CBU Options History — July 2024

In July 2024, CBU traded between $45.83 and $62.81. ATM implied volatility averaged 44.9%, placing in the 16.0% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 12.9% (HV 20d: 32.0%). Max pain ranged from $45.00 to $55.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 3.18.

Notable Days

  • 2024-07-26: Highest Volume — 101 contracts
  • 2024-07-10: Largest IV drop — 50.2% change
  • 2024-07-09: Highest IV Rank — 42.0%
  • 2024-07-03: Largest Expected Move — 18.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.95$45.83$62.81$46.81$62.33
Max Pain$50.91$45.00$55.00$45.00$55.00
ATM IV44.9%29.6%78.3%59.6%36.1%
Expected Move11.6%8.5%18.3%17.1%10.4%
HV 20d32.0%21.4%42.4%22.2%42.2%
HV 60d27.9%22.2%31.4%26.8%31.2%
IV Rank16.0%4.0%42.0%27.4%9.1%
IV Percentile32.8%2.8%91.3%73.8%12.7%
Term Structure-7.4%-22.8%8.5%-15.1%7.8%
VWIV35.8%30.2%44.1%30.6%38.6%
Skew 25d-3.7%-30.1%23.4%-28.5%-30.1%
Skew 10d7.5%-66.7%61.4%-66.7%37.0%
Call IV 25d57.6%30.7%88.5%80.9%76.4%
Put IV 25d53.9%29.5%90.5%52.3%46.3%
Bid-Ask Spread %119.84105.25131.75127.91108.65
Gamma HHI0.530.340.780.410.35
Net GEX22.8K-9.6K43.3K10.1K24.8K
Net DEX-898.3K-1.8M-79.2K-145.3K-1.8M
Net VEX-2.4K-5.1K-658-1.3K-5.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.180.0024.000.000.00
Total Volume23.227010103
Total OI512.273400751400748

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-07-01$46.81$45.0059.6%17.1%22.2%27.4%0.0%-28.5%-15.1%10.1K-145.3K-1.3K0.00127.9100193207
2024-07-02$47.23$45.0060.7%17.4%21.9%28.2%0.0%2.2%-14.8%11.4K-166.5K-1.3K0.00127.3000193207
2024-07-03$46.30$45.0063.8%18.3%22.9%30.7%0.0%2.0%-22.8%8.6K-123.4K-1.2K0.00131.7500193207
2024-07-05$45.83$50.0067.6%11.4%23.1%33.6%0.0%1.5%-6.0%7.2K-96.9K-1.2K0.00125.9800193207
2024-07-08$46.06$50.0076.0%11.7%23.2%40.2%30.6%23.4%-12.6%6.6K-79.2K-6580.00120.8110193207
2024-07-09$46.83$50.0078.3%13.1%23.4%42.0%0.0%0.3%-16.2%11.1K-158.3K-1.0K0.00126.5800194207
2024-07-10$47.87$50.0039.0%11.2%21.4%11.4%0.0%1.4%-14.0%13.6K-204.1K-1.2K0.00125.2450194207
2024-07-11$51.57$50.0039.6%11.4%32.6%11.8%0.0%-1.9%1.6%22.2K-395.8K-1.2K0.00125.2500199207
2024-07-12$52.34$50.0039.1%11.2%32.6%11.5%0.0%1.3%1.6%25.7K-485.5K-1.3K0.00125.70100199207
2024-07-15$54.27$50.0035.6%10.2%33.7%8.7%35.2%1.5%-5.0%35.0K-654.9K-1.4K0.00120.77340209207
2024-07-16$56.89$50.0037.1%10.6%34.2%9.9%0.0%1.0%-2.4%31.6K-890.9K-1.6K0.00122.081000229207
2024-07-17$58.37$50.0036.0%10.3%34.1%9.0%0.0%-6.1%-15.3%43.3K-1.3M-2.9K0.00122.2120324207
2024-07-18$58.45$50.0030.6%8.8%34.4%4.8%30.2%3.2%-2.2%42.2K-1.4M-2.7K0.00118.86170326207
2024-07-19$58.63$50.0037.3%10.7%34.5%10.0%0.0%0.6%-11.9%40.2K-1.4M-3.1K0.00118.89130337208
2024-07-22$59.46$50.0037.5%10.8%33.6%10.2%35.2%0.5%-11.0%41.2K-1.4M-3.0K2.10105.251021326208
2024-07-23$61.73$55.0042.7%12.2%34.3%14.2%43.8%-0.3%-11.2%35.2K-1.5M-2.9K12.50115.77225335229
2024-07-24$59.88$55.0043.6%12.5%37.3%14.9%44.1%6.4%-15.8%28.7K-1.3M-3.3K1.30119.661013336254
2024-07-25$62.81$55.0036.8%10.6%39.0%9.6%31.0%-18.0%-14.1%18.8K-1.6M-2.9K4.09113.051145346261
2024-07-26$62.81$55.0031.3%9.0%39.4%5.3%0.0%-6.2%1.5%-9.6K-1.5M-2.9K0.00113.971010354296
2024-07-29$60.94$55.0029.6%8.5%42.4%4.0%33.4%-25.7%8.5%27.1K-1.5M-5.0K24.00111.74124455296
2024-07-30$61.43$55.0030.6%8.8%42.2%4.8%38.6%-11.0%6.0%26.8K-1.6M-5.1K6.88108.95855456295
2024-07-31$62.33$55.0036.1%10.4%42.2%9.1%0.0%-30.1%7.8%24.8K-1.8M-5.0K0.00108.6530448300