CBU Options History — April 2019

In April 2019, CBU traded between $60.99 and $66.15. ATM implied volatility averaged 20.6%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 6.2% (HV 20d: 26.8%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.20.

Notable Days

2019-04-25: Highest Volume — 124 contracts
2019-04-15: Largest IV spike — 29.1% change
2019-04-18: Highest IV Rank — 20.5%
2019-04-18: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$63.21	$60.99	$66.15	$61.24	$66.15
Max Pain	$60.00	$60.00	$60.00	$60.00	$60.00
ATM IV	20.6%	18.1%	24.6%	21.3%	18.3%
Expected Move	6.0%	5.2%	7.0%	6.3%	5.2%
HV 20d	26.8%	23.3%	30.4%	30.4%	24.1%
HV 60d	22.7%	21.7%	24.0%	22.1%	23.8%
IV Rank	13.4%	8.9%	20.5%	14.6%	9.2%
IV Percentile	20.1%	8.3%	43.3%	19.0%	9.1%
Term Structure	-0.4%	-3.1%	0.8%	0.8%	0.0%
VWIV	20.4%	18.3%	24.2%	20.6%	18.3%
Skew 25d	6.4%	3.4%	9.2%	9.2%	6.7%
Skew 10d	13.6%	5.7%	18.9%	18.9%	14.5%
Call IV 25d	17.4%	13.8%	20.5%	15.1%	13.8%
Put IV 25d	23.8%	20.6%	26.9%	24.3%	20.6%
Bid-Ask Spread %	81.17	73.40	89.31	77.45	85.52
Gamma HHI	0.56	0.31	0.71	0.32	0.54
Net GEX	46.7K	-89	128.7K	1.1K	128.7K
Net DEX	-373.1K	-1.0M	-11.5K	-33.1K	-1.0M
Net VEX	-1.7K	-3.0K	-1.1K	-1.1K	-3.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.20	0.00	0.68	0.00	0.00
Total Volume	37.857	0	124	3	54
Total OI	433.857	351	598	351	598

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
2019-04-01	$61.24	$60.00	21.3%	6.3%	30.4%	14.6%	0.0%	9.2%	0.8%	1.1K	-33.1K	-1.1K	0.00	77.45	3	0	112	239
2019-04-02	$60.99	$60.00	22.7%	6.6%	30.4%	17.1%	20.6%	9.2%	0.2%	-89	-11.5K	-1.2K	0.00	77.29	76	0	113	239
2019-04-03	$61.15	$60.00	22.5%	6.5%	28.5%	16.8%	19.8%	5.5%	-0.8%	17.9K	-95.8K	-1.5K	0.00	77.91	6	0	180	239
2019-04-04	$61.84	$60.00	21.9%	6.5%	26.9%	15.6%	22.5%	5.8%	-1.1%	25.5K	-158.7K	-1.5K	0.40	79.64	5	2	180	239
2019-04-05	$61.74	$60.00	21.1%	6.5%	26.9%	14.2%	20.3%	5.4%	-1.3%	25.2K	-176.0K	-1.6K	0.18	78.72	11	2	180	237
2019-04-08	$62.09	$60.00	23.8%	6.7%	26.2%	19.1%	0.0%	5.9%	-1.7%	25.9K	-222.4K	-1.5K	0.00	74.01	0	0	180	237
2019-04-09	$61.23	$60.00	23.6%	6.7%	26.6%	18.7%	0.0%	6.4%	-1.6%	18.6K	-110.5K	-1.3K	0.00	78.38	0	0	180	237
2019-04-10	$62.62	$60.00	18.8%	5.4%	27.4%	10.0%	0.0%	5.5%	0.3%	32.0K	-281.6K	-1.5K	0.00	83.96	3	0	180	237
2019-04-11	$62.42	$60.00	23.1%	6.6%	27.4%	17.7%	0.0%	5.2%	-1.3%	30.9K	-276.6K	-1.5K	0.00	73.40	3	0	183	237
2019-04-12	$63.72	$60.00	18.6%	5.3%	28.3%	9.7%	0.0%	4.0%	0.5%	43.1K	-402.1K	-1.6K	0.00	86.42	3	0	183	237
2019-04-15	$62.26	$60.00	24.0%	6.9%	29.3%	19.4%	0.0%	5.7%	-1.9%	31.0K	-237.9K	-1.4K	0.00	83.33	0	0	183	237
2019-04-16	$63.60	$60.00	19.1%	5.5%	29.1%	10.5%	0.0%	6.7%	0.3%	42.4K	-373.4K	-1.5K	0.00	89.31	16	0	183	237
2019-04-17	$63.70	$60.00	19.1%	5.5%	27.0%	10.6%	0.0%	6.6%	-0.0%	48.6K	-448.7K	-1.6K	0.00	84.48	19	0	197	237
2019-04-18	$62.30	$60.00	24.6%	7.0%	28.5%	20.5%	23.5%	5.8%	-3.1%	36.4K	-307.5K	-1.4K	0.29	88.28	21	6	197	237
2019-04-22	$64.25	$60.00	19.0%	5.4%	23.9%	10.5%	24.2%	3.4%	-0.1%	59.0K	-411.2K	-1.6K	0.66	77.33	29	19	183	219
2019-04-23	$64.78	$60.00	18.4%	5.3%	23.5%	9.3%	21.7%	7.3%	0.3%	68.5K	-526.0K	-2.1K	0.68	81.26	31	21	208	229
2019-04-24	$65.57	$60.00	18.1%	5.2%	23.3%	8.9%	18.4%	7.9%	0.6%	72.9K	-625.2K	-2.1K	0.27	82.76	78	21	208	232
2019-04-25	$64.35	$60.00	18.4%	5.3%	24.7%	9.3%	18.7%	7.0%	0.7%	89.0K	-568.7K	-2.2K	0.59	79.54	78	46	244	232
2019-04-26	$65.44	$60.00	18.3%	5.2%	25.1%	9.1%	18.5%	7.9%	0.5%	92.7K	-707.2K	-2.5K	0.59	83.84	78	46	244	257
2019-04-29	$66.01	$60.00	19.0%	5.4%	25.0%	10.4%	19.0%	7.3%	-0.3%	92.1K	-828.9K	-2.4K	0.00	81.72	118	0	243	257
2019-04-30	$66.15	$60.00	18.3%	5.2%	24.1%	9.2%	18.3%	6.7%	0.0%	128.7K	-1.0M	-3.0K	0.00	85.52	54	0	341	257