CBU Options History — February 2018

In February 2018, CBU traded between $51.44 and $55.45. ATM implied volatility averaged 30.9%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 7.2% (HV 20d: 23.7%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 2.06.

Notable Days

2018-02-15: Highest Volume — 359 contracts
2018-02-06: Largest IV spike — 117.2% change
2018-02-06: Highest IV Rank — 74.4%
2018-02-06: Largest Expected Move — 11.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$53.70	$51.44	$55.45	$54.23	$53.41
Max Pain	$50.00	$50.00	$50.00	$50.00	$50.00
ATM IV	30.9%	20.0%	77.0%	20.8%	39.3%
Expected Move	8.3%	5.7%	11.5%	6.4%	11.3%
HV 20d	23.7%	18.0%	26.2%	18.0%	25.4%
HV 60d	23.0%	21.7%	23.8%	22.1%	21.7%
IV Rank	19.8%	6.9%	74.4%	7.9%	29.8%
IV Percentile	57.1%	3.6%	99.2%	6.0%	90.9%
Term Structure	0.5%	-31.1%	15.2%	0.6%	6.7%
VWIV	29.7%	18.0%	52.7%	27.9%	34.5%
Skew 25d	4.0%	-38.0%	43.0%	3.7%	-33.4%
Skew 10d	11.4%	-43.4%	54.1%	9.6%	-7.9%
Call IV 25d	27.9%	17.0%	55.0%	21.0%	48.9%
Put IV 25d	31.9%	15.5%	66.2%	24.7%	15.5%
Bid-Ask Spread %	103.40	67.86	123.60	81.32	122.14
Gamma HHI	0.52	0.34	0.87	0.75	0.35
Net GEX	68.7K	16.5K	279.6K	121.0K	18.4K
Net DEX	-454.3K	-804.3K	-265.1K	-794.1K	-433.3K
Net VEX	-2.6K	-3.7K	-1.8K	-3.0K	-2.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.06	1.19	3.27	1.82	3.27
Total Volume	285.105	205	359	302	205
Total OI	582.632	320	753	589	376

Daily Data (19 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
2018-02-01	$54.23	$0.00	20.8%	6.4%	18.0%	7.9%	27.9%	3.7%	0.6%	121.0K	-794.1K	-3.0K	1.82	81.32	107	195	500	89
2018-02-02	$54.25	$50.00	21.9%	6.5%	18.0%	9.2%	28.3%	3.6%	0.8%	111.0K	-804.3K	-3.4K	1.68	67.86	116	195	500	245
2018-02-05	$52.24	$50.00	35.4%	8.5%	22.3%	25.2%	32.3%	5.6%	-3.5%	51.8K	-314.6K	-3.2K	1.67	76.81	117	195	510	243
2018-02-06	$52.01	$50.00	77.0%	11.5%	22.2%	74.4%	52.7%	23.1%	4.9%	42.6K	-346.8K	-3.7K	1.67	119.66	117	195	507	233
2018-02-07	$52.72	$50.00	31.2%	8.9%	22.7%	20.2%	43.4%	13.0%	-2.3%	63.4K	-430.4K	-3.5K	1.67	116.17	117	195	507	233
2018-02-08	$51.44	$50.00	32.5%	9.3%	23.9%	21.7%	27.6%	4.9%	-16.8%	61.7K	-461.7K	-3.1K	1.67	115.54	117	195	507	233
2018-02-09	$52.47	$50.00	24.3%	7.0%	24.7%	12.0%	29.1%	-1.5%	9.5%	53.1K	-287.0K	-3.0K	1.35	112.07	144	195	507	233
2018-02-12	$52.71	$50.00	39.5%	11.3%	24.7%	29.9%	42.1%	13.5%	-31.1%	64.2K	-277.0K	-2.8K	1.35	117.79	144	195	477	233
2018-02-13	$52.90	$50.00	21.9%	6.3%	24.6%	9.2%	30.3%	5.6%	1.7%	45.8K	-265.1K	-2.0K	1.35	83.56	144	195	477	233
2018-02-14	$54.23	$50.00	20.5%	5.9%	26.2%	7.6%	29.3%	7.1%	2.0%	205.9K	-521.7K	-2.1K	1.35	86.56	144	195	477	233
2018-02-15	$54.44	$50.00	21.0%	6.0%	25.7%	8.1%	28.6%	6.4%	1.5%	279.6K	-670.8K	-2.1K	1.19	85.54	164	195	477	233
2018-02-16	$54.73	$50.00	20.0%	5.7%	25.3%	6.9%	24.1%	6.7%	2.5%	16.5K	-371.1K	-1.8K	1.34	89.68	145	195	477	233
2018-02-20	$54.31	$50.00	21.7%	6.2%	25.3%	9.0%	27.5%	9.5%	12.8%	18.7K	-297.6K	-1.8K	1.38	101.02	114	157	163	157
2018-02-21	$54.71	$50.00	24.1%	6.9%	25.5%	11.8%	19.0%	-24.2%	3.0%	20.8K	-434.7K	-2.2K	3.27	115.69	48	157	186	157
2018-02-22	$54.44	$50.00	31.2%	8.9%	25.4%	20.2%	19.0%	-8.7%	3.6%	18.3K	-441.1K	-2.1K	3.27	111.66	48	157	199	157
2018-02-23	$55.20	$50.00	31.5%	9.0%	23.3%	20.5%	28.1%	35.6%	-0.6%	41.4K	-530.9K	-2.1K	3.27	117.66	48	157	199	157
2018-02-26	$55.45	$50.00	33.4%	9.6%	23.3%	22.8%	23.5%	43.0%	15.2%	48.0K	-515.6K	-2.1K	3.27	123.60	48	157	199	157
2018-02-27	$54.44	$50.00	40.1%	11.5%	24.4%	30.7%	18.0%	-38.0%	-0.7%	23.5K	-434.0K	-2.2K	3.27	120.31	48	157	209	157
2018-02-28	$53.41	$50.00	39.3%	11.3%	25.4%	29.8%	34.5%	-33.4%	6.7%	18.4K	-433.3K	-2.3K	3.27	122.14	48	157	219	157