CBU Options History — December 2019

In December 2019, CBU traded between $66.80 and $71.11. ATM implied volatility averaged 16.9%, placing in the 6.7% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 2.3% (HV 20d: 14.5%). Max pain ranged from $60.00 to $70.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.00.

Notable Days

2019-12-30: Highest Volume — 50 contracts
2019-12-10: Largest IV spike — 33.0% change
2019-12-03: Highest IV Rank — 18.0%
2019-12-03: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$69.41	$66.80	$71.11	$67.56	$71.11
Max Pain	$68.00	$60.00	$70.00	$60.00	$70.00
ATM IV	16.9%	13.2%	23.9%	18.0%	16.6%
Expected Move	4.9%	4.4%	6.9%	5.1%	4.8%
HV 20d	14.5%	12.2%	16.9%	12.2%	13.6%
HV 60d	16.2%	15.0%	17.6%	17.6%	15.0%
IV Rank	6.7%	0.8%	18.0%	8.5%	6.3%
IV Percentile	11.4%	0.4%	46.4%	12.3%	13.1%
Term Structure	1.7%	-2.0%	2.4%	0.8%	2.0%
VWIV	17.9%	15.5%	22.6%	22.6%	15.5%
Skew 25d	5.0%	2.7%	7.6%	3.9%	3.9%
Skew 10d	9.5%	5.3%	11.9%	10.1%	5.3%
Call IV 25d	14.6%	11.0%	21.0%	18.5%	12.8%
Put IV 25d	19.5%	16.6%	25.4%	22.4%	16.7%
Bid-Ask Spread %	99.55	74.15	112.30	74.15	111.01
Gamma HHI	0.44	0.30	0.61	0.37	0.38
Net GEX	321	-27.7K	19.7K	-1.7K	19.7K
Net DEX	-1.1M	-2.0M	-507.5K	-1.7M	-652.1K
Net VEX	-2.0K	-2.7K	-1.5K	-2.4K	-2.7K
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	5.857	0	50	10	0
Total OI	372.667	228	492	481	312

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	Spread %	Call Vol	Put Vol	Call OI	Put OI
2019-12-02	$67.56	$60.00	18.0%	5.1%	12.2%	8.5%	22.6%	3.9%	0.8%	-1.7K	-1.7M	-2.4K	74.15	0	10	323	158
2019-12-03	$66.80	$60.00	23.9%	6.9%	12.8%	18.0%	0.0%	4.5%	-2.0%	5.6K	-1.6M	-2.7K	88.15	0	0	323	168
2019-12-04	$67.60	$60.00	17.2%	4.9%	13.3%	7.3%	0.0%	5.3%	0.8%	-25.9K	-1.7M	-2.3K	80.17	0	0	323	168
2019-12-05	$67.54	$0.00	18.4%	5.2%	13.2%	9.2%	0.0%	3.9%	1.4%	-25.8K	-1.7M	-2.3K	95.38	0	0	323	168
2019-12-06	$68.17	$0.00	13.2%	4.9%	13.7%	0.8%	0.0%	4.1%	2.0%	-25.6K	-1.8M	-2.1K	95.44	0	0	323	168
2019-12-09	$67.92	$0.00	15.5%	5.0%	13.6%	4.6%	0.0%	3.4%	1.1%	-27.7K	-1.8M	-2.1K	94.90	0	0	323	168
2019-12-10	$67.96	$0.00	20.6%	5.1%	13.6%	12.8%	0.0%	3.5%	1.2%	-25.8K	-1.8M	-2.1K	95.46	0	0	323	168
2019-12-11	$67.98	$0.00	17.3%	5.0%	13.5%	7.4%	0.0%	3.2%	1.6%	-25.7K	-1.8M	-2.0K	95.38	0	0	323	168
2019-12-12	$69.68	$0.00	17.2%	4.9%	15.7%	7.3%	17.2%	3.4%	2.3%	4.9K	-2.0M	-1.8K	93.94	0	1	323	168
2019-12-13	$69.04	$70.00	16.5%	4.7%	16.2%	6.1%	0.0%	5.6%	2.2%	7.5K	-1.9M	-1.8K	90.85	0	0	323	169
2019-12-16	$70.20	$70.00	15.8%	4.5%	16.9%	5.0%	0.0%	6.4%	2.2%	8.2K	-507.5K	-1.6K	104.65	3	0	110	169
2019-12-17	$70.60	$70.00	15.8%	4.5%	16.4%	5.1%	0.0%	7.2%	2.4%	9.2K	-534.4K	-1.6K	104.27	0	0	113	169
2019-12-18	$70.68	$70.00	16.3%	4.7%	16.2%	5.8%	16.3%	7.6%	1.9%	9.3K	-540.3K	-1.6K	108.45	10	0	113	169
2019-12-19	$70.68	$70.00	15.8%	4.5%	15.9%	5.1%	0.0%	7.1%	2.3%	13.7K	-578.4K	-1.7K	107.71	0	0	123	169
2019-12-20	$70.99	$70.00	15.5%	4.4%	15.8%	4.6%	0.0%	2.7%	2.2%	14.1K	-607.9K	-1.5K	107.49	6	0	123	169
2019-12-23	$70.64	$70.00	15.5%	4.4%	16.0%	4.6%	15.5%	6.3%	2.2%	15.7K	-593.2K	-1.7K	111.12	13	0	128	100
2019-12-24	$70.25	$70.00	15.6%	4.5%	14.6%	4.7%	0.0%	5.9%	2.2%	16.2K	-593.9K	-1.8K	110.93	0	0	132	100
2019-12-26	$70.75	$70.00	16.1%	4.6%	14.0%	5.5%	0.0%	6.1%	2.3%	15.8K	-615.3K	-1.7K	105.71	0	0	132	100
2019-12-27	$70.62	$70.00	16.4%	4.7%	14.0%	6.0%	0.0%	6.5%	2.0%	16.1K	-605.8K	-1.8K	103.14	0	30	132	100
2019-12-30	$70.94	$70.00	16.7%	4.8%	13.9%	6.5%	0.0%	4.2%	2.0%	8.8K	-522.7K	-1.9K	112.30	50	0	132	130
2019-12-31	$71.11	$70.00	16.6%	4.8%	13.6%	6.3%	0.0%	3.9%	2.0%	19.7K	-652.1K	-2.7K	111.01	0	0	182	130