CBU Options History — March 2021

In March 2021, CBU traded between $72.38 and $82.40. ATM implied volatility averaged 53.8%, placing in the 30.5% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded above realized volatility by 27.1% (HV 20d: 26.7%). Max pain ranged from $65.00 to $75.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 0.11.

Notable Days

  • 2021-03-10: Highest Volume — 140 contracts
  • 2021-03-02: Largest IV spike — 89.8% change
  • 2021-03-09: Highest IV Rank — 66.4%
  • 2021-03-03: Largest Expected Move — 23.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$77.40$72.38$82.40$73.02$77.17
Max Pain$69.78$65.00$75.00$65.00$75.00
ATM IV53.8%30.6%95.8%38.2%56.4%
Expected Move13.9%8.8%23.2%10.9%16.2%
HV 20d26.7%20.3%31.2%21.0%30.7%
HV 60d28.3%26.4%29.6%26.8%29.6%
IV Rank30.5%10.7%66.4%17.2%32.7%
IV Percentile61.6%8.3%92.5%42.1%75.0%
Term Structure-15.7%-31.6%18.9%18.9%-21.2%
VWIV46.8%38.7%64.2%43.4%45.8%
Skew 25d-0.6%-65.6%25.0%17.2%3.2%
Skew 10d-4.4%-65.1%28.0%-65.1%-42.1%
Call IV 25d60.6%37.8%111.3%40.7%43.0%
Put IV 25d60.0%28.0%98.3%57.9%46.2%
Bid-Ask Spread %131.43124.32144.45136.88127.53
Gamma HHI0.340.250.520.370.45
Net GEX43.1K12.4K93.7K15.4K88.5K
Net DEX-1.1M-1.8M-504.3K-534.4K-1.7M
Net VEX-3.9K-6.4K-1.6K-2.1K-6.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.110.001.000.001.00
Total Volume16.652014004
Total OI294.609159483159483

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-03-01$73.02$65.0038.2%10.9%21.0%17.2%0.0%17.2%18.9%15.4K-534.4K-2.1K0.00136.880012435
2021-03-02$72.38$65.0072.5%20.8%20.3%46.4%43.4%-60.4%-23.0%12.4K-510.9K-2.2K0.00140.750212435
2021-03-03$73.71$65.0080.8%23.2%20.7%53.6%0.0%-13.0%-31.6%13.3K-514.5K-2.1K0.00144.450012435
2021-03-04$72.99$70.0083.7%14.2%21.0%56.1%0.0%2.9%-14.3%13.3K-504.3K-2.2K0.00136.910012435
2021-03-05$74.95$70.0079.9%14.3%21.5%52.8%0.0%18.0%-14.1%14.5K-570.7K-2.1K0.00135.360012435
2021-03-08$78.01$70.0053.0%11.5%24.8%29.9%41.8%-22.9%-17.4%15.2K-701.9K-1.8K0.00125.483012435
2021-03-09$78.60$70.0095.8%14.1%24.6%66.4%0.0%2.8%-21.0%16.2K-734.9K-1.7K0.00135.780012735
2021-03-10$79.75$70.0040.6%11.6%24.1%19.2%0.0%9.5%-22.2%16.8K-771.8K-1.6K0.00136.51140012735
2021-03-11$80.17$70.0050.1%14.4%23.6%27.3%0.0%25.0%-20.7%42.8K-1.3M-4.1K0.00136.9915026735
2021-03-12$82.40$70.0043.6%12.5%23.9%21.8%0.0%7.0%-10.5%45.2K-1.6M-3.9K0.00124.730028235
2021-03-15$79.51$70.0054.4%15.6%28.5%31.0%0.0%22.4%-22.3%42.4K-1.4M-4.4K0.00134.000128135
2021-03-16$78.95$70.0053.6%15.4%28.9%30.4%0.0%1.9%-31.3%39.2K-1.2M-4.5K0.00129.630028136
2021-03-17$78.76$70.0049.6%14.2%28.6%26.9%0.0%11.8%-24.0%51.4K-1.3M-4.2K0.00132.280028136
2021-03-18$79.24$70.0040.2%11.5%28.5%18.9%0.0%14.4%-18.3%42.6K-1.3M-4.5K0.00124.3535028136
2021-03-19$78.92$70.0041.6%11.9%28.7%20.1%0.0%17.3%-13.0%57.6K-1.4M-4.9K0.00124.325031636
2021-03-22$77.38$70.0056.4%16.2%29.3%32.7%64.2%8.7%-16.3%56.0K-1.2M-4.5K0.00133.2410032134
2021-03-23$75.27$70.0030.6%8.8%31.2%10.7%38.7%-1.5%4.1%55.0K-1.2M-5.0K0.04126.2725133134
2021-03-24$75.83$70.0054.8%15.7%30.6%31.4%0.0%-23.7%-22.6%47.8K-1.1M-4.3K0.00128.8370030635
2021-03-25$77.43$70.0045.0%12.9%30.6%23.0%0.0%7.8%-8.0%68.9K-1.5M-5.7K0.00124.820037635
2021-03-26$79.08$70.0038.1%10.9%30.7%17.1%0.0%-5.3%-19.1%70.1K-1.7M-5.7K0.00126.240037635
2021-03-29$78.39$70.0033.7%9.7%30.8%13.3%45.8%-65.6%5.0%72.9K-1.7M-5.5K0.01131.9671137635
2021-03-30$78.36$75.0044.7%12.8%30.5%22.7%0.0%8.5%-19.3%93.7K-1.8M-6.4K0.00125.520044736
2021-03-31$77.17$75.0056.4%16.2%30.7%32.7%0.0%3.2%-21.2%88.5K-1.7M-6.2K1.00127.532244736