CBU Options History — July 2013

In July 2013, CBU traded between $31.12 and $33.54. ATM implied volatility averaged 20.7%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 2.2% (HV 20d: 18.5%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.88.

Notable Days

2013-07-01: Highest Volume — 110 contracts
2013-07-16: Largest IV spike — 53.2% change
2013-07-10: Highest IV Rank — 35.1%
2013-07-16: Largest Expected Move — 7.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.65	$31.12	$33.54	$31.12	$33.54
Max Pain	$30.00	$30.00	$30.00	$30.00	$30.00
ATM IV	20.7%	14.4%	30.0%	14.4%	15.6%
Expected Move	5.5%	4.1%	7.3%	4.1%	4.5%
HV 20d	18.5%	16.0%	22.2%	20.3%	16.3%
HV 60d	19.7%	17.7%	21.2%	20.4%	17.7%
IV Rank	16.6%	4.2%	35.1%	4.2%	6.5%
IV Percentile	42.1%	1.6%	92.9%	1.6%	5.6%
Term Structure	4.1%	-3.8%	9.6%	9.6%	4.8%
VWIV	19.5%	12.5%	25.2%	25.2%	12.5%
Skew 25d	2.5%	-6.7%	11.2%	-4.9%	0.2%
Skew 10d	7.6%	-8.2%	24.2%	0.6%	2.9%
Call IV 25d	19.6%	12.8%	24.8%	21.8%	18.7%
Put IV 25d	22.0%	16.5%	29.9%	16.9%	19.0%
Bid-Ask Spread %	96.96	82.13	107.77	107.77	96.08
Gamma HHI	0.87	0.68	0.97	0.97	0.68
Net GEX	31.6K	16.9K	43.9K	34.1K	16.9K
Net DEX	-1.3M	-1.5M	-927.1K	-927.1K	-1.3M
Net VEX	-2.1K	-3.1K	-1.3K	-2.8K	-1.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.88	0.00	6.00	0.00	0.00
Total Volume	12.409	0	110	110	5
Total OI	648.727	559	705	679	563

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	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2013-07-01	$31.12	$30.00	14.4%	4.1%	20.3%	4.2%	0.0%	-4.9%	9.6%	34.1K	-927.1K	-2.8K	0.00	107.77	110	0	489	190
2013-07-02	$31.49	$30.00	21.6%	6.2%	20.2%	18.4%	25.2%	1.2%	6.0%	31.4K	-1.0M	-3.1K	6.00	95.33	3	18	512	190
2013-07-03	$31.63	$30.00	21.3%	6.1%	19.4%	17.9%	0.0%	2.3%	7.0%	33.7K	-1.0M	-3.0K	0.00	93.76	0	0	515	190
2013-07-05	$32.66	$30.00	22.6%	5.5%	21.8%	20.4%	0.0%	3.4%	1.5%	38.3K	-1.3M	-2.5K	0.00	94.74	5	0	515	172
2013-07-08	$32.41	$30.00	26.8%	5.0%	22.2%	28.8%	18.1%	-6.7%	5.8%	35.4K	-1.3M	-2.5K	0.00	103.11	30	0	515	172
2013-07-09	$32.52	$30.00	26.0%	4.4%	22.2%	27.3%	0.0%	9.6%	7.3%	38.8K	-1.3M	-2.5K	0.00	96.30	0	0	524	172
2013-07-10	$32.34	$30.00	30.0%	6.7%	21.0%	35.1%	0.0%	9.7%	5.7%	38.3K	-1.2M	-2.5K	0.00	96.90	0	0	524	172
2013-07-11	$31.80	$30.00	24.2%	6.9%	20.6%	23.7%	0.0%	5.3%	-0.8%	41.0K	-1.2M	-2.6K	0.00	94.77	0	0	524	172
2013-07-12	$32.17	$30.00	22.6%	6.5%	20.1%	20.4%	0.0%	8.3%	5.0%	43.9K	-1.2M	-2.5K	0.00	96.33	0	0	524	172
2013-07-15	$32.59	$30.00	16.6%	4.7%	17.6%	8.4%	0.0%	11.2%	4.2%	41.6K	-1.3M	-2.2K	0.00	95.39	0	0	524	172
2013-07-16	$32.41	$30.00	25.4%	7.3%	18.1%	26.0%	20.9%	11.1%	4.1%	39.1K	-1.3M	-2.4K	0.00	95.53	5	0	524	172
2013-07-17	$32.61	$30.00	16.4%	4.7%	17.8%	8.1%	19.0%	1.9%	3.8%	30.0K	-1.4M	-1.8K	3.70	106.74	10	37	521	172
2013-07-18	$32.88	$30.00	17.8%	5.1%	17.3%	11.0%	0.0%	-2.5%	-1.5%	30.6K	-1.5M	-1.8K	0.00	101.45	20	0	531	170
2013-07-19	$33.05	$30.00	22.3%	6.4%	17.2%	19.9%	0.0%	-2.2%	-3.8%	31.1K	-1.4M	-1.8K	0.00	103.41	5	0	512	170
2013-07-22	$33.24	$30.00	24.6%	7.1%	16.8%	24.5%	0.0%	-6.3%	-0.9%	30.0K	-1.4M	-1.8K	0.00	89.88	0	0	507	106
2013-07-23	$33.43	$30.00	24.5%	7.0%	16.4%	24.2%	0.0%	5.1%	-1.4%	26.3K	-1.3M	-1.7K	0.00	82.13	0	1	467	106
2013-07-24	$33.27	$30.00	16.0%	4.6%	16.0%	7.4%	21.6%	-0.1%	7.0%	20.7K	-1.3M	-1.5K	0.00	96.69	20	0	467	100
2013-07-25	$33.47	$30.00	17.7%	5.1%	16.0%	10.7%	12.5%	6.5%	8.9%	24.3K	-1.3M	-1.5K	0.00	96.76	2	0	459	100
2013-07-26	$33.18	$30.00	15.4%	4.4%	16.5%	6.1%	0.0%	-0.6%	5.7%	20.3K	-1.3M	-1.5K	0.00	96.38	0	0	461	100
2013-07-29	$33.08	$30.00	16.0%	4.6%	16.6%	7.4%	0.0%	0.4%	5.1%	31.0K	-1.2M	-1.7K	0.00	96.41	0	2	461	100
2013-07-30	$33.35	$30.00	16.8%	4.8%	16.6%	9.0%	0.0%	1.6%	6.6%	18.5K	-1.3M	-1.3K	0.00	97.14	0	0	461	102
2013-07-31	$33.54	$30.00	15.6%	4.5%	16.3%	6.5%	0.0%	0.2%	4.8%	16.9K	-1.3M	-1.3K	0.00	96.08	5	0	461	102