CBU Options History — August 2019

In August 2019, CBU traded between $59.76 and $63.95. ATM implied volatility averaged 37.0%, placing in the 41.1% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 12.1% (HV 20d: 24.9%). Max pain ranged from $60.00 to $70.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.00.

Notable Days

2019-08-05: Highest Volume — 33 contracts
2019-08-08: Largest IV spike — 92.0% change
2019-08-08: Highest IV Rank — 100.0%
2019-08-02: Largest Expected Move — 14.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$61.40	$59.76	$63.95	$63.95	$60.81
Max Pain	$60.45	$60.00	$70.00	$60.00	$60.00
ATM IV	37.0%	21.3%	75.1%	44.0%	27.5%
Expected Move	8.6%	6.1%	14.1%	12.6%	7.9%
HV 20d	24.9%	22.3%	27.5%	22.3%	24.6%
HV 60d	21.3%	20.8%	22.0%	21.3%	21.0%
IV Rank	41.1%	13.0%	100.0%	58.6%	23.1%
IV Percentile	64.9%	19.4%	100.0%	90.5%	47.2%
Term Structure	-4.0%	-28.0%	4.4%	-19.7%	-1.4%
VWIV	31.6%	28.8%	34.4%	34.4%	28.8%
Skew 25d	4.1%	-35.8%	12.7%	-5.7%	12.7%
Skew 10d	13.5%	-2.2%	22.0%	4.0%	17.5%
Call IV 25d	32.0%	18.8%	69.0%	66.3%	18.8%
Put IV 25d	36.1%	28.6%	60.7%	60.7%	31.5%
Bid-Ask Spread %	107.82	92.70	125.69	122.79	111.41
Gamma HHI	0.41	0.31	0.78	0.41	0.44
Net GEX	-3.4K	-42.6K	21.6K	21.6K	-7.9K
Net DEX	-527	-252.8K	142.4K	-252.8K	47.4K
Net VEX	-832	-1.2K	-674	-1.2K	-738
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.00	0.00	0.00	0.00	0.00
Total Volume	4.091	0	33	1	2
Total OI	192.182	108	276	230	124

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	Spread %	Call Vol	Put Vol	Call OI	Put OI
2019-08-01	$63.95	$60.00	44.0%	12.6%	22.3%	58.6%	0.0%	-5.7%	-19.7%	21.6K	-252.8K	-1.2K	122.79	1	0	159	71
2019-08-02	$62.83	$60.00	49.3%	14.1%	22.5%	68.8%	0.0%	-35.8%	-28.0%	16.0K	-152.8K	-1.1K	123.92	0	0	159	71
2019-08-05	$61.43	$70.00	38.8%	8.5%	23.4%	48.8%	34.4%	2.0%	4.4%	9.7K	-76.1K	-918	117.98	0	33	159	71
2019-08-06	$61.24	$60.00	62.2%	8.6%	23.2%	93.2%	0.0%	0.4%	-10.1%	5.8K	-45.0K	-1.2K	124.90	0	0	159	104
2019-08-07	$60.76	$60.00	35.4%	9.2%	23.1%	42.3%	0.0%	5.0%	-12.3%	-6.4K	70.6K	-876	118.33	0	0	159	104
2019-08-08	$62.28	$60.00	68.0%	7.1%	25.1%	100.0%	0.0%	-5.1%	-2.1%	9.3K	-78.1K	-1.1K	125.69	0	0	159	104
2019-08-09	$62.01	$60.00	75.1%	9.3%	24.5%	100.0%	0.0%	4.9%	-4.1%	7.2K	-86.8K	-1.0K	124.62	0	0	159	104
2019-08-12	$61.36	$60.00	37.8%	8.3%	23.3%	39.7%	0.0%	7.9%	-1.9%	-13.0K	64.2K	-713	92.70	0	0	159	104
2019-08-13	$61.92	$60.00	42.1%	8.1%	23.3%	46.6%	0.0%	11.0%	-1.8%	-5.1K	2.2K	-716	93.94	6	0	159	104
2019-08-14	$60.93	$60.00	28.9%	8.3%	23.8%	25.4%	28.8%	7.3%	-0.8%	-19.2K	85.6K	-674	93.14	0	12	160	104
2019-08-15	$60.27	$60.00	29.3%	8.4%	23.9%	26.0%	0.0%	6.7%	-0.5%	-42.6K	142.4K	-712	94.88	0	0	160	116
2019-08-16	$61.73	$60.00	25.7%	7.4%	25.8%	20.2%	0.0%	5.5%	1.1%	-3.9K	1.5K	-753	102.62	20	0	160	116
2019-08-19	$62.60	$60.00	21.3%	6.1%	26.4%	13.0%	0.0%	8.3%	0.3%	-1.7K	-25.1K	-748	99.42	1	0	56	52
2019-08-20	$61.50	$60.00	27.5%	7.9%	26.9%	23.1%	0.0%	7.9%	-0.9%	-3.3K	9.9K	-724	104.43	0	0	57	52
2019-08-21	$61.51	$60.00	27.3%	7.8%	25.9%	22.8%	0.0%	8.6%	-0.7%	-3.5K	3.3K	-734	105.57	0	0	57	52
2019-08-22	$61.80	$60.00	27.6%	7.9%	25.6%	23.2%	0.0%	7.3%	-1.8%	-3.3K	-1.6K	-723	105.74	0	0	57	52
2019-08-23	$59.83	$60.00	29.9%	8.6%	27.0%	27.0%	0.0%	7.9%	-2.5%	-4.4K	38.2K	-701	95.88	0	10	57	52
2019-08-26	$60.61	$60.00	29.5%	8.5%	27.5%	26.4%	0.0%	6.6%	-2.1%	-7.0K	54.5K	-767	98.44	0	0	57	62
2019-08-27	$59.76	$60.00	29.7%	8.5%	27.1%	26.6%	0.0%	8.8%	-1.9%	-7.8K	81.4K	-719	99.76	0	0	57	62
2019-08-28	$60.46	$60.00	27.5%	7.9%	27.4%	23.1%	0.0%	7.2%	1.0%	-8.6K	66.6K	-761	105.72	0	0	57	62
2019-08-29	$61.16	$60.00	29.4%	8.4%	25.2%	26.3%	0.0%	9.8%	-2.7%	-7.0K	38.7K	-739	110.06	5	0	57	62
2019-08-30	$60.81	$60.00	27.5%	7.9%	24.6%	23.1%	0.0%	12.7%	-1.4%	-7.9K	47.4K	-738	111.41	2	0	62	62