CBU Options History — November 2018

In November 2018, CBU traded between $59.23 and $65.78. ATM implied volatility averaged 32.1%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 9.6% (HV 20d: 22.5%). Max pain ranged from $50.00 to $60.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 2.17.

Notable Days

2018-11-16: Highest Volume — 224 contracts
2018-11-08: Largest IV spike — 96.5% change
2018-11-13: Highest IV Rank — 34.0%
2018-11-02: Largest Expected Move — 10.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$63.09	$59.23	$65.78	$59.23	$65.78
Max Pain	$59.05	$50.00	$60.00	$60.00	$60.00
ATM IV	32.1%	17.1%	65.8%	36.5%	24.8%
Expected Move	7.3%	4.9%	10.8%	10.5%	7.1%
HV 20d	22.5%	15.1%	29.9%	28.8%	16.7%
HV 60d	21.0%	20.5%	22.1%	20.5%	22.1%
IV Rank	11.8%	1.9%	34.0%	14.7%	7.0%
IV Percentile	43.2%	2.4%	96.8%	63.5%	31.7%
Term Structure	-0.3%	-14.2%	10.1%	0.6%	1.2%
VWIV	27.1%	17.9%	45.6%	39.6%	25.6%
Skew 25d	6.2%	-13.2%	61.5%	10.6%	5.8%
Skew 10d	12.2%	-21.5%	95.2%	12.3%	9.0%
Call IV 25d	26.3%	16.5%	42.1%	29.2%	21.6%
Put IV 25d	32.5%	24.4%	92.6%	39.8%	27.3%
Bid-Ask Spread %	111.92	99.27	121.21	121.21	113.95
Gamma HHI	0.47	0.25	0.70	0.30	0.65
Net GEX	27.7K	-7.0K	87.9K	-701	74.6K
Net DEX	-210.4K	-655.7K	82.6K	82.6K	-655.7K
Net VEX	-2.1K	-2.6K	-1.6K	-1.6K	-2.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.17	1.30	2.91	2.91	1.58
Total Volume	186.333	159	224	180	160
Total OI	427.143	361	507	361	507

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
2018-11-01	$59.23	$60.00	36.5%	10.5%	28.8%	14.7%	39.6%	10.6%	0.6%	-701	82.6K	-1.6K	2.91	121.21	46	134	121	240
2018-11-02	$60.42	$60.00	37.8%	10.8%	29.7%	15.6%	38.1%	61.5%	-11.5%	2.0K	47.1K	-1.8K	2.91	112.81	46	134	121	240
2018-11-05	$61.00	$50.00	55.5%	6.9%	29.4%	27.2%	30.5%	5.7%	-0.8%	8.8K	-17.5K	-1.8K	2.48	99.27	54	134	121	240
2018-11-06	$61.37	$50.00	24.2%	7.2%	29.5%	6.6%	26.8%	8.2%	-0.7%	10.9K	-38.1K	-1.6K	2.83	107.40	54	153	131	240
2018-11-07	$62.33	$60.00	32.9%	6.6%	29.9%	12.3%	25.6%	8.8%	2.3%	15.3K	-55.9K	-2.0K	2.83	115.68	54	153	131	267
2018-11-08	$63.09	$60.00	64.7%	9.2%	28.0%	33.3%	27.6%	-13.2%	-14.2%	14.0K	-174.6K	-2.0K	2.83	120.20	54	153	131	267
2018-11-09	$63.25	$60.00	34.7%	5.6%	23.9%	13.5%	26.0%	8.4%	3.0%	19.6K	-146.3K	-1.7K	2.83	117.27	54	153	131	267
2018-11-12	$63.17	$60.00	46.8%	8.7%	23.2%	21.5%	45.6%	6.6%	-8.1%	21.1K	-171.4K	-1.9K	2.83	119.48	54	153	131	267
2018-11-13	$63.49	$60.00	65.8%	9.2%	23.1%	34.0%	33.8%	-0.5%	-12.8%	8.8K	-177.9K	-2.0K	2.83	119.89	54	153	131	277
2018-11-14	$63.02	$60.00	20.1%	5.8%	23.4%	3.9%	26.1%	9.4%	1.4%	20.1K	-98.1K	-2.1K	2.87	107.01	55	158	131	277
2018-11-15	$63.54	$60.00	34.1%	9.8%	23.1%	13.1%	28.1%	13.5%	-11.4%	24.6K	-154.9K	-2.0K	2.35	110.22	55	129	142	294
2018-11-16	$64.51	$60.00	24.6%	7.0%	22.8%	6.9%	23.4%	8.2%	2.5%	-7.0K	-88.4K	-2.0K	1.36	102.93	95	129	142	297
2018-11-19	$63.83	$60.00	21.0%	6.0%	22.9%	4.5%	21.6%	-2.2%	6.2%	26.4K	-260.5K	-2.3K	1.61	103.89	64	103	155	261
2018-11-20	$63.45	$60.00	21.1%	6.0%	22.6%	4.5%	22.9%	9.4%	2.2%	25.0K	-221.4K	-2.4K	1.84	108.80	56	103	171	266
2018-11-21	$63.08	$60.00	24.6%	7.1%	16.9%	6.9%	23.9%	-5.9%	6.8%	27.2K	-245.1K	-2.4K	1.88	114.82	56	105	174	266
2018-11-23	$63.61	$60.00	24.6%	7.1%	15.2%	6.9%	22.3%	-5.3%	8.0%	24.6K	-184.0K	-2.4K	1.30	115.01	76	99	174	266
2018-11-26	$63.97	$60.00	19.6%	5.6%	15.1%	3.6%	20.5%	7.7%	0.6%	50.5K	-357.9K	-2.5K	1.39	103.16	71	99	204	268
2018-11-27	$63.46	$60.00	21.9%	6.3%	15.8%	5.1%	22.9%	0.9%	-1.6%	56.7K	-333.0K	-2.6K	1.39	103.67	71	99	239	268
2018-11-28	$64.93	$60.00	21.3%	6.1%	15.6%	4.7%	21.2%	-10.6%	9.8%	72.0K	-573.8K	-2.4K	1.39	115.49	71	99	239	268
2018-11-29	$64.45	$60.00	17.1%	4.9%	16.0%	1.9%	17.9%	3.3%	10.1%	87.9K	-594.1K	-2.6K	1.39	118.09	71	99	239	268
2018-11-30	$65.78	$60.00	24.8%	7.1%	16.7%	7.0%	25.6%	5.8%	1.2%	74.6K	-655.7K	-2.1K	1.58	113.95	62	98	239	268