CBU Options History — October 2020

In October 2020, CBU traded between $54.12 and $59.81. ATM implied volatility averaged 33.3%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 3.7% (HV 20d: 29.6%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 3.20.

Notable Days

  • 2020-10-23: Highest Volume — 161 contracts
  • 2020-10-13: Largest IV spike — 33.4% change
  • 2020-10-28: Highest IV Rank — 29.0%
  • 2020-10-28: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.47$54.12$59.81$54.12$57.61
Max Pain$55.00$55.00$55.00$55.00$55.00
ATM IV33.3%18.1%48.0%29.8%44.4%
Expected Move10.5%8.6%13.8%8.6%12.7%
HV 20d29.6%24.8%33.9%30.2%29.6%
HV 60d29.1%27.6%32.2%32.2%28.4%
IV Rank17.0%4.5%29.0%14.1%26.0%
IV Percentile46.0%20.2%69.4%39.7%62.3%
Term Structure-0.1%-5.9%6.2%6.2%-4.1%
VWIV41.7%32.5%48.4%32.5%46.9%
Skew 25d6.2%4.2%9.8%9.4%9.8%
Skew 10d4.4%-28.4%29.2%23.7%20.7%
Call IV 25d33.9%25.7%44.1%25.7%44.1%
Put IV 25d40.1%33.8%53.9%35.1%53.9%
Bid-Ask Spread %96.6558.80126.63126.6384.74
Gamma HHI0.340.300.370.350.33
Net GEX15.1K-1.1K27.4K-1.1K20.3K
Net DEX-157.2K-604.8K239.3K239.3K-149.3K
Net VEX-5.6K-6.4K-5.1K-5.6K-6.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.200.0031.000.000.02
Total Volume35.22701610137
Total OI819.2737251,0477461,047

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-10-01$54.12$55.0029.8%8.6%30.2%14.1%0.0%9.4%6.2%-1.1K239.3K-5.6K0.00126.6300410336
2020-10-02$55.17$55.0031.3%9.0%31.4%15.3%0.0%7.0%6.0%3.1K119.3K-5.7K0.00123.3300410336
2020-10-05$56.29$55.0029.3%10.5%31.0%13.7%0.0%5.4%-0.7%7.5K-6.8K-5.6K0.0097.4200410336
2020-10-06$57.41$55.0027.0%10.7%30.1%11.8%0.0%5.4%-0.8%13.4K-149.3K-5.5K0.0098.0510410336
2020-10-07$57.50$55.0025.3%10.1%29.7%10.5%32.5%5.6%0.1%15.0K-159.7K-5.5K0.0597.59201411336
2020-10-08$58.86$55.0022.3%9.3%31.0%8.0%0.0%4.5%1.3%21.8K-336.7K-5.4K0.0096.1410411337
2020-10-09$58.47$55.0018.1%8.8%30.7%4.5%0.0%4.9%2.1%22.5K-288.1K-5.3K0.00102.1200412337
2020-10-12$59.16$55.0019.4%8.8%31.0%5.6%0.0%4.2%1.8%27.4K-384.9K-5.2K0.07103.39151412337
2020-10-13$57.47$55.0025.9%9.7%32.7%10.9%0.0%5.6%0.1%17.2K-169.6K-5.4K0.00104.3100427337
2020-10-14$56.35$55.0033.0%9.5%33.4%16.7%0.0%5.6%4.1%9.9K-21.5K-5.1K0.00104.7900427337
2020-10-15$57.36$55.0034.3%9.8%33.9%17.7%38.1%4.3%0.7%17.4K-156.9K-5.3K0.00104.01023427337
2020-10-16$57.43$55.0032.6%9.4%33.9%16.4%38.6%4.9%1.1%18.0K-153.5K-5.2K31.0098.81131427352
2020-10-19$56.39$55.0034.5%9.9%26.1%18.0%37.3%4.8%0.5%8.5K15.2K-5.1K0.00100.89024353372
2020-10-20$57.24$55.0034.6%9.9%26.2%18.0%39.0%4.7%0.8%11.5K-74.4K-5.2K0.00101.92022353399
2020-10-21$57.64$55.0031.9%9.2%24.8%15.8%40.9%5.4%2.1%12.3K-127.2K-5.1K0.0099.2507353423
2020-10-22$59.29$55.0039.6%11.4%26.2%22.1%46.2%6.3%-1.4%18.6K-326.8K-5.5K0.4283.493314353430
2020-10-23$58.76$55.0039.5%11.3%26.7%22.0%40.9%5.4%-2.3%19.4K-354.7K-5.5K1.0458.807982375447
2020-10-26$59.81$55.0043.3%12.4%26.1%25.1%48.4%7.5%-3.9%27.3K-604.8K-6.1K2.8879.591749448518
2020-10-27$58.53$55.0041.2%11.8%27.2%23.4%42.1%6.0%-3.6%19.7K-374.3K-6.1K0.4088.379638458557
2020-10-28$56.57$55.0048.0%13.8%30.2%29.0%45.5%9.6%-5.3%9.0K-173-6.4K0.5188.095327496549
2020-10-29$56.83$55.0047.4%13.6%30.0%28.4%45.2%9.8%-5.9%12.8K5.6K-6.3K2.0084.6312496549
2020-10-30$57.61$55.0044.4%12.7%29.6%26.0%46.9%9.8%-4.1%20.3K-149.3K-6.4K0.0284.741343496551