CBU Options History — November 2019

In November 2019, CBU traded between $67.07 and $68.81. ATM implied volatility averaged 18.8%, placing in the 9.6% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 4.8% (HV 20d: 14.0%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.45.

Notable Days

2019-11-14: Highest Volume — 135 contracts
2019-11-20: Largest IV spike — 76.3% change
2019-11-20: Highest IV Rank — 34.7%
2019-11-20: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$68.01	$67.07	$68.81	$68.06	$67.91
Max Pain	$60.25	$60.00	$65.00	$65.00	$60.00
ATM IV	18.8%	12.7%	34.3%	15.0%	18.1%
Expected Move	5.9%	4.3%	9.8%	4.3%	5.2%
HV 20d	14.0%	11.2%	18.0%	17.9%	12.3%
HV 60d	19.0%	17.6%	20.8%	20.8%	17.6%
IV Rank	9.6%	0.0%	34.7%	3.0%	8.8%
IV Percentile	18.5%	0.0%	81.0%	1.2%	13.1%
Term Structure	2.5%	-9.2%	13.3%	2.3%	0.5%
VWIV	20.0%	17.1%	22.0%	17.1%	22.0%
Skew 25d	3.0%	-15.0%	7.1%	4.1%	5.1%
Skew 10d	2.5%	-24.9%	20.6%	-24.9%	20.6%
Call IV 25d	19.7%	15.5%	43.8%	17.4%	16.9%
Put IV 25d	22.6%	19.3%	28.8%	21.5%	22.1%
Bid-Ask Spread %	94.10	81.24	125.41	98.69	90.20
Gamma HHI	0.41	0.34	0.57	0.41	0.46
Net GEX	51.6K	-26.8K	128.9K	120.7K	-15.9K
Net DEX	-2.2M	-3.0M	-1.4M	-2.5M	-1.7M
Net VEX	-2.1K	-3.2K	-874	-2.1K	-2.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.45	0.00	10.00	0.00	0.00
Total Volume	15.1	0	135	12	0
Total OI	561	461	814	594	481

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
2019-11-01	$68.06	$65.00	15.0%	4.3%	17.9%	3.0%	17.1%	4.1%	2.3%	120.7K	-2.5M	-2.1K	0.00	98.69	12	0	516	78
2019-11-04	$67.93	$60.00	15.8%	5.8%	18.0%	4.2%	0.0%	5.1%	1.8%	122.1K	-2.6M	-1.9K	0.00	81.24	0	0	522	78
2019-11-05	$68.46	$60.00	14.7%	5.8%	16.4%	2.4%	0.0%	4.1%	1.5%	113.0K	-2.7M	-1.6K	0.00	84.86	0	0	523	78
2019-11-06	$68.63	$60.00	13.7%	5.7%	16.4%	0.8%	0.0%	4.2%	1.7%	101.9K	-2.8M	-1.4K	0.00	84.57	0	0	523	78
2019-11-07	$68.50	$60.00	13.9%	5.6%	16.6%	1.1%	0.0%	4.3%	2.3%	92.1K	-2.7M	-1.3K	10.00	87.08	1	10	523	78
2019-11-08	$68.79	$60.00	12.7%	5.5%	14.5%	0.0%	0.0%	4.1%	2.7%	86.7K	-2.8M	-1.2K	0.00	84.58	0	1	522	88
2019-11-11	$68.56	$60.00	14.4%	5.6%	13.6%	2.8%	20.8%	6.7%	2.0%	68.3K	-2.7M	-986	0.00	91.91	44	0	518	88
2019-11-12	$68.81	$60.00	14.4%	5.5%	13.6%	2.9%	0.0%	7.1%	2.6%	66.1K	-2.7M	-874	0.00	93.04	63	0	518	88
2019-11-13	$68.12	$60.00	19.7%	5.7%	14.6%	11.3%	0.0%	5.9%	1.9%	125.1K	-2.9M	-2.0K	0.17	92.98	12	2	581	88
2019-11-14	$68.14	$60.00	18.9%	5.4%	14.7%	10.1%	22.0%	5.0%	1.1%	128.9K	-3.0M	-2.0K	0.00	92.35	0	135	593	86
2019-11-15	$67.68	$60.00	17.6%	5.1%	14.9%	8.0%	0.0%	4.3%	2.6%	11.5K	-2.7M	-3.0K	0.00	108.11	0	2	593	221
2019-11-18	$67.08	$60.00	21.2%	6.1%	11.8%	13.7%	0.0%	4.0%	-0.7%	8.7K	-1.5M	-3.0K	0.00	93.14	0	0	303	158
2019-11-19	$67.75	$60.00	19.5%	5.6%	11.7%	10.9%	0.0%	0.9%	-0.7%	9.7K	-1.6M	-2.8K	0.00	93.25	0	0	303	158
2019-11-20	$67.33	$60.00	34.3%	9.8%	11.9%	34.7%	0.0%	-15.0%	-9.2%	17.8K	-1.4M	-3.2K	0.00	125.41	0	0	303	158
2019-11-21	$67.09	$60.00	21.7%	6.2%	11.2%	14.5%	0.0%	-2.2%	2.4%	8.1K	-1.5M	-2.7K	0.00	100.99	15	0	303	158
2019-11-22	$67.07	$60.00	21.6%	6.2%	11.2%	14.3%	0.0%	4.9%	1.8%	9.4K	-1.6M	-2.9K	0.00	95.12	0	0	318	158
2019-11-25	$68.49	$60.00	24.4%	7.0%	12.4%	18.9%	0.0%	-2.6%	6.9%	-26.8K	-1.8M	-2.2K	0.00	95.67	5	0	318	158
2019-11-26	$67.72	$60.00	21.5%	6.2%	12.9%	14.2%	0.0%	4.5%	13.3%	1.4K	-1.7M	-2.5K	0.00	95.09	0	0	323	158
2019-11-27	$68.12	$60.00	22.4%	6.4%	12.9%	15.5%	0.0%	5.1%	12.5%	-16.3K	-1.8M	-2.4K	0.00	93.77	0	0	323	158
2019-11-29	$67.91	$60.00	18.1%	5.2%	12.3%	8.8%	0.0%	5.1%	0.5%	-15.9K	-1.7M	-2.4K	0.00	90.20	0	0	323	158