CBU Options History — March 2018

In March 2018, CBU traded between $52.48 and $57.09. ATM implied volatility averaged 52.3%, placing in the 29.7% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 29.5% (HV 20d: 22.8%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.53.

Notable Days

2018-03-13: Highest Volume — 250 contracts
2018-03-08: Largest IV spike — 227.2% change
2018-03-06: Highest IV Rank — 100.0%
2018-03-23: Largest Expected Move — 14.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$55.19	$52.48	$57.09	$53.32	$53.59
Max Pain	$50.00	$50.00	$50.00	$50.00	$50.00
ATM IV	52.3%	20.8%	166.0%	34.0%	46.2%
Expected Move	10.7%	6.0%	14.4%	9.8%	13.2%
HV 20d	22.8%	19.4%	27.5%	25.2%	27.4%
HV 60d	21.4%	19.8%	23.1%	21.6%	23.1%
IV Rank	29.7%	4.4%	100.0%	23.5%	21.1%
IV Percentile	86.3%	6.7%	100.0%	86.9%	93.3%
Term Structure	-4.5%	-30.6%	18.1%	18.1%	-16.6%
VWIV	60.7%	31.0%	90.3%	31.0%	90.3%
Skew 25d	6.6%	-17.9%	38.3%	-17.9%	14.8%
Skew 10d	6.0%	-10.5%	34.1%	-5.3%	11.1%
Call IV 25d	41.4%	17.3%	83.7%	36.4%	67.0%
Put IV 25d	48.1%	18.5%	87.0%	18.5%	81.8%
Bid-Ask Spread %	122.10	112.48	128.84	124.33	127.48
Gamma HHI	0.47	0.30	0.68	0.36	0.47
Net GEX	29.7K	15.0K	77.7K	20.3K	19.2K
Net DEX	-606.0K	-1.1M	-300.6K	-340.1K	-362.1K
Net VEX	-1.9K	-2.4K	-1.4K	-2.1K	-1.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.53	0.03	3.27	3.27	0.03
Total Volume	143.381	39	250	205	39
Total OI	301.524	160	426	376	160

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
2018-03-01	$53.32	$50.00	34.0%	9.8%	25.2%	23.5%	31.0%	-17.9%	18.1%	20.3K	-340.1K	-2.1K	3.27	124.33	48	157	219	157
2018-03-02	$54.41	$50.00	43.5%	12.5%	25.2%	34.7%	90.3%	3.3%	16.5%	15.0K	-373.4K	-2.4K	3.27	122.15	48	157	219	157
2018-03-05	$55.16	$0.00	78.1%	9.8%	25.6%	75.7%	0.0%	7.4%	-7.7%	20.2K	-472.8K	-2.3K	2.31	121.35	68	157	219	157
2018-03-06	$55.87	$0.00	124.2%	10.5%	21.5%	100.0%	0.0%	-0.4%	10.8%	27.4K	-738.5K	-2.2K	3.27	119.03	48	157	239	157
2018-03-07	$56.21	$0.00	50.7%	10.5%	21.3%	33.2%	0.0%	9.4%	-8.0%	26.2K	-649.9K	-2.4K	3.27	120.36	48	157	249	157
2018-03-08	$55.45	$0.00	166.0%	10.1%	21.9%	100.0%	0.0%	-5.5%	14.9%	19.2K	-1.0M	-1.8K	3.27	119.80	48	157	259	157
2018-03-09	$56.58	$0.00	56.5%	6.0%	20.2%	27.9%	0.0%	2.8%	4.4%	29.4K	-716.6K	-2.3K	3.27	116.86	48	157	259	157
2018-03-12	$56.81	$0.00	20.8%	6.2%	19.4%	4.4%	0.0%	0.4%	-9.9%	77.7K	-1.1M	-1.9K	3.27	112.48	48	157	269	157
2018-03-13	$57.09	$0.00	24.1%	7.1%	19.4%	6.6%	0.0%	9.0%	-3.0%	64.7K	-1.0M	-1.9K	1.69	118.69	93	157	269	157
2018-03-14	$55.89	$0.00	38.2%	11.0%	21.4%	15.8%	0.0%	-0.1%	-6.5%	62.5K	-875.7K	-1.9K	1.69	127.35	93	157	269	157
2018-03-15	$56.38	$0.00	39.6%	11.3%	19.9%	16.7%	0.0%	22.9%	-4.9%	51.2K	-902.7K	-1.9K	1.69	120.97	93	157	269	157
2018-03-16	$56.59	$0.00	37.9%	10.9%	19.9%	15.6%	0.0%	5.4%	2.5%	21.3K	-1.1M	-1.8K	1.69	128.84	93	157	269	157
2018-03-19	$56.45	$0.00	29.8%	8.5%	19.9%	10.3%	0.0%	18.7%	4.8%	24.5K	-408.7K	-1.7K	0.03	124.04	38	1	159	1
2018-03-20	$55.94	$0.00	39.2%	11.2%	20.0%	16.5%	0.0%	1.4%	-16.4%	20.0K	-405.7K	-1.7K	0.03	124.78	38	1	159	1
2018-03-21	$56.00	$0.00	41.6%	11.9%	19.9%	18.0%	0.0%	1.3%	-10.5%	21.3K	-470.0K	-1.8K	0.03	127.57	38	1	159	1
2018-03-22	$54.42	$0.00	46.3%	13.3%	22.4%	21.2%	0.0%	3.1%	-13.4%	19.7K	-408.6K	-1.7K	0.03	122.17	38	1	159	1
2018-03-23	$52.48	$0.00	50.1%	14.4%	25.2%	23.7%	0.0%	1.3%	-20.9%	17.0K	-387.5K	-1.6K	0.03	123.29	38	1	159	1
2018-03-26	$53.91	$0.00	44.5%	12.8%	27.2%	20.0%	0.0%	38.3%	-8.1%	19.7K	-323.6K	-1.5K	0.03	121.74	38	1	159	1
2018-03-27	$52.77	$0.00	43.0%	12.3%	27.5%	19.0%	0.0%	13.1%	-9.9%	23.2K	-341.1K	-1.5K	0.03	124.94	38	1	159	1
2018-03-28	$53.65	$0.00	43.6%	12.5%	27.4%	19.4%	0.0%	10.3%	-30.6%	25.0K	-300.6K	-1.4K	0.03	115.88	38	1	159	1
2018-03-29	$53.59	$0.00	46.2%	13.2%	27.4%	21.1%	0.0%	14.8%	-16.6%	19.2K	-362.1K	-1.5K	0.03	127.48	38	1	159	1