CBU Options History — November 2023

In November 2023, CBU traded between $39.80 and $45.62. ATM implied volatility averaged 53.8%, placing in the 20.6% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded above realized volatility by 7.5% (HV 20d: 46.4%). Max pain ranged from $40.00 to $60.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 4.08.

Notable Days

  • 2023-11-17: Highest Volume — 24 contracts
  • 2023-11-16: Largest IV spike — 51.7% change
  • 2023-11-07: Highest IV Rank — 37.7%
  • 2023-11-28: Largest Expected Move — 17.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.69$39.80$45.62$39.80$44.21
Max Pain$56.82$40.00$60.00$40.00$60.00
ATM IV53.8%36.2%83.4%56.5%46.4%
Expected Move14.1%10.4%17.6%16.2%13.3%
HV 20d46.4%37.2%54.3%37.2%43.2%
HV 60d34.1%28.7%36.4%28.7%35.2%
IV Rank20.6%10.4%37.7%22.1%16.3%
IV Percentile69.7%21.8%96.8%84.1%52.8%
Term Structure-8.8%-29.6%10.6%0.5%-14.6%
VWIV36.5%33.6%40.9%40.9%33.6%
Skew 25d-9.2%-51.2%29.0%-51.2%3.6%
Skew 10d-5.5%-78.9%38.8%-78.9%-7.8%
Call IV 25d67.9%48.7%90.9%90.9%74.0%
Put IV 25d58.7%23.3%85.4%39.7%77.6%
Bid-Ask Spread %112.6698.40125.98108.05100.41
Gamma HHI0.460.300.750.300.52
Net GEX7.5K23214.3K2328.0K
Net DEX-147.4K-244.6K-33.6K-62.3K-127.2K
Net VEX-1.6K-1.9K-1.3K-1.8K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.080.0023.000.5023.00
Total Volume2.28602400
Total OI427.333341489473341

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-11-01$39.80$40.0056.5%16.2%37.2%22.1%0.0%-51.2%0.5%232-62.3K-1.8K0.00108.0500275198
2023-11-02$42.11$0.0062.5%10.6%42.7%25.6%0.0%13.8%10.6%4.1K-96.1K-1.7K0.00106.0700275198
2023-11-03$44.16$0.0061.6%13.1%46.0%25.1%0.0%-4.9%-2.5%9.0K-208.3K-1.9K0.00106.3801275198
2023-11-06$43.75$0.0068.0%13.6%46.2%28.8%0.0%17.1%-9.8%5.6K-122.8K-1.8K0.00101.7101275200
2023-11-07$42.96$0.0083.4%14.4%46.6%37.7%0.0%9.0%-16.3%5.7K-123.6K-1.7K0.00125.9802275201
2023-11-08$42.22$0.0051.6%14.8%47.0%19.3%0.0%2.3%-7.6%4.0K-88.7K-1.6K0.50125.6921275203
2023-11-09$41.26$0.0049.9%14.3%47.4%18.3%0.0%2.9%-13.1%5.0K-98.5K-1.6K0.00124.8200277205
2023-11-10$41.29$0.0053.8%15.4%46.8%20.5%0.0%21.6%-13.2%2.4K-48.9K-1.4K0.00115.3701277205
2023-11-13$41.42$0.0056.0%16.0%45.4%21.8%40.9%29.0%-17.5%2.3K-33.6K-1.6K0.0098.4040277206
2023-11-14$45.00$45.0040.5%11.6%54.3%12.8%34.9%-18.3%4.5%11.5K-218.1K-1.5K1.00103.0244281206
2023-11-15$45.34$0.0036.2%10.4%54.1%10.4%0.0%-2.6%-1.7%11.5K-201.1K-1.5K0.00112.2710277210
2023-11-16$44.91$0.0054.9%15.7%54.0%21.2%33.6%9.0%-9.8%11.7K-244.6K-1.4K0.00125.1510278210
2023-11-17$45.62$60.0057.3%16.4%51.2%22.6%0.0%-38.0%-20.6%14.3K-242.4K-1.3K23.00116.97123279210
2023-11-20$45.45$60.0051.0%14.6%51.3%18.9%0.0%-37.6%-13.5%10.0K-198.7K-1.4K0.00116.5102161180
2023-11-21$44.71$60.0042.6%12.2%44.0%14.1%0.0%-46.9%-9.0%9.1K-183.4K-1.6K0.00117.7300161180
2023-11-22$44.83$60.0041.2%11.8%43.9%13.2%0.0%-37.4%6.5%7.9K-171.8K-1.5K0.00109.3400161180
2023-11-24$44.80$60.0054.1%15.5%43.4%20.7%0.0%-2.5%-5.3%8.5K-178.7K-1.6K0.00108.8000161180
2023-11-27$44.47$60.0052.0%14.9%43.1%19.5%0.0%0.4%-5.3%8.1K-155.6K-1.5K0.00107.0800161180
2023-11-28$44.33$60.0061.4%17.6%42.9%25.0%0.0%-15.3%-29.6%8.8K-152.6K-1.4K0.00120.3700161180
2023-11-29$44.80$60.0049.3%14.1%42.8%17.9%0.0%-47.6%-16.9%9.8K-138.4K-1.4K0.00115.6800161180
2023-11-30$44.21$60.0046.4%13.3%43.2%16.3%0.0%3.6%-14.6%8.0K-127.2K-1.4K0.00100.4100161180