CBU Options History — February 2019

In February 2019, CBU traded between $60.35 and $64.91. ATM implied volatility averaged 18.7%, placing in the 3.2% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 1.6% (HV 20d: 17.0%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.78.

Notable Days

2019-02-19: Highest Volume — 75 contracts
2019-02-14: Largest IV spike — 61.4% change
2019-02-04: Highest IV Rank — 6.5%
2019-02-11: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$62.93	$60.35	$64.91	$60.35	$64.91
Max Pain	$60.00	$60.00	$60.00	$60.00	$60.00
ATM IV	18.7%	13.2%	24.0%	23.1%	15.3%
Expected Move	5.3%	3.8%	6.5%	6.3%	4.4%
HV 20d	17.0%	13.3%	19.2%	18.9%	13.7%
HV 60d	27.0%	26.5%	27.2%	27.0%	26.5%
IV Rank	3.2%	0.0%	6.5%	5.9%	1.4%
IV Percentile	10.1%	0.0%	25.0%	21.8%	1.2%
Term Structure	0.8%	-0.5%	3.3%	0.8%	1.3%
VWIV	19.0%	16.1%	23.1%	19.7%	16.1%
Skew 25d	5.2%	-1.3%	7.5%	6.6%	-1.3%
Skew 10d	9.9%	-2.0%	14.0%	14.0%	-2.0%
Call IV 25d	16.7%	14.7%	19.4%	19.4%	15.7%
Put IV 25d	21.9%	14.4%	26.0%	26.0%	14.4%
Bid-Ask Spread %	91.07	77.70	109.34	83.69	90.01
Gamma HHI	0.41	0.33	0.53	0.37	0.44
Net GEX	29.6K	10.1K	56.5K	14.5K	51.3K
Net DEX	-635.8K	-1.0M	-113.1K	-242.2K	-1.0M
Net VEX	-1.2K	-1.6K	-930	-1.2K	-1.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.78	0.00	3.30	1.17	1.29
Total Volume	40.263	0	75	26	71
Total OI	426.737	175	596	473	359

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
2019-02-01	$60.35	$0.00	23.1%	6.3%	18.9%	5.9%	0.0%	6.6%	0.8%	14.5K	-242.2K	-1.2K	1.17	83.69	12	14	191	282
2019-02-04	$61.17	$0.00	24.0%	6.5%	18.1%	6.5%	0.0%	6.9%	-0.4%	15.5K	-298.6K	-1.1K	0.00	86.05	1	0	191	282
2019-02-05	$61.57	$0.00	21.4%	6.5%	18.1%	4.7%	0.0%	7.2%	0.0%	15.2K	-344.2K	-1.1K	0.00	90.45	1	0	192	282
2019-02-06	$61.80	$0.00	22.5%	6.5%	17.9%	5.5%	0.0%	6.5%	0.3%	16.1K	-362.7K	-1.0K	0.00	90.75	30	0	193	282
2019-02-07	$62.26	$0.00	21.7%	6.2%	17.7%	4.9%	0.0%	5.4%	0.6%	26.9K	-543.7K	-1.1K	0.00	90.62	29	0	223	282
2019-02-08	$61.53	$0.00	21.6%	6.2%	18.2%	4.9%	0.0%	7.5%	0.8%	42.6K	-618.2K	-1.2K	0.07	82.68	29	2	251	282
2019-02-11	$62.19	$0.00	22.8%	6.5%	18.6%	5.7%	0.0%	6.5%	-0.5%	38.0K	-669.3K	-1.1K	0.00	87.45	0	25	251	280
2019-02-12	$62.28	$0.00	22.3%	6.4%	18.6%	5.3%	0.0%	5.7%	-0.3%	17.7K	-733.6K	-930	3.30	89.29	10	33	251	307
2019-02-13	$62.88	$0.00	13.6%	3.9%	18.8%	0.0%	0.0%	5.7%	3.0%	27.7K	-766.9K	-1.2K	1.80	95.86	20	36	261	313
2019-02-14	$62.31	$0.00	21.9%	6.3%	18.2%	5.5%	0.0%	5.8%	0.3%	20.5K	-801.3K	-1.1K	1.80	77.70	20	36	271	315
2019-02-15	$63.18	$0.00	15.7%	4.5%	18.8%	1.4%	0.0%	5.1%	3.3%	10.1K	-900.1K	-1.1K	1.20	96.34	30	36	281	315
2019-02-19	$64.00	$0.00	16.1%	4.6%	19.2%	1.6%	19.7%	4.6%	0.7%	11.8K	-113.1K	-1.1K	0.00	97.51	75	0	69	106
2019-02-20	$64.52	$60.00	15.4%	4.4%	18.6%	1.2%	17.2%	4.9%	1.2%	25.4K	-566.3K	-1.2K	0.00	102.89	37	0	142	106
2019-02-21	$64.00	$60.00	15.8%	4.5%	15.5%	1.4%	23.1%	4.2%	0.7%	36.3K	-700.8K	-1.3K	0.00	95.98	35	0	172	106
2019-02-22	$64.42	$60.00	16.2%	4.6%	13.3%	1.7%	16.1%	4.9%	0.2%	28.2K	-726.2K	-1.2K	0.00	95.44	41	0	167	106
2019-02-25	$64.15	$60.00	16.2%	4.6%	13.6%	1.7%	0.0%	3.9%	0.5%	51.3K	-894.8K	-1.3K	0.00	109.34	0	0	213	106
2019-02-26	$63.72	$60.00	13.2%	3.8%	13.8%	0.0%	0.0%	3.2%	1.1%	56.1K	-845.2K	-1.3K	1.29	83.18	31	40	213	106
2019-02-27	$64.37	$60.00	15.6%	4.5%	13.8%	1.6%	0.0%	5.3%	0.8%	56.5K	-942.4K	-1.6K	1.29	85.20	31	40	234	125
2019-02-28	$64.91	$60.00	15.3%	4.4%	13.7%	1.4%	0.0%	-1.3%	1.3%	51.3K	-1.0M	-1.4K	1.29	90.01	31	40	234	125