CBU Options History — September 2018

In September 2018, CBU traded between $60.77 and $66.26. ATM implied volatility averaged 31.8%, placing in the 11.6% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 18.8% (HV 20d: 13.0%). Max pain ranged from $65.00 to $65.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 2.15.

Notable Days

2018-09-28: Highest Volume — 205 contracts
2018-09-06: Largest IV spike — 142.4% change
2018-09-06: Highest IV Rank — 22.8%
2018-09-28: Largest Expected Move — 12.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$63.85	$60.77	$66.26	$66.26	$60.98
Max Pain	$65.00	$65.00	$65.00	$65.00	$65.00
ATM IV	31.8%	17.4%	48.7%	42.9%	44.4%
Expected Move	8.4%	4.1%	12.7%	12.3%	12.7%
HV 20d	13.0%	11.2%	14.4%	12.4%	14.4%
HV 60d	15.5%	14.9%	16.1%	15.4%	15.6%
IV Rank	11.6%	2.1%	22.8%	18.9%	19.9%
IV Percentile	51.9%	2.8%	88.9%	82.9%	83.7%
Term Structure	-5.4%	-28.8%	14.1%	-28.8%	-13.6%
VWIV	52.6%	31.3%	73.9%	73.9%	31.3%
Skew 25d	9.3%	-4.2%	40.8%	-4.2%	17.3%
Skew 10d	11.7%	-0.6%	55.9%	20.6%	13.3%
Call IV 25d	28.0%	13.1%	73.1%	60.5%	31.3%
Put IV 25d	37.3%	19.0%	75.1%	56.4%	48.7%
Bid-Ask Spread %	118.53	100.03	127.31	126.56	120.64
Gamma HHI	0.44	0.29	0.52	0.44	0.29
Net GEX	2.4K	336	3.7K	2.2K	2.0K
Net DEX	-53.4K	-101.6K	55.6K	-95.0K	55.6K
Net VEX	-963	-1.8K	-825	-929	-1.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.15	1.86	2.45	1.86	2.42
Total Volume	76.158	61	205	63	205
Total OI	87.842	79	190	79	190

Daily Data (19 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
2018-09-04	$66.26	$0.00	42.9%	12.3%	12.4%	18.9%	0.0%	-4.2%	-28.8%	2.2K	-95.0K	-929	1.86	126.56	22	41	38	41
2018-09-05	$66.24	$0.00	20.1%	5.8%	12.4%	3.9%	0.0%	29.0%	-2.8%	3.7K	-101.6K	-893	1.86	118.98	22	41	38	41
2018-09-06	$65.90	$0.00	48.7%	8.0%	12.4%	22.8%	0.0%	1.4%	-9.4%	1.8K	-87.4K	-932	2.05	126.88	20	41	38	41
2018-09-07	$65.83	$0.00	37.4%	4.1%	12.2%	15.3%	0.0%	3.7%	14.1%	2.8K	-80.7K	-948	2.15	112.91	20	43	39	41
2018-09-10	$65.88	$0.00	21.9%	5.7%	12.2%	5.1%	0.0%	1.5%	0.6%	3.0K	-98.0K	-904	2.15	108.65	20	43	39	43
2018-09-11	$66.00	$0.00	22.6%	6.0%	12.1%	5.6%	0.0%	5.3%	0.7%	2.8K	-76.4K	-948	2.15	100.03	20	43	39	43
2018-09-12	$65.07	$0.00	17.4%	5.0%	11.2%	2.1%	0.0%	1.7%	-1.1%	1.2K	-70.4K	-966	2.15	119.62	20	43	39	43
2018-09-13	$63.73	$0.00	19.4%	5.5%	13.2%	3.4%	0.0%	3.6%	1.9%	2.4K	-54.2K	-965	2.15	107.51	20	43	40	43
2018-09-14	$64.50	$0.00	35.2%	10.1%	12.9%	13.8%	0.0%	10.9%	-2.5%	1.8K	-48.0K	-956	2.15	116.95	20	43	40	43
2018-09-17	$63.50	$0.00	31.8%	9.1%	13.7%	11.6%	0.0%	12.6%	-14.7%	2.9K	-54.4K	-922	2.15	111.99	20	43	40	43
2018-09-18	$62.97	$0.00	21.0%	6.0%	13.9%	4.5%	0.0%	5.6%	8.1%	2.7K	-55.8K	-919	2.15	120.37	20	43	40	43
2018-09-19	$62.99	$0.00	29.2%	8.4%	12.4%	9.9%	0.0%	23.8%	-12.5%	3.5K	-65.5K	-825	2.15	126.29	20	43	40	43
2018-09-20	$63.42	$0.00	25.4%	7.3%	12.9%	7.4%	0.0%	2.8%	1.8%	2.6K	-31.9K	-910	2.15	120.30	20	43	40	43
2018-09-21	$63.25	$0.00	34.6%	9.9%	12.9%	13.4%	0.0%	4.0%	-21.0%	2.5K	-45.2K	-910	2.15	121.39	20	43	40	43
2018-09-24	$62.37	$0.00	23.4%	6.7%	13.4%	6.1%	0.0%	6.3%	-2.6%	2.8K	-30.7K	-881	2.10	113.06	20	42	40	42
2018-09-25	$62.24	$0.00	44.2%	12.7%	13.4%	19.8%	0.0%	40.8%	-1.8%	2.4K	-47.4K	-880	2.10	127.31	20	42	40	42
2018-09-26	$61.32	$0.00	42.8%	12.3%	14.1%	18.8%	0.0%	8.6%	-12.2%	1.6K	-19.2K	-882	2.45	126.79	20	49	40	42
2018-09-27	$60.77	$0.00	41.4%	11.9%	14.1%	17.9%	73.9%	1.9%	-6.7%	336	-8.9K	-905	2.38	125.88	50	119	40	49
2018-09-28	$60.98	$65.00	44.4%	12.7%	14.4%	19.9%	31.3%	17.3%	-13.6%	2.0K	55.6K	-1.8K	2.42	120.64	60	145	71	119