CBU Options History — January 2019

In January 2019, CBU traded between $58.83 and $64.02. ATM implied volatility averaged 29.7%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 2.7% (HV 20d: 27.0%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.99.

Notable Days

2019-01-17: Highest Volume — 98 contracts
2019-01-08: Largest IV spike — 49.8% change
2019-01-08: Highest IV Rank — 23.4%
2019-01-02: Largest Expected Move — 13.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$61.20	$58.83	$64.02	$58.86	$59.75
Max Pain	$55.25	$55.00	$60.00	$60.00	$55.00
ATM IV	29.7%	18.7%	49.7%	45.7%	23.1%
Expected Move	7.9%	5.4%	13.1%	13.1%	6.3%
HV 20d	27.0%	17.0%	39.3%	39.3%	18.6%
HV 60d	28.4%	27.0%	30.2%	30.0%	27.0%
IV Rank	10.3%	3.0%	23.4%	20.7%	5.9%
IV Percentile	40.4%	5.2%	90.9%	84.5%	21.8%
Term Structure	-3.3%	-15.5%	2.1%	-15.5%	0.9%
VWIV	25.3%	14.5%	61.0%	61.0%	23.6%
Skew 25d	11.4%	-4.2%	31.0%	-4.2%	6.1%
Skew 10d	19.3%	7.8%	37.6%	7.8%	13.9%
Call IV 25d	24.5%	15.5%	69.3%	69.3%	20.4%
Put IV 25d	35.8%	22.9%	65.1%	65.1%	26.5%
Bid-Ask Spread %	105.74	82.07	127.46	127.46	82.07
Gamma HHI	0.30	0.19	0.39	0.19	0.38
Net GEX	10.2K	-1.7K	25.9K	53	13.3K
Net DEX	-337.1K	-1.4M	9.1K	9.1K	-209.7K
Net VEX	-1.3K	-1.8K	-825	-1.4K	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.99	0.00	15.50	15.50	1.17
Total Volume	35.952	4	98	33	26
Total OI	451.952	380	608	380	471

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
2019-01-02	$58.86	$60.00	45.7%	13.1%	39.3%	20.7%	61.0%	-4.2%	-15.5%	53	9.1K	-1.4K	15.50	127.46	2	31	108	272
2019-01-03	$58.83	$55.00	47.7%	9.0%	33.2%	22.1%	50.1%	8.6%	-14.5%	-1.7K	-13.0K	-1.5K	15.50	116.97	2	31	110	280
2019-01-04	$60.07	$55.00	30.3%	9.2%	34.1%	10.6%	30.1%	0.1%	-4.6%	-1.3K	-40.4K	-1.4K	4.43	102.94	7	31	110	280
2019-01-07	$60.36	$55.00	33.2%	7.0%	34.0%	12.5%	0.0%	11.1%	-7.0%	2.9K	-103.3K	-825	0.00	113.58	26	0	114	280
2019-01-08	$60.96	$55.00	49.7%	7.2%	34.1%	23.4%	0.0%	8.5%	-1.9%	3.0K	-184.9K	-1.2K	0.00	119.24	46	0	137	280
2019-01-09	$61.59	$55.00	36.9%	10.6%	33.1%	15.0%	0.0%	25.4%	-4.4%	11.5K	-287.9K	-1.7K	0.00	118.47	36	0	156	280
2019-01-10	$61.71	$55.00	29.8%	8.5%	33.1%	10.3%	0.0%	19.6%	2.1%	15.9K	-363.1K	-1.8K	0.00	118.05	36	0	166	280
2019-01-11	$61.78	$55.00	32.5%	9.3%	32.2%	12.1%	16.2%	17.2%	-6.4%	21.0K	-395.0K	-1.6K	0.00	120.03	37	0	166	280
2019-01-14	$61.86	$55.00	39.5%	11.3%	30.0%	16.7%	19.0%	26.3%	-9.5%	16.5K	-362.5K	-1.6K	0.00	116.36	35	0	166	280
2019-01-15	$62.14	$55.00	37.3%	10.7%	29.9%	15.2%	17.8%	31.0%	-2.4%	25.9K	-515.6K	-1.6K	0.00	118.49	43	0	197	280
2019-01-16	$63.14	$55.00	20.6%	5.9%	30.0%	4.2%	18.0%	14.0%	-0.7%	23.8K	-649.4K	-1.3K	0.00	111.98	83	0	216	280
2019-01-17	$63.48	$55.00	20.1%	5.8%	28.1%	3.9%	19.0%	5.4%	0.6%	24.8K	-1.1M	-1.2K	0.11	100.54	88	10	275	280
2019-01-18	$64.02	$55.00	18.7%	5.4%	17.0%	3.0%	14.5%	6.9%	1.8%	10.5K	-1.4M	-1.1K	0.17	101.48	58	10	325	283
2019-01-22	$63.10	$55.00	21.3%	6.1%	18.5%	4.7%	27.7%	6.2%	-2.6%	8.7K	-273.2K	-1.3K	0.00	92.09	0	4	152	274
2019-01-23	$61.35	$55.00	23.8%	6.8%	22.2%	6.4%	21.8%	6.2%	-1.3%	3.3K	-169.9K	-1.2K	1.00	101.55	9	9	157	278
2019-01-24	$60.18	$55.00	23.5%	6.7%	22.7%	6.1%	20.0%	11.6%	-1.5%	1.4K	-117.4K	-1.1K	1.00	97.61	9	9	157	278
2019-01-25	$60.25	$55.00	21.2%	6.1%	19.9%	4.6%	20.6%	9.7%	0.6%	-1.4K	-127.1K	-1.0K	0.29	85.30	31	9	157	283
2019-01-28	$60.82	$55.00	23.2%	6.6%	19.6%	5.9%	23.2%	11.2%	-1.2%	9.3K	-247.0K	-1.1K	0.20	86.28	10	2	179	282
2019-01-29	$60.58	$55.00	22.7%	6.5%	18.7%	5.6%	22.7%	10.0%	-0.6%	13.5K	-279.1K	-1.2K	0.20	92.90	10	2	189	282
2019-01-30	$60.32	$55.00	23.6%	6.8%	18.9%	6.2%	23.6%	7.9%	-0.8%	14.1K	-245.7K	-1.1K	0.18	97.08	11	2	189	282
2019-01-31	$59.75	$0.00	23.1%	6.3%	18.6%	5.9%	0.0%	6.1%	0.9%	13.3K	-209.7K	-1.1K	1.17	82.07	12	14	190	281