CBU Options History — December 2020

In December 2020, CBU traded between $61.40 and $65.83. ATM implied volatility averaged 33.2%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 0.8% (HV 20d: 34.0%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 4.22.

Notable Days

  • 2020-12-10: Highest Volume — 51 contracts
  • 2020-12-21: Largest IV spike — 14.2% change
  • 2020-12-21: Highest IV Rank — 19.3%
  • 2020-12-21: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.66$61.40$65.83$63.01$62.28
Max Pain$58.41$55.00$60.00$60.00$60.00
ATM IV33.2%30.5%36.2%32.5%35.3%
Expected Move9.5%8.7%10.4%9.3%10.1%
HV 20d34.0%20.4%64.1%64.1%20.4%
HV 60d43.0%41.9%44.3%44.3%42.0%
IV Rank16.8%14.6%19.3%16.3%18.6%
IV Percentile34.5%23.8%46.0%32.9%43.7%
Term Structure-1.1%-2.7%0.1%-1.4%-1.8%
VWIV37.0%30.6%45.2%31.8%45.2%
Skew 25d5.2%3.8%8.7%8.7%5.4%
Skew 10d12.3%9.3%22.0%22.0%18.6%
Call IV 25d31.3%28.5%33.2%28.5%32.1%
Put IV 25d36.5%33.6%38.7%37.2%37.5%
Bid-Ask Spread %82.1372.3195.1594.9695.15
Gamma HHI0.320.200.560.280.27
Net GEX37.7K1.4K111.2K36.0K22.4K
Net DEX-477.7K-784.8K-55.7K-507.5K-234.4K
Net VEX-3.6K-4.1K-3.1K-3.3K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.220.0030.000.002.67
Total Volume19.40905117
Total OI677.227576789576747

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-12-01$63.01$60.0032.5%9.3%64.1%16.3%31.8%8.7%-1.4%36.0K-507.5K-3.3K0.0094.9610296280
2020-12-02$64.23$60.0032.1%9.2%63.5%16.0%0.0%6.8%-0.6%43.5K-656.8K-3.4K0.0091.8500297280
2020-12-03$63.25$55.0031.6%8.7%57.0%15.6%0.0%5.1%-1.5%41.0K-538.2K-3.2K0.0074.52014297281
2020-12-04$64.71$55.0030.5%8.7%56.7%14.6%30.6%3.8%-0.8%46.7K-708.3K-3.1K1.0872.311314297297
2020-12-07$64.47$55.0032.0%8.8%56.4%15.9%0.0%4.2%-1.0%42.3K-673.5K-3.1K0.0073.1610298312
2020-12-08$64.94$55.0031.9%8.7%32.3%15.8%0.0%4.2%-0.7%46.0K-741.0K-3.1K2.0073.161224299312
2020-12-09$65.12$55.0033.4%9.6%32.3%17.1%0.0%5.0%-0.8%43.8K-784.8K-3.4K0.0073.11014310335
2020-12-10$64.91$55.0033.1%9.5%29.4%16.8%33.3%5.6%-1.2%42.0K-772.3K-3.3K0.3472.903813318350
2020-12-11$64.22$55.0033.9%9.7%29.2%17.5%37.0%6.1%-0.9%41.9K-683.1K-3.9K9.0072.74436353364
2020-12-14$64.77$60.0032.7%9.4%27.9%16.5%0.0%5.0%0.1%45.7K-563.5K-3.7K30.0077.39130319400
2020-12-15$65.83$60.0032.9%9.4%25.9%16.6%0.0%5.1%-0.0%70.1K-734.5K-3.7K1.0078.342020319430
2020-12-16$65.40$60.0032.9%9.4%26.0%16.6%0.0%4.5%-1.1%82.8K-709.2K-4.1K0.0078.1601339450
2020-12-17$64.69$60.0032.1%9.2%25.6%16.0%32.2%4.9%-0.8%111.2K-570.6K-3.9K0.0081.0620339449
2020-12-18$63.00$60.0031.7%9.1%27.3%15.6%34.1%4.2%-0.5%17.8K-281.6K-3.8K2.5684.71923339449
2020-12-21$61.92$60.0036.2%10.4%27.7%19.3%40.4%5.0%-2.4%5.7K-127.2K-3.9K0.0087.1208285334
2020-12-22$61.40$60.0035.1%10.1%27.7%18.4%40.0%6.2%-1.4%1.4K-55.7K-3.9K10.0082.25110285345
2020-12-23$62.60$60.0031.7%9.1%25.4%15.6%33.0%5.5%-0.7%8.1K-181.4K-3.7K0.3185.213511285355
2020-12-24$62.34$60.0034.1%9.8%24.9%17.6%41.4%4.9%-0.6%14.7K-220.5K-4.1K0.0085.4508320365
2020-12-28$63.02$60.0033.2%9.5%24.8%16.8%34.1%4.0%-2.4%20.8K-297.9K-3.8K0.1889.14346323374
2020-12-29$62.25$60.0035.8%10.3%21.8%19.0%42.4%5.2%-1.6%23.3K-250.0K-3.8K2.6790.0438353380
2020-12-30$62.11$60.0035.2%10.1%21.7%18.5%42.3%5.0%-2.7%21.7K-218.0K-3.8K0.0094.0606351388
2020-12-31$62.28$60.0035.3%10.1%20.4%18.6%45.2%5.4%-1.8%22.4K-234.4K-3.7K0.0095.1507351396