CBU Options History — January 2018

In January 2018, CBU traded between $53.12 and $55.74. ATM implied volatility averaged 31.2%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 13.5% (HV 20d: 17.7%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.75.

Notable Days

2018-01-22: Highest Volume — 202 contracts
2018-01-24: Largest IV spike — 111.7% change
2018-01-03: Highest IV Rank — 45.0%
2018-01-03: Largest Expected Move — 15.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$54.44	$53.12	$55.74	$53.75	$53.12
Max Pain	$50.48	$50.00	$55.00	$55.00	$50.00
ATM IV	31.2%	14.2%	53.8%	35.5%	21.1%
Expected Move	8.4%	4.1%	15.4%	10.2%	6.0%
HV 20d	17.7%	12.8%	23.2%	23.2%	16.6%
HV 60d	22.5%	21.6%	23.1%	22.9%	21.8%
IV Rank	19.3%	0.0%	45.0%	22.6%	8.2%
IV Percentile	57.7%	0.0%	97.2%	92.1%	8.3%
Term Structure	-2.3%	-17.8%	13.2%	-11.4%	0.9%
VWIV	28.4%	15.1%	57.3%	30.4%	22.1%
Skew 25d	5.5%	-26.3%	43.8%	43.8%	4.1%
Skew 10d	8.8%	-31.6%	55.8%	55.8%	5.2%
Call IV 25d	30.2%	15.0%	75.3%	30.1%	21.5%
Put IV 25d	35.7%	24.7%	76.6%	73.9%	25.6%
Bid-Ask Spread %	109.67	65.09	130.26	125.60	90.21
Gamma HHI	0.54	0.41	0.74	0.43	0.70
Net GEX	57.9K	22.5K	106.6K	26.0K	92.9K
Net DEX	-608.1K	-984.8K	-299.5K	-312.2K	-550.7K
Net VEX	-2.6K	-3.5K	-2.0K	-2.0K	-2.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.75	0.22	2.28	2.28	0.36
Total Volume	127.571	79	202	105	146
Total OI	422.286	323	579	323	579

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
2018-01-02	$53.75	$55.00	35.5%	10.2%	23.2%	22.6%	30.4%	43.8%	-11.4%	26.0K	-312.2K	-2.0K	2.28	125.60	32	73	250	73
2018-01-03	$53.36	$55.00	53.8%	15.4%	21.3%	45.0%	57.3%	1.3%	-17.8%	22.5K	-372.8K	-2.5K	2.28	130.26	32	73	250	73
2018-01-04	$53.32	$50.00	40.2%	7.5%	20.6%	28.4%	29.5%	3.9%	-3.5%	23.3K	-299.5K	-2.3K	1.74	109.17	42	73	250	73
2018-01-05	$53.86	$50.00	33.7%	9.0%	21.0%	20.4%	25.0%	6.6%	-13.4%	29.2K	-384.3K	-2.5K	1.74	110.44	42	73	260	73
2018-01-08	$54.11	$50.00	52.0%	10.0%	21.0%	42.8%	32.6%	7.8%	-8.0%	29.8K	-473.2K	-2.6K	0.88	121.97	42	37	260	73
2018-01-09	$54.37	$50.00	39.7%	10.1%	20.2%	27.7%	32.0%	15.7%	-12.5%	29.3K	-435.9K	-2.6K	0.88	126.04	42	37	260	83
2018-01-10	$54.74	$50.00	22.8%	6.5%	20.2%	7.0%	31.7%	-5.4%	-3.6%	32.3K	-577.2K	-2.7K	0.71	121.71	52	37	260	83
2018-01-11	$55.44	$50.00	14.2%	4.1%	20.5%	0.0%	19.3%	8.5%	10.5%	52.8K	-518.8K	-2.0K	0.48	119.36	77	37	269	83
2018-01-12	$55.58	$50.00	16.8%	4.8%	20.1%	3.2%	15.1%	14.0%	5.7%	70.3K	-618.7K	-2.0K	0.43	114.96	87	37	299	83
2018-01-16	$54.95	$50.00	28.8%	8.3%	18.5%	17.3%	24.3%	19.1%	1.9%	85.6K	-677.8K	-2.0K	0.43	118.80	87	37	339	83
2018-01-17	$55.39	$50.00	38.1%	10.9%	12.9%	28.4%	36.7%	23.3%	1.4%	45.1K	-924.2K	-2.7K	0.43	122.42	87	37	339	83
2018-01-18	$54.58	$50.00	38.5%	11.1%	13.7%	28.9%	39.5%	-17.2%	-3.8%	73.9K	-734.0K	-2.6K	0.43	119.37	86	37	339	83
2018-01-19	$55.33	$50.00	41.4%	11.9%	14.2%	32.3%	38.0%	-26.3%	-10.4%	32.5K	-931.0K	-2.6K	0.42	115.77	86	36	340	83
2018-01-22	$55.61	$50.00	33.1%	9.5%	14.1%	22.4%	21.6%	-21.2%	9.9%	34.9K	-548.7K	-2.3K	0.22	115.88	166	36	265	83
2018-01-23	$55.74	$50.00	18.4%	5.3%	12.8%	5.1%	19.7%	17.3%	13.2%	106.6K	-835.8K	-2.2K	0.31	115.56	115	36	371	83
2018-01-24	$55.33	$50.00	39.0%	11.2%	12.8%	29.4%	33.5%	1.4%	-9.2%	69.7K	-984.8K	-3.5K	0.29	119.67	125	36	430	83
2018-01-25	$53.67	$50.00	21.7%	6.2%	16.8%	9.0%	21.7%	4.2%	0.4%	83.3K	-634.6K	-3.1K	0.31	73.01	126	39	460	83
2018-01-26	$53.71	$50.00	21.1%	6.1%	16.8%	8.3%	21.4%	4.6%	1.2%	86.7K	-644.4K	-3.1K	0.37	78.18	106	39	460	89
2018-01-29	$53.66	$50.00	22.6%	6.5%	16.8%	10.0%	22.7%	4.8%	0.1%	90.4K	-644.5K	-3.0K	0.34	65.09	116	39	470	89
2018-01-30	$53.52	$50.00	22.3%	6.4%	16.4%	9.6%	22.7%	5.1%	0.4%	99.3K	-667.8K	-3.0K	0.40	89.69	97	39	490	89
2018-01-31	$53.12	$50.00	21.1%	6.0%	16.6%	8.2%	22.1%	4.1%	0.9%	92.9K	-550.7K	-2.7K	0.36	90.21	107	39	490	89