CBU Options History — December 2018

In December 2018, CBU traded between $54.87 and $65.29. ATM implied volatility averaged 36.3%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 4.0% (HV 20d: 32.3%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 10.12.

Notable Days

2018-12-24: Highest Volume — 92 contracts
2018-12-19: Largest IV spike — 35.2% change
2018-12-31: Highest IV Rank — 22.8%
2018-12-31: Largest Expected Move — 14.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$59.33	$54.87	$65.29	$65.29	$58.00
Max Pain	$61.75	$60.00	$65.00	$60.00	$60.00
ATM IV	36.3%	29.7%	48.8%	31.7%	48.8%
Expected Move	10.2%	8.0%	14.0%	9.1%	14.0%
HV 20d	32.3%	16.3%	39.8%	16.3%	38.5%
HV 60d	27.1%	22.1%	29.9%	22.1%	29.9%
IV Rank	14.6%	10.2%	22.8%	11.6%	22.8%
IV Percentile	60.7%	41.3%	89.7%	49.2%	89.7%
Term Structure	-4.3%	-16.8%	9.0%	-2.7%	-16.8%
VWIV	35.7%	33.2%	40.8%	35.2%	40.8%
Skew 25d	7.2%	-13.9%	30.6%	-13.9%	17.8%
Skew 10d	3.3%	-32.6%	34.6%	-32.6%	4.2%
Call IV 25d	37.1%	13.7%	62.4%	44.2%	46.6%
Put IV 25d	44.3%	29.4%	69.4%	30.3%	64.4%
Bid-Ask Spread %	117.12	102.83	128.62	119.13	119.73
Gamma HHI	0.40	0.17	0.67	0.67	0.17
Net GEX	11.2K	-45.4K	93.2K	93.2K	367
Net DEX	65.1K	-667.5K	592.8K	-667.5K	-3.3K
Net VEX	-1.8K	-2.6K	-1.3K	-2.2K	-1.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	10.12	0.33	28.00	28.00	1.30
Total Volume	16.75	0	92	0	0
Total OI	496.45	351	582	528	380

Daily Data (20 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
2018-12-03	$65.29	$60.00	31.7%	9.1%	16.3%	11.6%	0.0%	-13.9%	-2.7%	93.2K	-667.5K	-2.2K	0.00	119.13	0	0	259	269
2018-12-04	$61.40	$60.00	37.2%	10.7%	28.2%	15.2%	35.2%	8.5%	-10.4%	47.6K	-297.4K	-2.6K	28.00	114.85	1	28	259	269
2018-12-05	$61.49	$60.00	37.0%	10.6%	28.1%	15.0%	33.5%	19.9%	-3.4%	58.5K	-204.7K	-2.4K	28.00	117.51	1	28	259	269
2018-12-06	$62.13	$65.00	35.1%	10.5%	27.8%	13.8%	0.0%	30.6%	-0.4%	33.4K	-92.9K	-2.4K	0.00	114.79	0	2	259	273
2018-12-07	$62.56	$65.00	33.9%	9.0%	27.5%	13.0%	0.0%	1.9%	-4.6%	48.3K	-203.9K	-2.2K	2.00	127.60	1	2	259	273
2018-12-10	$61.03	$65.00	34.4%	8.8%	28.8%	13.3%	0.0%	8.5%	-1.5%	16.5K	73.5K	-2.1K	0.00	108.58	0	0	259	273
2018-12-11	$61.08	$65.00	34.3%	8.0%	28.8%	13.3%	0.0%	-3.1%	-5.1%	16.5K	68.7K	-1.9K	0.00	113.83	0	0	259	273
2018-12-12	$62.37	$65.00	33.1%	9.5%	29.9%	12.5%	0.0%	9.6%	-4.6%	43.0K	-122.1K	-1.9K	0.00	128.62	0	0	259	273
2018-12-13	$60.40	$65.00	33.5%	9.6%	31.8%	12.8%	0.0%	2.5%	9.0%	-22.0K	131.7K	-1.4K	0.00	123.08	0	0	259	273
2018-12-14	$60.00	$65.00	30.9%	8.9%	31.6%	11.0%	33.2%	9.3%	-3.0%	-27.7K	235.7K	-1.6K	0.00	115.70	0	10	259	273
2018-12-17	$59.50	$60.00	29.7%	8.5%	30.9%	10.2%	0.0%	1.2%	3.0%	-45.4K	330.4K	-1.6K	0.00	115.89	0	1	259	283
2018-12-18	$57.99	$60.00	30.6%	8.8%	31.8%	10.8%	0.0%	12.4%	-2.9%	-21.2K	404.4K	-1.5K	0.00	106.64	0	13	259	283
2018-12-19	$54.87	$60.00	41.4%	11.9%	36.5%	17.9%	0.0%	-7.4%	-10.4%	-3.0K	358.4K	-1.7K	0.00	121.29	0	13	259	283
2018-12-20	$55.64	$60.00	36.4%	10.4%	37.3%	14.6%	0.0%	9.2%	-2.0%	-12.5K	592.8K	-1.3K	0.33	103.98	40	13	259	283
2018-12-21	$56.02	$60.00	33.9%	9.7%	37.2%	13.0%	0.0%	6.3%	-4.9%	-691	419.2K	-1.5K	1.10	102.83	40	44	299	283
2018-12-24	$55.20	$60.00	35.2%	10.1%	37.0%	13.9%	40.8%	9.3%	6.4%	-1.6K	110.8K	-1.6K	1.30	123.74	40	52	108	243
2018-12-26	$57.10	$60.00	46.7%	13.4%	39.8%	21.4%	0.0%	14.2%	-16.0%	308	79.9K	-1.5K	0.00	118.08	0	2	108	272
2018-12-27	$56.66	$60.00	37.8%	10.8%	38.4%	15.6%	0.0%	-8.8%	-4.4%	254	76.3K	-1.5K	0.00	123.57	0	2	108	272
2018-12-28	$57.84	$60.00	44.2%	12.7%	39.6%	19.8%	0.0%	16.8%	-11.3%	-73	11.3K	-1.5K	0.00	122.94	0	2	108	272
2018-12-31	$58.00	$60.00	48.8%	14.0%	38.5%	22.8%	0.0%	17.8%	-16.8%	367	-3.3K	-1.6K	0.00	119.73	0	0	108	272