CBU Options History — April 2017

In April 2017, CBU traded between $51.72 and $57.71. ATM implied volatility averaged 23.6%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 4.8% (HV 20d: 28.4%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.92.

Notable Days

2017-04-12: Highest Volume — 383 contracts
2017-04-27: Largest IV spike — 43.4% change
2017-04-17: Highest IV Rank — 17.2%
2017-04-17: Largest Expected Move — 8.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$54.20	$51.72	$57.71	$54.31	$56.00
Max Pain	$54.74	$50.00	$55.00	$55.00	$50.00
ATM IV	23.6%	17.1%	29.3%	23.1%	24.9%
Expected Move	7.1%	4.9%	8.4%	6.6%	7.1%
HV 20d	28.4%	23.9%	32.8%	30.0%	24.6%
HV 60d	25.9%	24.7%	26.9%	26.8%	25.3%
IV Rank	10.4%	2.6%	17.2%	9.8%	12.0%
IV Percentile	48.0%	4.8%	76.6%	43.3%	63.5%
Term Structure	0.3%	-1.8%	2.6%	2.1%	1.5%
VWIV	24.9%	20.6%	28.7%	23.6%	27.8%
Skew 25d	4.3%	3.2%	6.6%	5.8%	5.3%
Skew 10d	8.3%	-0.7%	17.5%	9.2%	9.6%
Call IV 25d	23.4%	19.9%	26.8%	21.3%	22.3%
Put IV 25d	27.7%	24.3%	30.9%	27.1%	27.6%
Bid-Ask Spread %	91.14	79.34	104.20	103.92	97.78
Gamma HHI	0.36	0.24	0.78	0.28	0.56
Net GEX	10.3K	-11.0K	47.6K	10.7K	17.6K
Net DEX	590.1K	-109.2K	1.1M	385.1K	18.6K
Net VEX	-2.2K	-3.5K	-1.5K	-3.5K	-2.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.92	0.62	3.24	0.66	1.67
Total Volume	332.316	190	383	370	208
Total OI	881.105	638	961	936	756

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2017-04-03	$54.31	$55.00	23.1%	6.6%	30.0%	9.8%	23.6%	5.8%	2.1%	10.7K	385.1K	-3.5K	0.66	103.92	223	147	580	356
2017-04-04	$53.76	$55.00	22.7%	6.5%	29.9%	9.4%	23.3%	4.0%	2.6%	6.0K	556.3K	-3.0K	0.66	104.20	223	147	580	356
2017-04-05	$52.83	$55.00	23.0%	6.6%	30.2%	9.7%	24.0%	3.6%	1.8%	-1.5K	795.0K	-2.5K	0.63	101.85	232	147	580	356
2017-04-06	$53.38	$55.00	21.5%	7.2%	30.5%	7.9%	25.9%	3.9%	-0.1%	1.8K	698.3K	-2.9K	0.63	79.34	232	147	589	366
2017-04-07	$53.24	$55.00	22.1%	7.2%	30.5%	8.6%	25.2%	3.6%	-0.1%	-312	750.6K	-2.7K	0.63	84.50	232	147	589	366
2017-04-10	$52.84	$55.00	19.3%	7.3%	30.5%	5.3%	27.0%	3.7%	-0.4%	-1.1K	827.4K	-2.3K	0.63	84.95	232	147	589	366
2017-04-11	$53.45	$55.00	19.3%	7.6%	30.9%	5.3%	27.2%	4.0%	-0.9%	3.9K	671.1K	-2.6K	0.63	85.84	232	147	590	366
2017-04-12	$53.01	$55.00	26.1%	7.5%	31.0%	13.4%	27.7%	3.4%	-0.6%	-927	840.2K	-2.2K	0.62	87.59	236	147	590	366
2017-04-13	$51.80	$55.00	28.1%	8.1%	31.6%	15.8%	28.7%	3.7%	-1.7%	-11.0K	1.1M	-1.6K	0.62	87.77	236	147	595	366
2017-04-17	$51.72	$55.00	29.3%	8.4%	31.2%	17.2%	25.7%	4.1%	-1.8%	-10.3K	1.1M	-1.5K	0.62	86.84	236	147	595	366
2017-04-18	$52.96	$55.00	25.8%	7.4%	32.8%	13.1%	25.2%	6.6%	-0.8%	-621	880.0K	-1.7K	0.62	88.29	236	147	595	366
2017-04-19	$53.33	$55.00	25.2%	7.2%	23.9%	12.3%	24.0%	6.2%	-0.3%	5.5K	914.0K	-1.6K	0.62	95.04	236	147	595	366
2017-04-20	$54.41	$55.00	24.7%	7.1%	24.0%	11.8%	26.7%	3.5%	0.2%	3.0K	707.4K	-1.8K	0.62	89.68	236	147	595	366
2017-04-21	$54.68	$55.00	25.5%	7.3%	23.9%	12.7%	25.7%	4.1%	-0.9%	20.5K	970.9K	-1.6K	0.62	87.72	236	147	595	366
2017-04-24	$55.89	$55.00	24.7%	7.1%	25.0%	11.8%	21.7%	4.4%	0.0%	28.9K	128.4K	-1.7K	0.98	80.48	96	94	450	188
2017-04-25	$57.71	$55.00	21.1%	6.0%	26.7%	7.4%	22.0%	3.2%	1.2%	47.6K	-100.3K	-2.2K	0.94	91.79	98	92	455	188
2017-04-26	$57.53	$55.00	17.1%	4.9%	26.4%	2.6%	21.8%	4.4%	2.1%	47.1K	-109.2K	-2.2K	3.24	103.09	46	149	457	188
2017-04-27	$57.00	$55.00	24.5%	7.0%	26.5%	11.5%	20.6%	3.5%	1.1%	28.2K	67.3K	-2.4K	1.83	91.07	76	139	460	248
2017-04-28	$56.00	$50.00	24.9%	7.1%	24.6%	12.0%	27.8%	5.3%	1.5%	17.6K	18.6K	-2.2K	1.67	97.78	78	130	500	256