CBU Options History — September 2019

In September 2019, CBU traded between $60.28 and $66.24. ATM implied volatility averaged 24.1%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 1.0% (HV 20d: 23.1%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.16.

Notable Days

2019-09-13: Highest Volume — 611 contracts
2019-09-10: Largest IV drop — 48.0% change
2019-09-09: Highest IV Rank — 32.5%
2019-09-03: Largest Expected Move — 8.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$63.09	$60.28	$66.24	$60.29	$61.94
Max Pain	$60.00	$60.00	$60.00	$60.00	$60.00
ATM IV	24.1%	17.3%	33.3%	30.5%	24.7%
Expected Move	6.8%	5.9%	8.8%	8.8%	7.1%
HV 20d	23.1%	20.2%	25.2%	23.5%	21.3%
HV 60d	22.3%	21.0%	23.0%	21.1%	22.6%
IV Rank	17.7%	6.7%	32.5%	28.0%	18.6%
IV Percentile	34.4%	5.2%	67.5%	56.7%	41.7%
Term Structure	0.8%	-3.8%	2.2%	-3.8%	1.3%
VWIV	26.2%	17.6%	37.8%	37.8%	24.9%
Skew 25d	6.5%	4.3%	11.8%	7.3%	5.3%
Skew 10d	13.0%	5.2%	18.8%	12.0%	5.2%
Call IV 25d	20.5%	17.5%	27.7%	27.7%	19.9%
Put IV 25d	27.0%	24.3%	35.0%	35.0%	25.2%
Bid-Ask Spread %	91.60	86.02	100.60	87.64	100.60
Gamma HHI	0.47	0.37	0.67	0.44	0.48
Net GEX	-1.8K	-29.8K	40.4K	-8.0K	2.4K
Net DEX	652.3K	-581.6K	1.7M	58.4K	353.6K
Net VEX	-2.7K	-5.7K	-624	-708	-2.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.16	0.00	5.79	0.00	5.79
Total Volume	64.2	0	611	5	27
Total OI	448	126	759	126	502

Daily Data (20 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
2019-09-03	$60.29	$60.00	30.5%	8.8%	23.5%	28.0%	37.8%	7.3%	-3.8%	-8.0K	58.4K	-708	0.00	87.64	0	5	64	62
2019-09-04	$60.28	$60.00	28.3%	8.1%	23.5%	24.4%	0.0%	11.8%	-2.9%	-10.4K	70.9K	-690	0.00	94.07	0	0	64	67
2019-09-05	$61.60	$60.00	25.8%	7.1%	24.6%	20.4%	0.0%	6.2%	0.7%	-8.8K	13.8K	-673	0.00	86.48	0	0	64	67
2019-09-06	$61.43	$60.00	24.2%	6.9%	22.9%	17.8%	0.0%	6.0%	0.7%	-10.1K	12.1K	-658	0.00	88.14	0	0	64	67
2019-09-09	$62.82	$60.00	33.3%	6.1%	24.3%	32.5%	0.0%	6.2%	0.8%	-3.8K	-56.7K	-624	0.00	90.36	50	0	64	67
2019-09-10	$63.49	$60.00	17.3%	6.0%	24.1%	6.7%	0.0%	7.4%	1.8%	11.9K	-198.2K	-1.1K	0.00	90.54	20	0	114	67
2019-09-11	$65.00	$60.00	20.7%	5.9%	25.2%	12.2%	0.0%	5.9%	2.2%	25.4K	-359.7K	-1.3K	0.00	87.74	40	0	134	67
2019-09-12	$66.24	$60.00	21.4%	6.1%	24.9%	13.3%	17.6%	6.1%	1.7%	40.0K	-577.8K	-1.7K	0.00	86.02	5	0	174	67
2019-09-13	$65.90	$60.00	22.2%	6.4%	24.5%	14.6%	0.0%	6.0%	1.7%	40.4K	-581.6K	-1.8K	5.79	88.01	90	521	179	67
2019-09-16	$65.10	$60.00	23.0%	6.6%	24.0%	15.9%	0.0%	5.9%	1.2%	-29.8K	1.3M	-5.7K	0.00	86.87	0	23	269	469
2019-09-17	$64.51	$60.00	23.1%	6.6%	24.0%	16.0%	0.0%	5.9%	1.1%	-27.4K	1.6M	-5.2K	0.00	92.16	0	24	269	490
2019-09-18	$64.42	$60.00	23.1%	6.6%	22.9%	16.0%	0.0%	6.0%	1.1%	-24.2K	1.4M	-5.3K	0.00	92.04	0	5	269	466
2019-09-19	$63.84	$60.00	21.8%	6.2%	23.3%	13.9%	0.0%	8.8%	2.1%	-16.1K	1.6M	-4.6K	0.00	94.65	0	30	269	461
2019-09-20	$63.10	$60.00	22.9%	6.6%	23.7%	15.6%	0.0%	7.7%	1.2%	-5.1K	1.5M	-4.3K	0.00	94.13	0	13	269	437
2019-09-23	$63.25	$60.00	21.5%	6.2%	20.2%	13.4%	26.7%	6.5%	1.3%	-393	1.5M	-3.9K	0.00	94.08	0	43	268	402
2019-09-24	$62.03	$60.00	27.6%	7.9%	21.3%	23.3%	0.0%	6.6%	-0.5%	-5.0K	1.7M	-3.3K	0.00	95.51	0	35	268	432
2019-09-25	$62.93	$60.00	22.0%	6.3%	21.0%	14.2%	0.0%	5.4%	1.0%	-5.3K	1.5M	-3.7K	0.00	90.12	0	4	268	417
2019-09-26	$61.92	$60.00	24.1%	6.9%	21.7%	17.6%	23.9%	4.3%	1.2%	-485	1.6M	-2.9K	0.00	97.32	0	301	268	413
2019-09-27	$61.75	$60.00	25.3%	7.3%	21.4%	19.6%	0.0%	4.7%	1.3%	-2.0K	568.9K	-2.6K	0.00	95.52	0	48	268	267
2019-09-30	$61.94	$60.00	24.7%	7.1%	21.3%	18.6%	24.9%	5.3%	1.3%	2.4K	353.6K	-2.4K	0.00	100.60	0	27	268	234