CBU Options History — May 2023

In May 2023, CBU traded between $44.86 and $50.45. ATM implied volatility averaged 54.9%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded above realized volatility by 17.1% (HV 20d: 37.8%). Max pain ranged from $40.00 to $55.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.05.

Notable Days

  • 2023-05-19: Highest Volume — 45 contracts
  • 2023-05-10: Largest IV drop — 47.9% change
  • 2023-05-09: Highest IV Rank — 47.2%
  • 2023-05-02: Largest Expected Move — 20.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.98$44.86$50.45$48.70$49.66
Max Pain$46.47$40.00$55.00$55.00$45.00
ATM IV54.9%37.7%101.2%60.2%50.5%
Expected Move14.1%10.8%20.7%17.3%14.5%
HV 20d37.8%34.9%40.4%37.7%36.8%
HV 60d37.5%35.2%40.0%35.3%40.0%
IV Rank21.4%11.8%47.2%24.4%19.0%
IV Percentile82.1%56.0%98.8%94.8%83.3%
Term Structure-9.7%-41.9%6.7%-13.9%-20.0%
VWIV68.3%47.1%113.5%67.0%47.1%
Skew 25d1.4%-19.6%23.6%-11.3%4.6%
Skew 10d14.3%-24.5%74.3%-0.9%54.8%
Call IV 25d60.7%35.2%88.3%70.6%50.4%
Put IV 25d62.1%35.9%95.5%59.2%55.0%
Bid-Ask Spread %116.59104.60127.34112.64125.15
Gamma HHI0.330.180.590.590.18
Net GEX-18.2K-39.9K-282-39.9K-516
Net DEX455.2K42.3K880.2K779.0K63.1K
Net VEX-1.4K-2.1K-835-2.1K-1.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.050.000.200.000.00
Total Volume9.31804511
Total OI595.455161863862176

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-05-01$48.70$55.0060.2%17.3%37.7%24.4%67.0%-11.3%-13.9%-39.9K779.0K-2.1K0.00112.6410133729
2023-05-02$47.70$55.0072.4%20.7%38.1%31.2%113.5%7.2%-41.9%-38.0K880.2K-2.0K0.00117.3303134729
2023-05-03$48.28$55.0058.4%16.7%36.8%23.3%0.0%-17.7%-17.4%-28.3K572.3K-1.6K0.00113.3500134645
2023-05-04$47.42$0.0080.5%14.7%37.2%35.7%0.0%1.4%-7.1%-28.6K631.3K-1.5K0.00124.00011134645
2023-05-05$48.45$0.0061.7%12.9%37.9%25.2%0.0%1.7%1.0%-29.6K608.5K-1.5K0.00124.4202134655
2023-05-08$47.64$0.0071.3%13.0%37.8%30.6%0.0%1.6%-4.2%-29.1K630.9K-1.4K0.00125.00020134656
2023-05-09$46.91$0.00101.2%13.2%38.1%47.2%0.0%-0.6%-2.5%-27.2K635.1K-1.7K0.00115.3701134636
2023-05-10$46.54$0.0052.7%15.1%37.3%20.2%52.5%6.6%-13.3%-28.4K682.1K-1.5K0.00106.6103134637
2023-05-11$44.86$45.0043.2%12.4%38.9%14.9%62.1%-7.1%2.9%-30.4K771.3K-1.2K0.00117.69020134638
2023-05-12$44.89$45.0049.5%14.2%37.0%18.4%54.1%5.2%-1.7%-29.1K748.7K-1.2K0.00115.2401134658
2023-05-15$46.56$40.0043.8%12.6%36.8%15.2%81.7%23.6%6.7%-23.7K757.4K-8350.20107.77357134657
2023-05-16$46.00$45.0057.4%16.4%34.9%22.8%0.0%-4.3%-16.2%-27.0K667.8K-1.4K0.00104.6002169665
2023-05-17$48.41$45.0046.1%13.2%38.6%16.5%0.0%-4.2%-18.6%-17.2K367.2K-1.1K0.00127.34011169595
2023-05-18$48.72$45.0043.6%12.5%38.3%15.1%47.1%-19.6%-11.8%-17.2K346.1K-1.3K0.00126.1410169606
2023-05-19$47.84$45.0045.2%13.0%38.5%16.0%0.0%2.7%-15.1%-2.2K420.8K-1.1K0.00125.02045170606
2023-05-22$49.56$45.0039.0%11.2%40.4%12.5%0.0%-3.4%-4.4%-98487.2K-1.2K0.00113.34069071
2023-05-23$49.84$45.0048.4%13.9%39.1%17.8%0.0%17.3%-9.6%-1.9K88.7K-1.2K0.00122.041309077
2023-05-24$49.05$45.0037.7%10.8%39.7%11.8%0.0%10.3%-2.7%-942101.7K-1.2K0.00107.690219777
2023-05-25$48.34$45.0039.3%11.3%36.7%12.7%0.0%11.9%-0.8%-30275.4K-1.2K0.00109.37009768
2023-05-26$49.67$45.0056.5%16.2%37.3%22.3%0.0%13.7%-17.6%-39757.1K-1.3K0.00111.20009778
2023-05-30$50.45$45.0049.6%14.2%37.2%18.5%0.0%-8.6%-5.2%-28242.3K-1.2K0.00113.63019778
2023-05-31$49.66$45.0050.5%14.5%36.8%19.0%0.0%4.6%-20.0%-51663.1K-1.2K0.00125.15019779