CBU Options History — March 2019

In March 2019, CBU traded between $57.05 and $65.07. ATM implied volatility averaged 23.1%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 1.0% (HV 20d: 22.1%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.19.

Notable Days

2019-03-08: Highest Volume — 107 contracts
2019-03-22: Largest IV spike — 63.3% change
2019-03-22: Highest IV Rank — 40.3%
2019-03-07: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$61.10	$57.05	$65.07	$65.07	$59.85
Max Pain	$60.00	$60.00	$60.00	$60.00	$60.00
ATM IV	23.1%	16.7%	35.6%	16.7%	20.9%
Expected Move	6.4%	4.8%	7.8%	4.8%	6.4%
HV 20d	22.1%	12.8%	29.4%	12.8%	29.1%
HV 60d	22.9%	20.1%	26.5%	26.5%	21.6%
IV Rank	14.8%	2.3%	40.3%	2.3%	13.9%
IV Percentile	26.1%	5.2%	66.3%	5.2%	16.7%
Term Structure	0.1%	-4.6%	1.9%	-0.3%	1.4%
VWIV	23.4%	22.3%	27.0%	22.6%	23.6%
Skew 25d	8.4%	5.3%	23.4%	6.3%	8.8%
Skew 10d	15.3%	10.0%	35.8%	10.0%	14.0%
Call IV 25d	18.3%	13.5%	24.7%	16.4%	17.6%
Put IV 25d	26.7%	21.0%	46.1%	22.6%	26.3%
Bid-Ask Spread %	80.74	66.93	102.01	91.07	72.97
Gamma HHI	0.43	0.20	0.75	0.43	0.30
Net GEX	42.2K	-12.4K	132.1K	51.3K	-3.7K
Net DEX	-431.1K	-1.1M	239.1K	-1.0M	49.3K
Net VEX	-1.3K	-1.6K	-1.1K	-1.4K	-1.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.19	0.00	4.67	0.78	0.00
Total Volume	21.524	0	107	91	15
Total OI	387.333	303	494	359	352

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
2019-03-01	$65.07	$60.00	16.7%	4.8%	12.8%	2.3%	22.6%	6.3%	-0.3%	51.3K	-1.0M	-1.4K	0.78	91.07	51	40	234	125
2019-03-04	$64.19	$60.00	17.7%	5.1%	14.1%	3.0%	0.0%	7.4%	1.9%	64.0K	-1.0M	-1.5K	0.00	98.53	0	0	254	125
2019-03-05	$64.21	$60.00	17.9%	5.1%	13.5%	3.1%	0.0%	7.2%	1.7%	64.5K	-1.0M	-1.5K	0.00	102.01	0	0	254	125
2019-03-06	$62.23	$60.00	27.3%	7.8%	18.0%	9.2%	0.0%	5.9%	0.5%	77.1K	-782.8K	-1.5K	0.00	90.89	0	0	254	125
2019-03-07	$60.51	$60.00	27.3%	7.8%	20.6%	9.3%	0.0%	6.5%	0.6%	90.7K	-490.8K	-1.5K	0.00	90.84	11	0	254	125
2019-03-08	$60.58	$60.00	27.0%	7.8%	20.3%	9.1%	27.0%	5.3%	0.6%	113.3K	-613.7K	-1.6K	1.97	92.69	36	71	283	125
2019-03-11	$61.65	$60.00	30.3%	6.5%	21.0%	30.8%	0.0%	6.3%	-0.1%	107.8K	-868.0K	-1.4K	0.00	66.93	0	1	283	187
2019-03-12	$61.28	$60.00	22.3%	6.5%	20.7%	16.4%	0.0%	6.0%	0.6%	132.1K	-804.9K	-1.4K	0.00	74.75	0	0	283	187
2019-03-13	$62.15	$60.00	22.1%	6.5%	21.4%	16.0%	0.0%	5.6%	0.7%	97.5K	-964.6K	-1.2K	0.00	72.86	0	0	283	187
2019-03-14	$62.00	$60.00	21.8%	6.5%	21.1%	15.5%	0.0%	5.7%	0.9%	85.7K	-883.8K	-1.2K	0.00	75.84	0	25	283	186
2019-03-15	$61.91	$60.00	24.3%	6.4%	20.8%	20.0%	0.0%	7.8%	-2.5%	5.2K	-1.1M	-1.3K	0.00	79.24	0	27	283	211
2019-03-18	$62.70	$60.00	19.9%	5.5%	20.7%	12.1%	0.0%	23.4%	-3.6%	6.8K	-81.6K	-1.1K	0.00	92.04	0	0	92	211
2019-03-19	$61.40	$60.00	21.4%	6.4%	21.3%	14.8%	22.3%	5.3%	0.9%	3.2K	-17.9K	-1.1K	2.27	73.08	11	25	92	211
2019-03-20	$59.74	$60.00	21.8%	6.5%	22.8%	15.5%	22.4%	10.4%	0.8%	-6.8K	99.1K	-1.3K	2.27	73.59	11	25	103	236
2019-03-21	$59.75	$60.00	21.8%	6.4%	22.8%	15.5%	22.5%	9.9%	0.4%	-6.0K	84.4K	-1.2K	2.33	76.67	12	28	103	236
2019-03-22	$57.05	$60.00	35.6%	7.7%	27.0%	40.3%	23.6%	14.1%	-4.6%	-12.4K	239.1K	-1.1K	4.67	66.93	6	28	104	239
2019-03-25	$58.11	$60.00	22.7%	6.5%	28.4%	17.0%	0.0%	7.5%	-0.3%	-2.5K	144.5K	-1.3K	0.00	71.84	1	0	135	239
2019-03-26	$59.08	$60.00	22.6%	6.5%	29.4%	16.9%	0.0%	8.5%	0.0%	4.3K	35.2K	-1.3K	0.00	78.95	1	0	136	239
2019-03-27	$59.58	$60.00	21.4%	6.4%	29.3%	14.7%	0.0%	9.1%	0.9%	6.4K	-4.3K	-1.3K	0.00	77.23	1	0	136	239
2019-03-28	$60.01	$60.00	21.5%	6.4%	29.2%	14.9%	0.0%	9.2%	0.8%	7.5K	-30.3K	-1.3K	0.00	76.56	26	0	136	239
2019-03-29	$59.85	$60.00	20.9%	6.4%	29.1%	13.9%	0.0%	8.8%	1.4%	-3.7K	49.3K	-1.2K	0.00	72.97	15	0	113	239