CBU Options History — March 2020

In March 2020, CBU traded between $47.75 and $65.52. ATM implied volatility averaged 84.9%, placing in the 77.1% IV rank vs the trailing year. The 30-day expected move averaged 23.4%. IV traded above realized volatility by 13.2% (HV 20d: 71.8%). Max pain ranged from $60.00 to $70.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 0.49.

Notable Days

  • 2020-03-12: Highest Volume — 140 contracts
  • 2020-03-09: Largest IV spike — 54.1% change
  • 2020-03-09: Highest IV Rank — 100.0%
  • 2020-03-20: Largest Expected Move — 35.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.56$47.75$65.52$64.47$58.05
Max Pain$63.42$60.00$70.00$65.00$60.00
ATM IV84.9%44.7%125.0%45.2%102.4%
Expected Move23.4%10.8%35.8%13.0%29.4%
HV 20d71.8%41.5%109.8%42.0%103.2%
HV 60d43.8%26.7%63.9%26.8%63.9%
IV Rank77.1%51.2%100.0%52.2%79.9%
IV Percentile97.9%94.0%100.0%95.6%98.4%
Term Structure-23.3%-69.0%-3.1%-5.5%-40.9%
VWIV76.1%24.9%95.8%24.9%89.9%
Skew 25d6.4%-29.8%42.0%32.1%25.3%
Skew 10d11.4%-35.5%74.8%8.6%31.8%
Call IV 25d86.4%28.0%149.4%28.7%98.5%
Put IV 25d92.8%47.8%139.4%60.8%123.8%
Bid-Ask Spread %113.5292.68126.54119.03121.36
Gamma HHI0.250.160.440.440.17
Net GEX14.7K-5.9K58.1K38.2K105
Net DEX-67.0K-764.3K358.6K-348.0K-139.0K
Net VEX-2.9K-3.9K-2.1K-2.8K-3.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.002.000.180.37
Total Volume32.72701407982
Total OI533.455406652406652

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-03-02$64.47$65.0045.2%13.0%42.0%52.2%24.9%32.1%-5.5%38.2K-348.0K-2.8K0.18119.03671233373
2020-03-03$64.59$60.0044.7%12.8%41.5%51.4%0.0%42.0%-19.8%50.4K-648.3K-3.1K0.00125.130139085
2020-03-04$65.52$60.0046.2%13.2%41.6%53.7%0.0%30.0%-17.0%58.1K-764.3K-3.2K0.00121.360039086
2020-03-05$63.29$0.0044.7%10.8%42.5%51.4%0.0%-2.3%-3.8%44.3K-505.7K-2.9K0.00113.530039086
2020-03-06$62.53$0.0062.8%12.9%42.6%80.4%0.0%-0.2%-10.2%39.4K-488.8K-2.9K0.00113.640039086
2020-03-09$57.65$0.0096.8%20.3%50.5%100.0%71.4%18.1%-13.4%24.7K-255.0K-2.6K0.00106.1202839086
2020-03-10$56.97$60.0090.4%20.2%50.5%92.4%75.3%10.7%-14.3%18.2K24.6K-2.3K0.50104.962010390109
2020-03-11$54.77$60.0081.3%23.3%51.0%81.6%0.0%5.7%-14.8%17.7K-54.6K-2.3K0.10105.63202410120
2020-03-12$52.54$60.0088.6%25.4%51.8%90.3%72.0%-4.2%-17.4%12.7K61.1K-2.1K0.40103.4210040410122
2020-03-13$55.39$70.0092.4%26.5%56.6%94.8%81.0%16.2%-51.3%16.1K12.2K-3.0K1.0094.6522412172
2020-03-16$51.82$70.00113.9%32.7%59.7%100.0%0.0%-10.1%-28.6%2.1K334.2K-2.3K0.00123.82042357174
2020-03-17$57.40$70.0097.0%27.8%72.7%83.4%0.0%19.2%-21.3%2.6K187.6K-2.7K0.00121.8520357196
2020-03-18$58.66$70.00111.8%32.0%73.4%97.9%0.0%15.0%-51.8%13.5K-9.3K-3.1K0.0092.68011358196
2020-03-19$60.98$70.00108.6%31.1%75.2%94.7%0.0%7.5%-40.2%2.6K-75.5K-3.3K0.00122.81100358207
2020-03-20$51.91$70.00125.0%35.8%93.1%100.0%79.0%-23.4%-69.0%-1.2K358.6K-2.6K0.26119.143810368207
2020-03-23$47.75$60.00101.6%29.1%96.4%79.2%87.4%-12.9%-29.8%828223.7K-2.4K0.00126.54073252188
2020-03-24$53.68$60.0079.2%22.7%107.4%59.3%84.4%4.0%-18.5%-5.9K329.0K-2.5K2.00114.002244252261
2020-03-25$54.57$60.0082.5%23.6%107.8%62.2%95.8%-29.8%-3.1%-3.7K145.0K-3.4K1.05105.402021264305
2020-03-26$57.40$60.0082.8%23.8%109.8%62.5%0.0%12.3%-26.2%-2.4K93.1K-3.4K0.00103.44011284326
2020-03-27$58.10$60.0070.1%20.1%106.9%51.2%0.0%-1.0%-7.1%-1.9K11.5K-3.5K0.00115.3800284338
2020-03-30$58.28$60.00100.8%28.9%103.2%78.5%0.0%-13.2%-9.2%-3.8K34.1K-3.2K0.00123.46300284338
2020-03-31$58.05$60.00102.4%29.4%103.2%79.9%89.9%25.3%-40.9%105-139.0K-3.9K0.37121.366022314338