CBU Options History — July 2017

In July 2017, CBU traded between $54.15 and $57.30. ATM implied volatility averaged 24.4%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 7.7% (HV 20d: 16.7%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 2.51.

Notable Days

2017-07-31: Highest Volume — 188 contracts
2017-07-31: Largest IV drop — 8.1% change
2017-07-10: Highest IV Rank — 14.0%
2017-07-05: Largest Expected Move — 7.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$55.22	$54.15	$57.30	$57.30	$55.17
Max Pain	$58.50	$55.00	$60.00	$55.00	$55.00
ATM IV	24.4%	22.4%	26.2%	25.6%	22.4%
Expected Move	7.0%	6.4%	7.5%	7.3%	6.4%
HV 20d	16.7%	13.9%	21.9%	21.4%	17.7%
HV 60d	20.7%	19.2%	22.2%	22.0%	19.7%
IV Rank	12.5%	10.1%	14.0%	12.8%	10.1%
IV Percentile	62.5%	32.5%	80.2%	76.6%	32.5%
Term Structure	-0.5%	-1.2%	0.5%	-1.2%	0.5%
VWIV	26.1%	22.9%	30.7%	26.1%	22.9%
Skew 25d	3.8%	0.9%	8.3%	2.9%	8.3%
Skew 10d	6.0%	-14.1%	13.6%	3.1%	13.6%
Call IV 25d	22.7%	18.6%	25.3%	22.3%	18.6%
Put IV 25d	26.5%	25.0%	27.4%	25.2%	27.0%
Bid-Ask Spread %	95.75	67.34	104.93	103.01	89.14
Gamma HHI	0.62	0.35	0.88	0.53	0.46
Net GEX	-45.4K	-176.3K	25.2K	-24.7K	25.2K
Net DEX	192.6K	-164.8K	658.7K	27.1K	-164.8K
Net VEX	-1.3K	-1.8K	-997	-1.8K	-1.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.51	1.16	3.21	3.10	1.16
Total Volume	150.05	131	188	168	188
Total OI	346.7	242	400	379	308

Daily Data (20 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
2017-07-03	$57.30	$55.00	25.6%	7.3%	21.4%	12.8%	26.1%	2.9%	-1.2%	-24.7K	27.1K	-1.8K	3.10	103.01	41	127	152	227
2017-07-05	$56.76	$55.00	26.2%	7.5%	21.3%	13.5%	30.7%	1.9%	-0.9%	-32.8K	96.6K	-1.8K	2.66	101.00	41	109	152	227
2017-07-06	$56.08	$60.00	25.1%	7.3%	21.9%	12.2%	27.0%	3.2%	-0.7%	-40.9K	165.9K	-1.8K	2.66	92.88	41	109	152	227
2017-07-07	$56.46	$60.00	24.1%	7.1%	19.2%	12.4%	27.6%	3.6%	-0.8%	-40.1K	113.6K	-1.7K	2.87	92.45	38	109	152	227
2017-07-10	$55.90	$60.00	25.3%	7.2%	15.7%	14.0%	26.5%	3.1%	-0.8%	-48.9K	165.8K	-1.6K	2.87	93.72	38	109	154	227
2017-07-11	$55.23	$60.00	25.1%	7.1%	16.0%	13.7%	26.5%	4.0%	-0.6%	-58.6K	273.8K	-1.5K	2.79	92.48	39	109	154	227
2017-07-12	$55.36	$60.00	24.7%	7.1%	16.0%	13.2%	27.0%	4.1%	-0.3%	-64.4K	269.5K	-1.5K	2.79	91.15	39	109	156	227
2017-07-13	$55.17	$60.00	24.6%	7.0%	15.8%	13.0%	25.5%	3.4%	-0.6%	-71.5K	294.9K	-1.5K	2.79	94.09	39	109	156	227
2017-07-14	$55.01	$60.00	24.4%	7.0%	15.5%	12.8%	25.1%	4.6%	-0.6%	-79.7K	293.8K	-1.4K	2.79	93.33	39	109	156	227
2017-07-17	$54.74	$60.00	24.8%	7.1%	15.2%	13.3%	25.5%	3.3%	-0.4%	-88.2K	355.3K	-1.3K	2.79	93.94	39	109	156	227
2017-07-18	$54.51	$60.00	24.6%	7.0%	15.2%	13.0%	26.4%	3.5%	-0.7%	-102.0K	451.3K	-1.2K	2.79	98.76	39	109	156	227
2017-07-19	$54.69	$60.00	23.8%	6.8%	14.6%	12.0%	26.9%	3.0%	-0.3%	-137.2K	437.0K	-1.1K	3.21	98.86	34	109	156	227
2017-07-20	$54.69	$55.00	24.0%	6.9%	13.9%	12.3%	25.8%	3.2%	-0.6%	-176.3K	461.4K	-1.1K	2.48	98.10	44	109	161	227
2017-07-21	$54.25	$55.00	23.0%	6.6%	14.1%	10.9%	23.6%	1.0%	0.4%	8.4K	658.7K	-1.0K	2.50	100.40	46	115	173	227
2017-07-24	$54.59	$55.00	24.1%	6.9%	14.2%	12.4%	25.9%	6.9%	-0.4%	8.7K	-34.3K	-1.1K	1.79	104.21	47	84	174	78
2017-07-25	$55.61	$60.00	24.6%	7.0%	15.6%	13.0%	26.7%	3.9%	-0.8%	7.8K	-52.8K	-1.1K	1.79	103.96	47	84	164	78
2017-07-26	$54.38	$60.00	23.8%	6.8%	17.6%	12.0%	25.9%	0.9%	-0.9%	4.9K	-3.0K	-997	2.15	101.28	47	101	164	78
2017-07-27	$54.32	$60.00	23.5%	6.7%	17.1%	11.6%	25.4%	5.3%	-0.2%	1.6K	15.4K	-1.0K	2.15	104.93	47	101	164	99
2017-07-28	$54.15	$60.00	24.4%	7.0%	16.2%	12.7%	25.3%	5.8%	-1.0%	790	26.9K	-1.0K	2.15	67.34	47	101	164	99
2017-07-31	$55.17	$55.00	22.4%	6.4%	17.7%	10.1%	22.9%	8.3%	0.5%	25.2K	-164.8K	-1.2K	1.16	89.14	87	101	209	99