CBU Options History — April 2020

In April 2020, CBU traded between $58.31 and $67.05. ATM implied volatility averaged 69.0%, placing in the 49.8% IV rank vs the trailing year. The 30-day expected move averaged 17.6%. IV traded below realized volatility by 10.7% (HV 20d: 79.6%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 3.13.

Notable Days

  • 2020-04-21: Highest Volume — 77 contracts
  • 2020-04-03: Largest IV spike — 114.3% change
  • 2020-04-07: Highest IV Rank — 100.0%
  • 2020-04-01: Largest Expected Move — 31.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.23$58.31$67.05$58.31$62.92
Max Pain$60.00$60.00$60.00$60.00$60.00
ATM IV69.0%37.2%126.1%108.6%67.3%
Expected Move17.6%10.7%31.1%31.1%19.3%
HV 20d79.6%46.4%104.3%103.0%56.5%
HV 60d67.5%63.9%71.0%63.9%71.0%
IV Rank49.8%21.7%100.0%85.4%48.3%
IV Percentile89.5%76.2%100.0%98.8%88.9%
Term Structure-9.5%-59.3%20.1%-42.8%19.6%
VWIV74.8%46.9%130.7%60.3%130.7%
Skew 25d13.3%-69.1%81.9%22.5%25.0%
Skew 10d22.7%-23.7%79.8%57.8%52.4%
Call IV 25d62.5%39.9%127.3%66.8%43.8%
Put IV 25d75.8%40.9%134.4%89.3%68.8%
Bid-Ask Spread %127.29114.11139.47114.11136.99
Gamma HHI0.230.160.470.160.21
Net GEX4.9K-41.1K24.0K2.9K13.9K
Net DEX-478.3K-954.8K-182.3K-233.6K-527.2K
Net VEX-4.1K-4.9K-3.3K-4.9K-3.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.130.0010.000.0010.00
Total Volume9.71407700
Total OI655.571524762734525

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-04-01$58.31$60.00108.6%31.1%103.0%85.4%0.0%22.5%-42.8%2.9K-233.6K-4.9K0.00114.1100374360
2020-04-02$60.86$60.0045.9%13.6%103.8%29.7%0.0%33.2%-21.0%8.8K-445.3K-4.7K0.00123.92010374360
2020-04-03$58.91$60.0098.3%12.6%104.3%76.3%0.0%0.5%13.6%7.1K-389.1K-4.8K0.00125.0700374370
2020-04-06$60.28$60.00105.0%16.3%100.4%82.2%0.0%3.5%-17.4%8.0K-364.3K-4.8K0.00127.1800374370
2020-04-07$60.78$60.00126.1%19.3%100.3%100.0%0.0%13.3%-26.9%7.2K-477.8K-4.6K0.00133.2700374370
2020-04-08$61.30$60.0044.6%12.8%99.0%28.3%0.0%1.0%5.7%9.1K-515.6K-4.9K0.00129.3000374370
2020-04-09$65.39$60.0063.4%18.2%99.5%44.8%0.0%53.6%-20.2%10.2K-836.2K-4.8K0.00128.6700374370
2020-04-13$60.84$60.0071.5%20.5%102.4%51.9%0.0%9.7%-26.1%-3.5K-769.7K-4.2K0.00132.32160374370
2020-04-14$61.01$60.0057.0%16.4%98.9%39.2%0.0%13.3%5.7%10.8K-557.6K-4.4K2.00129.2712388370
2020-04-15$59.76$60.0085.8%24.6%92.8%64.5%60.3%16.1%-59.3%-25.2K-396.7K-4.1K0.00125.13120389372
2020-04-16$59.75$60.0071.3%20.4%92.5%51.7%70.3%4.5%-24.7%-41.1K-383.1K-4.0K0.00126.0703390372
2020-04-17$62.19$60.0063.1%18.1%92.6%44.6%66.3%15.6%-19.4%21.0K-706.6K-3.9K6.78124.14961390372
2020-04-20$60.79$60.0070.0%20.1%70.9%50.6%97.8%81.9%-15.6%13.2K-511.8K-4.6K0.00118.4810342217
2020-04-21$59.80$60.0051.1%14.7%63.0%34.0%51.1%-9.3%-7.1%3.0K-182.3K-3.9K0.00118.61077342217
2020-04-22$59.04$60.0039.4%11.3%49.5%23.7%46.9%44.5%18.7%4.2K-211.1K-3.4K10.00131.07110342183
2020-04-23$59.88$60.0037.9%10.9%49.5%22.4%0.0%5.8%12.5%236-240.1K-3.3K0.00131.6300342183
2020-04-24$60.26$60.0037.2%10.7%46.4%21.7%0.0%-1.1%8.1%1.4K-284.3K-3.4K0.00124.0900342183
2020-04-27$62.67$60.0057.7%16.5%48.1%39.8%130.7%19.6%20.1%12.5K-473.6K-3.5K0.00125.6801342182
2020-04-28$63.95$60.0053.0%15.2%48.5%35.7%0.0%-4.4%11.1%15.5K-582.4K-3.3K0.00128.5800342183
2020-04-29$67.05$60.0094.0%26.9%50.6%71.7%0.0%-69.1%-34.7%24.0K-954.8K-4.3K0.00139.4700342183
2020-04-30$62.92$60.0067.3%19.3%56.5%48.3%0.0%25.0%19.6%13.9K-527.2K-3.4K0.00136.9900342183