CBU Options History — August 2018

In August 2018, CBU traded between $63.28 and $66.65. ATM implied volatility averaged 30.1%, placing in the 10.5% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 14.0% (HV 20d: 16.2%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.75.

Notable Days

2018-08-14: Highest Volume — 123 contracts
2018-08-07: Largest IV spike — 210.2% change
2018-08-07: Highest IV Rank — 29.2%
2018-08-03: Largest Expected Move — 14.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$64.98	$63.28	$66.65	$63.96	$66.03
Max Pain	$55.00	$55.00	$55.00	$55.00	$55.00
ATM IV	30.1%	14.2%	58.5%	46.6%	39.9%
Expected Move	7.7%	3.5%	14.8%	13.4%	11.4%
HV 20d	16.2%	12.6%	18.6%	17.8%	12.6%
HV 60d	15.5%	15.0%	16.0%	15.0%	15.5%
IV Rank	10.5%	0.0%	29.2%	21.4%	16.9%
IV Percentile	45.8%	0.4%	95.6%	88.1%	77.8%
Term Structure	-5.9%	-28.3%	14.3%	-20.0%	-17.3%
VWIV	47.7%	21.0%	64.5%	57.7%	64.5%
Skew 25d	-3.7%	-49.4%	12.7%	-42.9%	-1.2%
Skew 10d	-2.6%	-55.0%	38.9%	-55.0%	38.9%
Call IV 25d	27.5%	11.6%	70.7%	64.5%	55.4%
Put IV 25d	23.8%	17.6%	54.2%	21.6%	54.2%
Bid-Ask Spread %	119.96	110.64	127.69	122.37	127.69
Gamma HHI	0.56	0.36	0.94	0.42	0.39
Net GEX	26.8K	-92	71.7K	35.3K	-92
Net DEX	-833.2K	-2.4M	-38.2K	-851.8K	-38.2K
Net VEX	-973	-1.6K	-363	-1.5K	-786
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.75	0.22	1.58	0.27	1.28
Total Volume	77.478	41	123	103	73
Total OI	201.696	42	440	225	68

Daily Data (23 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
2018-08-01	$63.96	$55.00	46.6%	13.4%	17.8%	21.4%	57.7%	-42.9%	-20.0%	35.3K	-851.8K	-1.5K	0.27	122.37	81	22	203	22
2018-08-02	$64.53	$55.00	19.7%	5.6%	17.6%	3.6%	21.0%	-0.1%	0.5%	39.5K	-1.1M	-1.2K	0.27	118.89	81	22	223	22
2018-08-03	$63.55	$55.00	51.6%	14.8%	18.5%	24.7%	64.5%	-49.4%	-28.3%	37.2K	-950.0K	-1.6K	0.27	120.59	81	22	223	22
2018-08-06	$63.28	$0.00	18.9%	6.6%	17.9%	3.1%	0.0%	7.1%	-0.2%	39.5K	-1.0M	-1.2K	0.27	119.55	81	22	223	22
2018-08-07	$63.46	$0.00	58.5%	8.4%	16.9%	29.2%	0.0%	11.4%	-7.8%	48.9K	-949.2K	-1.3K	0.24	121.01	91	22	223	22
2018-08-08	$64.03	$0.00	17.9%	5.9%	17.1%	2.5%	0.0%	5.8%	-2.7%	31.6K	-1.4M	-1.1K	0.54	118.69	41	22	282	22
2018-08-09	$63.75	$0.00	36.6%	6.2%	17.1%	14.8%	0.0%	0.8%	1.2%	60.3K	-1.4M	-1.3K	0.54	122.24	41	22	292	22
2018-08-10	$63.84	$0.00	39.3%	7.4%	16.9%	16.5%	0.0%	12.7%	-3.0%	58.8K	-1.5M	-1.3K	0.54	124.86	41	22	302	22
2018-08-13	$63.58	$0.00	23.2%	8.5%	16.8%	6.0%	0.0%	5.0%	-14.0%	35.4K	-1.5M	-1.0K	0.54	112.69	41	22	302	22
2018-08-14	$64.89	$0.00	46.1%	3.5%	18.0%	21.1%	0.0%	12.6%	7.8%	59.5K	-1.6M	-1.2K	0.22	121.02	101	22	312	22
2018-08-15	$64.41	$0.00	24.4%	7.0%	18.1%	6.7%	0.0%	-0.5%	-2.9%	55.0K	-2.0M	-1.2K	0.71	110.64	41	29	382	29
2018-08-16	$65.36	$0.00	18.7%	5.4%	18.6%	3.0%	0.0%	-14.1%	2.4%	71.7K	-1.9M	-1.4K	0.36	122.32	81	29	392	29
2018-08-17	$65.70	$0.00	22.2%	6.4%	18.0%	5.3%	0.0%	-27.9%	14.3%	16.6K	-2.4M	-1.1K	0.32	124.17	91	29	411	29
2018-08-20	$65.67	$0.00	14.2%	4.1%	14.4%	0.0%	0.0%	-22.2%	13.5%	5.2K	-86.2K	-456	0.78	110.76	23	18	26	18
2018-08-21	$66.65	$0.00	27.8%	8.0%	15.2%	9.0%	0.0%	5.7%	-13.2%	5.8K	-96.3K	-363	0.78	123.05	23	18	24	18
2018-08-22	$66.51	$0.00	27.5%	7.9%	15.1%	8.8%	0.0%	9.8%	-4.4%	4.6K	-90.2K	-417	1.19	114.26	26	31	24	18
2018-08-23	$66.17	$0.00	18.2%	5.2%	15.1%	2.7%	0.0%	6.3%	-4.6%	3.4K	-62.3K	-678	1.19	120.31	26	31	27	31
2018-08-24	$66.30	$0.00	25.7%	7.4%	14.6%	7.6%	0.0%	10.6%	-10.4%	2.4K	-59.9K	-689	1.19	124.00	26	31	27	31
2018-08-27	$66.00	$0.00	39.6%	11.4%	14.3%	16.8%	0.0%	3.5%	-21.5%	1.2K	-52.7K	-707	1.19	125.09	26	31	27	31
2018-08-28	$65.78	$0.00	36.8%	10.5%	14.0%	14.9%	0.0%	-22.9%	-18.3%	2.4K	-52.7K	-688	1.54	123.83	26	40	27	31
2018-08-29	$65.74	$0.00	15.5%	4.4%	13.7%	0.9%	0.0%	2.8%	3.2%	1.4K	-60.1K	-644	1.54	113.31	26	40	27	40
2018-08-30	$65.39	$0.00	24.3%	7.0%	13.6%	6.7%	0.0%	1.7%	-10.1%	1.4K	-43.6K	-741	1.58	117.84	26	41	27	40
2018-08-31	$66.03	$0.00	39.9%	11.4%	12.6%	16.9%	0.0%	-1.2%	-17.3%	-92	-38.2K	-786	1.28	127.69	32	41	27	41