CBU Options History — October 2017

In October 2017, CBU traded between $53.71 and $56.17. ATM implied volatility averaged 22.4%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 5.3% (HV 20d: 17.1%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.40.

Notable Days

2017-10-16: Highest Volume — 197 contracts
2017-10-30: Largest IV spike — 8.9% change
2017-10-11: Highest IV Rank — 17.2%
2017-10-11: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$55.21	$53.71	$56.17	$55.83	$55.38
Max Pain	$54.32	$50.00	$55.00	$50.00	$55.00
ATM IV	22.4%	20.9%	24.2%	21.9%	22.4%
Expected Move	6.5%	6.0%	6.9%	6.3%	6.4%
HV 20d	17.1%	13.3%	21.1%	20.8%	20.6%
HV 60d	19.2%	18.7%	20.3%	18.8%	19.8%
IV Rank	13.9%	10.8%	17.2%	13.6%	13.7%
IV Percentile	27.9%	8.3%	60.3%	21.0%	25.4%
Term Structure	0.3%	-1.0%	2.1%	1.3%	1.0%
VWIV	22.5%	21.2%	23.9%	21.5%	22.1%
Skew 25d	4.8%	0.2%	25.5%	3.3%	8.1%
Skew 10d	8.9%	-2.0%	51.1%	3.4%	13.2%
Call IV 25d	20.7%	16.2%	23.9%	17.1%	18.0%
Put IV 25d	25.5%	20.4%	43.2%	20.4%	26.1%
Bid-Ask Spread %	83.14	58.75	97.25	86.69	88.55
Gamma HHI	0.64	0.48	0.88	0.52	0.85
Net GEX	33.4K	19.3K	58.3K	38.0K	27.6K
Net DEX	-364.9K	-566.1K	-207.6K	-449.8K	-330.3K
Net VEX	-2.2K	-2.8K	-2.0K	-2.0K	-2.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.40	0.13	0.60	0.28	0.36
Total Volume	160.091	124	197	141	170
Total OI	301.318	256	353	256	328

Daily Data (22 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
2017-10-02	$55.83	$50.00	21.9%	6.3%	20.8%	13.6%	21.5%	3.3%	1.3%	38.0K	-449.8K	-2.0K	0.28	86.69	110	31	215	41
2017-10-03	$55.79	$50.00	21.7%	6.2%	18.1%	13.2%	21.7%	25.5%	0.8%	39.4K	-444.1K	-2.0K	0.46	97.25	110	51	217	41
2017-10-04	$55.11	$50.00	21.4%	6.1%	19.0%	12.7%	21.2%	1.4%	1.5%	31.3K	-349.2K	-2.1K	0.42	96.53	110	46	217	61
2017-10-05	$55.85	$55.00	21.1%	6.5%	15.5%	12.1%	22.2%	2.8%	0.6%	30.8K	-372.3K	-2.3K	0.60	83.58	110	66	217	76
2017-10-06	$55.85	$55.00	22.0%	6.7%	15.4%	13.8%	22.8%	2.8%	-0.0%	33.9K	-424.3K	-2.2K	0.60	84.49	110	66	217	64
2017-10-09	$55.66	$55.00	23.8%	6.8%	14.8%	16.4%	23.5%	2.5%	0.2%	33.3K	-398.2K	-2.1K	0.60	84.40	110	66	217	64
2017-10-10	$56.17	$55.00	22.8%	6.9%	13.6%	14.5%	23.7%	3.6%	-0.5%	35.8K	-446.2K	-2.1K	0.55	71.10	120	66	217	64
2017-10-11	$55.80	$55.00	24.2%	6.9%	14.0%	17.2%	23.9%	3.7%	-1.0%	35.0K	-397.6K	-2.0K	0.55	59.73	120	66	215	64
2017-10-12	$55.35	$55.00	23.2%	6.7%	13.4%	15.3%	23.1%	3.0%	-0.4%	35.3K	-361.6K	-2.0K	0.52	84.19	128	66	215	64
2017-10-13	$55.26	$55.00	23.2%	6.6%	13.3%	15.2%	22.9%	2.9%	-0.8%	36.9K	-364.4K	-2.1K	0.52	84.56	128	66	225	64
2017-10-16	$55.75	$55.00	23.1%	6.6%	13.5%	15.0%	22.9%	3.1%	-0.5%	39.6K	-406.5K	-2.0K	0.50	84.85	131	66	225	64
2017-10-17	$54.70	$55.00	22.9%	6.5%	15.6%	14.6%	22.6%	3.1%	0.0%	46.1K	-335.4K	-2.0K	0.27	86.59	131	35	238	64
2017-10-18	$55.64	$55.00	23.0%	6.6%	15.9%	14.9%	22.4%	4.1%	-0.4%	51.6K	-447.4K	-2.1K	0.28	85.10	121	34	238	65
2017-10-19	$55.64	$55.00	23.2%	6.6%	15.9%	15.2%	22.7%	3.0%	0.0%	58.3K	-552.0K	-2.8K	0.28	84.86	121	34	288	65
2017-10-20	$55.75	$55.00	23.2%	6.7%	15.9%	15.3%	22.8%	2.6%	-0.3%	35.5K	-566.1K	-2.7K	0.28	58.75	123	34	288	65
2017-10-23	$53.74	$55.00	21.7%	6.2%	21.1%	12.3%	22.2%	0.2%	-0.8%	20.1K	-241.8K	-2.2K	0.13	82.12	110	14	257	48
2017-10-24	$53.71	$55.00	20.9%	6.0%	21.0%	10.8%	22.3%	0.6%	0.8%	19.3K	-226.2K	-2.1K	0.32	87.79	97	31	257	48
2017-10-25	$54.28	$55.00	21.9%	6.3%	19.7%	12.6%	22.0%	8.0%	1.9%	20.2K	-207.6K	-2.3K	0.29	85.78	107	31	257	65
2017-10-26	$54.52	$55.00	21.4%	6.1%	19.8%	11.8%	21.8%	8.2%	1.3%	23.3K	-251.2K	-2.5K	0.31	83.50	99	31	267	65
2017-10-27	$54.51	$55.00	20.9%	6.0%	19.4%	10.8%	21.3%	7.5%	2.1%	22.3K	-243.8K	-2.4K	0.31	81.82	99	31	267	65
2017-10-30	$54.24	$55.00	22.8%	6.5%	19.0%	14.5%	23.3%	5.2%	0.6%	20.9K	-212.8K	-2.2K	0.29	86.80	98	28	267	63
2017-10-31	$55.38	$55.00	22.4%	6.4%	20.6%	13.7%	22.1%	8.1%	1.0%	27.6K	-330.3K	-2.5K	0.36	88.55	125	45	266	62