CBU Options History — June 2018

In June 2018, CBU traded between $59.06 and $62.19. ATM implied volatility averaged 34.2%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 21.0% (HV 20d: 13.2%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.24.

Notable Days

2018-06-15: Highest Volume — 166 contracts
2018-06-29: Largest IV spike — 82.4% change
2018-06-12: Highest IV Rank — 36.0%
2018-06-01: Largest Expected Move — 14.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$60.87	$59.06	$62.19	$60.41	$59.06
Max Pain	$59.76	$55.00	$60.00	$55.00	$60.00
ATM IV	34.2%	16.9%	68.8%	49.3%	30.7%
Expected Move	7.8%	4.8%	14.1%	14.1%	8.8%
HV 20d	13.2%	11.4%	15.0%	12.4%	14.9%
HV 60d	20.4%	17.7%	22.4%	22.4%	17.9%
IV Rank	13.2%	1.8%	36.0%	23.1%	10.9%
IV Percentile	58.5%	1.2%	97.2%	92.1%	66.7%
Term Structure	-4.4%	-29.5%	10.1%	-28.6%	-29.5%
VWIV	28.0%	16.6%	46.9%	28.7%	46.9%
Skew 25d	-1.0%	-43.6%	44.4%	-43.6%	-2.2%
Skew 10d	-1.6%	-29.5%	58.3%	-18.3%	1.7%
Call IV 25d	31.7%	14.7%	66.3%	66.3%	25.0%
Put IV 25d	30.7%	16.2%	80.8%	22.7%	22.8%
Bid-Ask Spread %	123.48	118.36	127.89	123.93	127.21
Gamma HHI	0.63	0.53	0.98	0.61	0.60
Net GEX	97.2K	37.4K	1.0M	56.7K	44.7K
Net DEX	-759.0K	-1.0M	-500.3K	-843.8K	-507.9K
Net VEX	-2.2K	-2.6K	-1.9K	-2.6K	-1.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.24	0.19	0.29	0.29	0.19
Total Volume	135.524	131	166	137	131
Total OI	252.333	212	289	289	212

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
2018-06-01	$60.41	$55.00	49.3%	14.1%	12.4%	23.1%	28.7%	-43.6%	-28.6%	56.7K	-843.8K	-2.6K	0.29	123.93	106	31	258	31
2018-06-04	$60.98	$60.00	63.4%	7.9%	11.6%	32.5%	31.9%	-3.1%	-2.4%	49.4K	-857.5K	-2.6K	0.29	124.95	106	31	258	31
2018-06-05	$60.90	$60.00	62.6%	8.1%	11.4%	31.9%	35.2%	8.4%	-3.9%	54.2K	-875.0K	-2.6K	0.29	124.83	106	31	258	31
2018-06-06	$61.87	$60.00	36.3%	8.6%	12.1%	14.6%	40.5%	4.9%	-0.7%	50.5K	-937.1K	-2.5K	0.29	122.25	106	31	258	31
2018-06-07	$62.19	$60.00	30.9%	7.3%	11.5%	11.1%	30.5%	0.9%	1.4%	61.1K	-989.5K	-2.4K	0.29	118.36	106	31	258	31
2018-06-08	$61.89	$60.00	26.5%	8.3%	11.7%	8.1%	43.6%	8.5%	10.1%	71.3K	-1.0M	-2.4K	0.29	121.53	106	31	258	31
2018-06-11	$61.05	$60.00	40.5%	4.9%	12.9%	17.3%	19.6%	-8.4%	0.8%	72.7K	-969.7K	-2.3K	0.29	119.88	106	31	258	31
2018-06-12	$60.41	$60.00	68.8%	6.4%	13.4%	36.0%	18.6%	-1.6%	-9.8%	48.7K	-834.4K	-2.3K	0.29	120.87	106	31	258	31
2018-06-13	$60.38	$60.00	36.1%	10.4%	13.2%	14.5%	42.8%	7.1%	-13.8%	54.8K	-856.6K	-2.3K	0.29	123.07	106	31	258	31
2018-06-14	$60.25	$60.00	23.6%	6.8%	13.1%	6.2%	21.0%	-0.6%	-9.2%	53.2K	-827.4K	-2.2K	0.29	127.89	106	31	258	31
2018-06-15	$60.03	$60.00	25.6%	7.3%	13.0%	7.6%	22.7%	44.4%	-3.7%	1.0M	-886.8K	-2.1K	0.23	127.03	135	31	258	31
2018-06-18	$60.50	$60.00	28.2%	8.1%	12.9%	9.3%	29.5%	-1.4%	-9.3%	45.0K	-599.8K	-2.1K	0.19	122.56	110	21	191	21
2018-06-19	$61.52	$60.00	19.0%	5.5%	14.2%	3.2%	19.1%	14.3%	7.0%	44.9K	-606.7K	-2.1K	0.19	125.69	110	21	191	21
2018-06-20	$61.82	$60.00	24.6%	7.0%	14.0%	6.9%	17.5%	-6.7%	6.6%	37.4K	-652.9K	-2.1K	0.19	119.76	110	21	191	21
2018-06-21	$61.61	$60.00	35.3%	10.1%	13.7%	13.9%	27.2%	-37.1%	-9.4%	41.1K	-709.5K	-2.0K	0.19	127.59	110	21	191	21
2018-06-22	$61.40	$60.00	23.3%	6.7%	13.8%	6.0%	27.3%	3.8%	-8.8%	48.4K	-682.5K	-2.0K	0.19	125.72	110	21	191	21
2018-06-25	$61.28	$60.00	21.9%	6.3%	13.8%	5.1%	16.6%	4.4%	8.5%	42.0K	-606.1K	-2.0K	0.19	124.86	110	21	191	21
2018-06-26	$61.21	$60.00	32.1%	9.2%	13.4%	11.8%	28.9%	1.4%	-7.1%	40.5K	-644.7K	-2.0K	0.19	123.11	110	21	191	21
2018-06-27	$59.86	$60.00	21.5%	6.2%	15.0%	4.8%	23.2%	-11.7%	2.2%	43.2K	-548.3K	-2.0K	0.19	120.13	110	21	191	21
2018-06-28	$59.56	$60.00	16.9%	4.8%	14.9%	1.8%	16.6%	-2.3%	6.2%	48.8K	-500.3K	-1.9K	0.19	121.78	110	21	191	21
2018-06-29	$59.06	$60.00	30.7%	8.8%	14.9%	10.9%	46.9%	-2.2%	-29.5%	44.7K	-507.9K	-1.9K	0.19	127.21	110	21	191	21