CBU Options History — April 2018

In April 2018, CBU traded between $52.62 and $57.48. ATM implied volatility averaged 39.5%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 12.0% (HV 20d: 27.5%). 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 2 of 21 days. Put/call ratio averaged 0.28.

Notable Days

2018-04-25: Highest Volume — 176 contracts
2018-04-24: Largest IV spike — 89.5% change
2018-04-06: Highest IV Rank — 28.6%
2018-04-02: Largest Expected Move — 15.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$54.58	$52.62	$57.48	$52.62	$56.40
Max Pain	$50.00	$50.00	$50.00	$50.00	$50.00
ATM IV	39.5%	17.2%	57.5%	54.9%	18.6%
Expected Move	10.4%	4.9%	15.8%	15.8%	5.3%
HV 20d	27.5%	23.3%	29.8%	27.1%	24.7%
HV 60d	24.7%	23.4%	25.6%	23.4%	25.5%
IV Rank	16.7%	2.0%	28.6%	26.9%	3.0%
IV Percentile	71.6%	1.2%	96.4%	95.6%	1.6%
Term Structure	-13.4%	-33.9%	3.1%	-23.4%	-2.2%
VWIV	31.8%	18.8%	44.5%	26.6%	20.6%
Skew 25d	23.2%	-7.9%	51.6%	9.6%	-7.9%
Skew 10d	8.8%	-41.5%	44.2%	12.7%	-3.1%
Call IV 25d	28.5%	16.3%	80.2%	80.2%	23.2%
Put IV 25d	51.8%	15.3%	98.2%	89.9%	15.3%
Bid-Ask Spread %	120.75	110.90	128.67	123.68	118.74
Gamma HHI	0.49	0.43	0.65	0.45	0.65
Net GEX	39.4K	17.0K	122.9K	20.4K	110.0K
Net DEX	-518.6K	-1.4M	-276.1K	-293.6K	-1.3M
Net VEX	-1.8K	-2.7K	-1.4K	-1.4K	-2.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.28	0.14	0.53	0.29	0.28
Total Volume	87.524	49	176	49	97
Total OI	237.429	160	417	160	417

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
2018-04-02	$52.62	$0.00	54.9%	15.8%	27.1%	26.9%	0.0%	9.6%	-23.4%	20.4K	-293.6K	-1.4K	0.29	123.68	38	11	159	1
2018-04-03	$53.14	$0.00	47.6%	13.6%	26.8%	22.0%	0.0%	35.2%	-18.4%	17.7K	-276.1K	-1.5K	0.26	121.36	42	11	159	11
2018-04-04	$54.45	$0.00	53.6%	15.4%	27.9%	26.0%	0.0%	19.5%	-20.2%	21.2K	-314.3K	-1.5K	0.25	124.78	44	11	161	11
2018-04-05	$54.47	$50.00	57.0%	6.8%	27.8%	28.2%	26.6%	21.3%	-0.7%	27.5K	-297.9K	-1.5K	0.28	115.29	40	11	166	11
2018-04-06	$52.93	$50.00	57.5%	8.2%	29.2%	28.6%	29.7%	28.1%	-6.9%	19.6K	-301.6K	-1.6K	0.28	120.63	40	11	167	11
2018-04-09	$53.15	$50.00	40.2%	10.6%	28.0%	17.1%	33.8%	23.6%	-10.3%	17.0K	-314.7K	-1.5K	0.28	124.29	40	11	167	11
2018-04-10	$54.31	$50.00	40.9%	11.4%	29.3%	17.6%	36.4%	35.0%	-22.7%	22.3K	-304.1K	-1.5K	0.53	121.03	40	21	167	11
2018-04-11	$54.03	$50.00	39.9%	11.4%	29.2%	17.0%	38.5%	35.5%	-27.2%	20.2K	-314.1K	-1.5K	0.53	128.67	40	21	167	21
2018-04-12	$54.77	$50.00	35.7%	10.2%	28.9%	14.2%	33.7%	29.3%	-14.0%	22.2K	-323.0K	-1.5K	0.27	127.13	77	21	167	21
2018-04-13	$53.84	$50.00	38.8%	11.1%	29.2%	16.2%	32.6%	8.3%	-18.6%	27.2K	-349.5K	-1.9K	0.27	119.91	77	21	205	21
2018-04-16	$54.36	$50.00	47.0%	13.5%	29.4%	21.6%	42.4%	40.8%	-23.3%	26.0K	-387.7K	-1.9K	0.27	122.97	77	21	205	21
2018-04-17	$54.01	$50.00	48.9%	14.0%	29.5%	22.9%	44.5%	43.5%	-33.9%	25.2K	-397.5K	-1.9K	0.27	121.62	77	21	205	21
2018-04-18	$53.54	$50.00	48.6%	13.9%	29.5%	22.7%	40.0%	51.6%	-24.8%	23.0K	-393.0K	-1.9K	0.27	122.61	77	21	205	21
2018-04-19	$54.12	$50.00	41.5%	11.9%	29.8%	18.0%	35.0%	44.3%	-18.1%	24.5K	-368.7K	-1.8K	0.27	128.23	77	21	205	21
2018-04-20	$54.23	$50.00	35.8%	10.3%	28.1%	14.3%	36.4%	0.5%	-3.2%	26.8K	-347.1K	-1.9K	0.27	115.75	77	21	205	21
2018-04-23	$54.51	$50.00	19.5%	5.6%	24.6%	3.5%	18.8%	32.9%	-1.7%	36.6K	-304.6K	-1.6K	0.17	121.65	122	21	205	21
2018-04-24	$55.27	$50.00	37.0%	10.6%	23.3%	15.0%	34.7%	22.0%	-12.7%	46.2K	-539.5K	-2.0K	0.21	110.90	98	21	252	21
2018-04-25	$57.48	$50.00	26.9%	7.7%	25.3%	8.4%	26.4%	9.1%	-3.8%	72.9K	-925.7K	-2.2K	0.14	112.63	155	21	292	21
2018-04-26	$57.20	$50.00	17.2%	4.9%	25.1%	2.0%	20.5%	3.4%	1.1%	98.4K	-1.4M	-2.6K	0.31	115.44	67	21	384	21
2018-04-27	$57.28	$50.00	22.0%	6.3%	25.0%	5.2%	21.8%	2.1%	3.1%	122.9K	-1.4M	-2.5K	0.28	118.44	76	21	386	21
2018-04-30	$56.40	$50.00	18.6%	5.3%	24.7%	3.0%	20.6%	-7.9%	-2.2%	110.0K	-1.3M	-2.7K	0.28	118.74	76	21	396	21