CBU Options History — December 2017

In December 2017, CBU traded between $52.37 and $56.24. ATM implied volatility averaged 42.0%, placing in the 34.7% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 15.0% (HV 20d: 27.0%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.92.

Notable Days

2017-12-04: Highest Volume — 206 contracts
2017-12-07: Largest IV spike — 196.9% change
2017-12-07: Highest IV Rank — 100.0%
2017-12-28: Largest Expected Move — 15.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$54.44	$52.37	$56.24	$54.90	$53.76
Max Pain	$54.75	$50.00	$55.00	$50.00	$55.00
ATM IV	42.0%	21.5%	98.6%	23.2%	37.0%
Expected Move	9.2%	6.1%	15.8%	6.6%	10.6%
HV 20d	27.0%	23.4%	30.5%	25.7%	23.4%
HV 60d	22.4%	21.3%	23.4%	21.4%	23.1%
IV Rank	34.7%	5.5%	100.0%	15.2%	24.4%
IV Percentile	78.2%	10.7%	100.0%	39.3%	92.5%
Term Structure	-9.3%	-26.3%	4.4%	-1.5%	-26.3%
VWIV	34.0%	21.2%	55.2%	28.6%	49.6%
Skew 25d	7.1%	-3.1%	32.7%	9.2%	2.6%
Skew 10d	6.7%	1.1%	19.2%	14.6%	2.5%
Call IV 25d	25.9%	15.3%	63.4%	19.8%	20.9%
Put IV 25d	33.0%	19.2%	64.5%	28.9%	23.6%
Bid-Ask Spread %	104.10	17.79	130.04	27.52	128.17
Gamma HHI	0.43	0.34	0.53	0.45	0.43
Net GEX	27.4K	9.9K	40.2K	30.5K	26.4K
Net DEX	-446.7K	-569.7K	-351.2K	-420.6K	-353.0K
Net VEX	-2.8K	-3.4K	-2.3K	-2.7K	-2.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.92	1.07	2.61	1.07	2.28
Total Volume	157.65	101	206	168	105
Total OI	370.4	323	417	377	323

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
2017-12-01	$54.90	$50.00	23.2%	6.6%	25.7%	15.2%	28.6%	9.2%	-1.5%	30.5K	-420.6K	-2.7K	1.07	27.52	81	87	289	88
2017-12-04	$56.24	$55.00	26.2%	6.3%	26.6%	21.1%	21.7%	3.0%	1.9%	40.2K	-569.7K	-2.9K	1.54	17.79	81	125	289	88
2017-12-05	$55.31	$55.00	24.1%	6.2%	27.3%	17.1%	21.6%	2.9%	1.2%	29.5K	-451.3K	-2.9K	1.54	42.97	81	125	289	126
2017-12-06	$54.91	$55.00	24.9%	6.1%	24.6%	18.1%	21.2%	3.5%	1.3%	27.2K	-413.6K	-2.9K	1.54	34.80	81	125	289	126
2017-12-07	$54.93	$55.00	73.9%	9.5%	24.5%	100.0%	36.6%	15.0%	-9.9%	28.1K	-424.5K	-3.2K	1.56	125.86	80	125	289	126
2017-12-08	$54.00	$55.00	84.9%	9.4%	24.7%	100.0%	30.9%	6.2%	-8.6%	24.1K	-533.3K	-3.4K	1.56	128.08	80	125	291	126
2017-12-11	$53.74	$55.00	98.6%	10.7%	24.8%	100.0%	41.7%	15.2%	-18.5%	22.4K	-380.1K	-2.9K	1.56	123.32	80	125	291	126
2017-12-12	$54.15	$55.00	65.7%	9.0%	24.5%	59.6%	38.2%	32.7%	-7.6%	21.2K	-351.2K	-2.9K	1.56	117.13	80	125	291	126
2017-12-13	$53.60	$55.00	40.0%	11.5%	24.9%	28.1%	47.8%	7.8%	-17.4%	21.8K	-463.3K	-3.1K	1.56	126.52	80	125	291	126
2017-12-14	$52.37	$55.00	45.0%	12.9%	26.3%	34.3%	30.9%	10.8%	-20.7%	9.9K	-393.4K	-2.9K	1.56	116.59	80	125	291	126
2017-12-15	$54.43	$55.00	30.4%	8.7%	29.7%	16.4%	34.4%	16.9%	-15.6%	26.5K	-371.1K	-2.3K	1.56	119.27	80	125	291	126
2017-12-18	$54.90	$55.00	21.5%	6.2%	29.7%	5.5%	21.5%	1.6%	-2.4%	34.3K	-464.8K	-2.5K	1.87	114.36	39	73	250	73
2017-12-19	$54.46	$55.00	31.7%	9.1%	29.9%	17.9%	29.1%	-3.1%	-6.6%	28.4K	-462.7K	-2.7K	2.61	121.28	28	73	250	73
2017-12-20	$54.18	$55.00	34.2%	9.8%	29.8%	21.0%	39.0%	3.0%	-6.7%	32.3K	-507.8K	-2.8K	2.61	124.40	28	73	250	73
2017-12-21	$55.13	$55.00	22.2%	6.4%	30.4%	6.3%	22.4%	3.6%	4.4%	28.6K	-470.3K	-2.9K	2.61	118.64	28	73	250	73
2017-12-22	$54.72	$55.00	22.2%	6.4%	30.5%	6.2%	23.5%	-0.2%	-0.3%	30.3K	-420.6K	-2.6K	2.61	116.27	28	73	250	73
2017-12-26	$54.48	$55.00	33.5%	9.6%	30.5%	20.2%	40.2%	6.5%	-12.6%	33.5K	-477.2K	-2.5K	2.61	124.13	28	73	250	73
2017-12-27	$54.27	$55.00	46.1%	13.2%	27.9%	35.5%	46.8%	1.1%	-19.6%	26.7K	-500.8K	-2.7K	2.28	130.04	32	73	250	73
2017-12-28	$54.33	$55.00	55.1%	15.8%	24.6%	46.6%	55.2%	3.5%	-20.0%	26.5K	-505.0K	-2.8K	2.28	124.77	32	73	250	73
2017-12-29	$53.76	$55.00	37.0%	10.6%	23.4%	24.4%	49.6%	2.6%	-26.3%	26.4K	-353.0K	-2.4K	2.28	128.17	32	73	250	73