CBU Options History — November 2017

In November 2017, CBU traded between $51.36 and $56.79. ATM implied volatility averaged 23.4%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 1.4% (HV 20d: 22.0%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.76.

Notable Days

2017-11-16: Highest Volume — 255 contracts
2017-11-07: Largest IV spike — 20.5% change
2017-11-07: Highest IV Rank — 24.4%
2017-11-14: Largest Expected Move — 7.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$53.37	$51.36	$56.79	$54.43	$55.40
Max Pain	$50.24	$50.00	$55.00	$55.00	$50.00
ATM IV	23.4%	19.0%	27.8%	22.5%	23.1%
Expected Move	6.7%	5.4%	7.7%	6.5%	6.6%
HV 20d	22.0%	18.9%	25.7%	21.1%	25.7%
HV 60d	20.0%	19.4%	22.0%	20.1%	22.0%
IV Rank	15.7%	7.0%	24.4%	13.9%	15.1%
IV Percentile	44.7%	1.6%	90.1%	26.6%	38.1%
Term Structure	-1.2%	-3.0%	1.0%	0.9%	-2.3%
VWIV	23.7%	17.3%	26.7%	23.3%	17.3%
Skew 25d	4.3%	0.3%	9.9%	5.8%	0.3%
Skew 10d	7.7%	-0.5%	19.3%	9.1%	-0.5%
Call IV 25d	21.4%	15.4%	24.2%	20.8%	19.7%
Put IV 25d	25.7%	20.0%	28.5%	26.6%	20.0%
Bid-Ask Spread %	79.35	39.86	92.35	82.72	39.86
Gamma HHI	0.49	0.35	0.92	0.92	0.51
Net GEX	12.2K	-3.7K	41.9K	27.5K	33.7K
Net DEX	-64.2K	-572.9K	283.0K	-264.7K	-496.4K
Net VEX	-2.0K	-2.8K	-1.6K	-2.5K	-2.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.42	1.07	0.46	1.07
Total Volume	203.714	166	255	171	168
Total OI	379.143	297	449	368	366

Daily Data (21 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
2017-11-01	$54.43	$55.00	22.5%	6.5%	21.1%	13.9%	23.3%	5.8%	0.9%	27.5K	-264.7K	-2.5K	0.46	82.72	117	54	305	63
2017-11-02	$54.99	$50.00	22.2%	6.6%	20.8%	13.3%	20.4%	5.3%	-0.6%	28.4K	-308.3K	-2.6K	0.42	86.22	117	49	307	68
2017-11-03	$54.34	$50.00	21.7%	6.6%	21.2%	12.4%	23.9%	4.3%	-0.6%	20.8K	-220.5K	-2.4K	0.85	86.66	117	99	307	73
2017-11-06	$54.07	$50.00	23.1%	6.6%	21.2%	15.0%	24.3%	3.9%	-0.1%	3.0K	-77.0K	-2.5K	0.80	83.98	117	94	307	130
2017-11-07	$52.36	$50.00	27.8%	7.6%	23.4%	24.4%	26.2%	2.9%	-2.3%	-875	168.4K	-2.1K	0.74	81.99	117	87	307	140
2017-11-08	$52.15	$50.00	26.5%	7.6%	23.4%	21.7%	24.8%	4.5%	-2.9%	-936	204.6K	-1.9K	0.75	82.99	117	88	307	140
2017-11-09	$51.39	$50.00	26.4%	7.6%	23.7%	21.5%	25.5%	4.3%	-1.7%	687	279.8K	-1.8K	0.61	84.05	144	88	307	142
2017-11-10	$51.36	$50.00	26.2%	7.5%	23.7%	21.1%	25.1%	3.8%	-1.8%	-2.2K	283.0K	-1.6K	0.64	84.12	137	88	277	142
2017-11-13	$52.14	$50.00	25.7%	7.4%	24.2%	20.2%	23.8%	2.8%	-3.0%	-3.7K	250.5K	-1.7K	0.72	84.16	127	92	280	142
2017-11-14	$52.19	$50.00	26.9%	7.7%	23.6%	22.5%	25.7%	4.1%	-2.8%	-1.7K	213.7K	-1.8K	0.65	86.95	127	83	290	146
2017-11-15	$52.37	$50.00	26.9%	7.7%	22.5%	22.5%	25.2%	4.2%	-2.9%	5.7K	209.9K	-1.7K	0.99	74.14	127	126	290	145
2017-11-16	$52.60	$50.00	22.7%	6.5%	22.7%	14.2%	24.6%	3.4%	-0.3%	7.7K	47.6K	-1.8K	0.98	87.03	129	126	290	117
2017-11-17	$52.90	$50.00	20.6%	5.9%	22.8%	10.1%	23.9%	4.3%	1.0%	9.9K	27.1K	-1.7K	0.98	73.28	129	126	295	117
2017-11-20	$53.16	$50.00	22.2%	6.4%	19.0%	13.2%	23.3%	3.1%	-0.9%	10.9K	-136.8K	-1.7K	0.75	75.01	101	76	220	77
2017-11-21	$53.65	$50.00	20.4%	5.9%	19.4%	9.9%	22.9%	3.8%	-0.8%	13.9K	-172.0K	-1.7K	0.75	79.39	101	76	224	77
2017-11-22	$53.44	$50.00	20.0%	5.7%	19.0%	9.0%	22.7%	2.5%	-0.3%	13.7K	-189.0K	-1.8K	0.75	40.64	101	76	224	77
2017-11-24	$53.23	$50.00	22.0%	6.3%	18.9%	13.0%	23.8%	3.4%	-0.4%	11.5K	-155.4K	-1.7K	0.74	86.85	103	76	224	77
2017-11-27	$53.00	$50.00	19.0%	5.4%	18.9%	7.0%	25.8%	5.0%	0.1%	12.8K	-163.3K	-1.7K	0.74	84.03	103	76	227	77
2017-11-28	$54.85	$50.00	22.6%	6.5%	22.7%	14.1%	26.7%	8.0%	-2.0%	24.0K	-275.7K	-1.8K	0.66	89.91	128	84	227	77
2017-11-29	$56.79	$50.00	23.8%	6.8%	24.8%	16.6%	17.7%	9.9%	-1.7%	41.9K	-572.9K	-2.8K	0.82	92.35	103	84	269	85
2017-11-30	$55.40	$50.00	23.1%	6.6%	25.7%	15.1%	17.3%	0.3%	-2.3%	33.7K	-496.4K	-2.8K	1.07	39.86	81	87	281	85