CBU Options History — July 2018

In July 2018, CBU traded between $59.77 and $64.96. ATM implied volatility averaged 33.7%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 17.2% (HV 20d: 16.5%). Max pain ranged from $45.00 to $60.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.41.

Notable Days

2018-07-20: Highest Volume — 103 contracts
2018-07-26: Largest IV spike — 81.0% change
2018-07-06: Highest IV Rank — 26.1%
2018-07-03: Largest Expected Move — 14.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$62.32	$59.77	$64.96	$59.77	$63.32
Max Pain	$49.76	$45.00	$60.00	$60.00	$55.00
ATM IV	33.7%	18.5%	53.8%	46.7%	45.5%
Expected Move	8.9%	5.3%	14.3%	13.4%	13.0%
HV 20d	16.5%	14.7%	19.3%	15.1%	17.6%
HV 60d	16.0%	14.6%	16.9%	16.9%	15.0%
IV Rank	12.9%	2.9%	26.1%	21.4%	20.6%
IV Percentile	60.3%	2.4%	93.7%	89.7%	86.9%
Term Structure	-6.4%	-31.1%	6.7%	-31.1%	-16.7%
VWIV	31.1%	17.4%	56.8%	47.7%	56.8%
Skew 25d	0.2%	-42.4%	50.2%	-42.4%	0.1%
Skew 10d	4.0%	-42.4%	69.1%	-11.6%	5.7%
Call IV 25d	32.5%	16.7%	64.2%	64.2%	63.1%
Put IV 25d	32.7%	17.4%	77.3%	21.8%	63.2%
Bid-Ask Spread %	115.30	105.45	128.57	128.57	121.77
Gamma HHI	0.56	0.42	0.86	0.60	0.42
Net GEX	42.3K	15.5K	59.3K	43.4K	35.3K
Net DEX	-738.7K	-959.4K	-513.4K	-573.3K	-862.0K
Net VEX	-1.6K	-1.9K	-943	-1.9K	-1.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.41	0.27	0.69	0.28	0.69
Total Volume	83.381	54	103	95	54
Total OI	215.476	208	226	212	225

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
2018-07-02	$59.77	$60.00	46.7%	13.4%	15.1%	21.4%	47.7%	-42.4%	-31.1%	43.4K	-573.3K	-1.9K	0.28	128.57	74	21	191	21
2018-07-03	$60.04	$60.00	49.8%	14.3%	15.3%	23.5%	49.8%	-2.4%	-20.6%	39.6K	-513.4K	-1.9K	0.28	126.55	74	21	191	21
2018-07-05	$60.74	$45.00	53.3%	9.3%	14.7%	25.8%	30.6%	4.1%	2.4%	37.0K	-592.0K	-1.9K	0.30	116.49	74	22	191	21
2018-07-06	$61.42	$45.00	53.8%	7.6%	15.2%	26.1%	24.9%	1.1%	1.8%	40.4K	-668.4K	-1.8K	0.30	120.65	74	22	191	22
2018-07-09	$62.33	$45.00	33.3%	10.5%	16.0%	12.6%	33.6%	0.1%	-7.6%	40.7K	-684.2K	-1.8K	0.30	113.71	74	22	191	22
2018-07-10	$61.40	$45.00	30.1%	6.2%	16.2%	10.5%	26.7%	0.8%	1.6%	51.3K	-673.1K	-1.8K	0.30	108.90	74	22	191	22
2018-07-11	$61.27	$45.00	21.4%	6.1%	15.7%	4.8%	21.5%	-20.9%	6.3%	49.7K	-692.4K	-1.6K	0.30	113.01	74	22	191	22
2018-07-12	$60.98	$45.00	24.6%	7.1%	15.8%	6.9%	34.0%	-1.9%	-4.3%	54.0K	-614.2K	-1.7K	0.30	112.02	74	22	191	22
2018-07-13	$60.76	$45.00	32.0%	9.2%	15.9%	11.7%	22.9%	-0.5%	3.9%	38.1K	-656.2K	-1.8K	0.29	117.81	77	22	191	22
2018-07-16	$61.38	$45.00	25.1%	7.2%	16.2%	7.2%	25.4%	0.5%	-3.9%	55.3K	-636.5K	-1.6K	0.29	113.89	77	22	191	22
2018-07-17	$61.30	$45.00	19.7%	5.6%	16.0%	3.6%	26.2%	0.9%	1.3%	59.3K	-694.0K	-1.6K	0.29	112.78	77	22	191	22
2018-07-18	$62.00	$45.00	24.9%	7.2%	15.4%	7.1%	29.1%	8.5%	-6.7%	51.5K	-684.9K	-1.5K	0.29	114.03	77	22	191	22
2018-07-19	$61.96	$45.00	37.1%	10.6%	15.3%	15.1%	26.7%	10.3%	-9.5%	43.7K	-647.3K	-1.6K	0.29	108.03	77	22	191	22
2018-07-20	$62.96	$45.00	41.2%	11.8%	16.2%	17.8%	23.4%	5.1%	-28.0%	35.3K	-735.2K	-1.6K	0.27	110.82	81	22	191	22
2018-07-23	$64.92	$55.00	26.9%	7.7%	19.2%	8.4%	28.2%	50.2%	2.4%	15.5K	-959.4K	-943	0.65	114.49	34	22	186	22
2018-07-24	$64.64	$55.00	20.8%	6.0%	19.3%	4.4%	20.3%	3.0%	5.1%	38.4K	-941.5K	-1.3K	0.63	105.45	35	22	199	22
2018-07-25	$64.45	$55.00	18.5%	5.3%	19.3%	2.9%	17.4%	0.7%	6.7%	35.2K	-947.5K	-1.2K	0.61	115.69	36	22	199	22
2018-07-26	$64.96	$55.00	33.5%	9.6%	17.0%	12.7%	33.8%	-9.6%	-19.4%	37.4K	-892.1K	-1.5K	0.69	106.25	32	22	197	22
2018-07-27	$64.35	$55.00	41.0%	11.8%	17.4%	17.7%	50.0%	0.8%	-19.6%	33.0K	-893.5K	-1.6K	0.69	124.03	32	22	204	22
2018-07-30	$63.78	$55.00	28.3%	8.1%	17.5%	9.3%	24.1%	-4.7%	1.5%	54.7K	-950.7K	-1.1K	0.69	116.29	32	22	204	22
2018-07-31	$63.32	$55.00	45.5%	13.0%	17.6%	20.6%	56.8%	0.1%	-16.7%	35.3K	-862.0K	-1.5K	0.69	121.77	32	22	203	22