0.0092.9800274200
2019-10-16$62.77$65.0021.2%6.1%19.1%13.0%0.0%6.3%2.0%20.0K-132.7K-1.6K0.0094.0300274200
2019-10-17$63.07$65.0020.7%5.9%19.0%12.2%0.0%6.8%2.2%26.7K-141.2K-1.5K0.0092.8100274200
2019-10-18$63.79$65.0020.9%6.0%19.0%12.5%20.9%7.3%1.9%73.5K-327.8K-1.5K0.5082.5842274200
2019-10-21$65.67$65.0021.1%6.1%21.5%12.8%20.5%6.0%1.3%85.6K-560.3K-1.6K0.1490.5321326364
2019-10-22$66.42$65.0021.9%6.3%20.2%14.1%21.9%5.7%0.6%87.0K-747.0K-1.8K0.0092.28122028066
2019-10-23$66.63$65.0022.0%6.3%19.8%14.2%0.0%5.1%1.1%106.0K-1.4M-2.5K0.0061.1601040166
2019-10-24$67.42$65.0022.3%6.4%18.7%14.7%18.4%4.0%-0.1%103.0K-1.6M-2.4K0.0265.5560140176
2019-10-25$67.56$65.0013.7%3.9%18.5%0.8%0.0%5.1%3.5%105.4K-2.0M-2.5K0.0067.270145177
2019-10-28$68.59$65.0017.3%5.0%18.9%6.7%16.0%-5.3%2.3%96.4K-2.2M-2.1K0.0080.0955045178
2019-10-29$68.84$65.0017.3%5.0%17.1%6.7%17.1%-7.6%2.4%104.2K-2.7M-2.0K2.8079.75102850678
2019-10-30$68.42$65.0017.4%5.0%17.5%6.8%0.0%-1.8%2.5%113.5K-2.6M-2.1K0.0093.370051678
2019-10-31$67.64$65.0015.5%4.5%17.9%3.8%0.0%4.0%2.2%129.1K-2.4M-2.4K0.0098.430051678