CBU Options History — August 2013

In August 2013, CBU traded between $33.24 and $34.71. ATM implied volatility averaged 19.8%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 5.6% (HV 20d: 14.2%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.04.

Notable Days

2013-08-01: Highest Volume — 72 contracts
2013-08-30: Largest IV drop — 26.1% change
2013-08-26: Highest IV Rank — 36.0%
2013-08-09: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.10	$33.24	$34.71	$34.14	$33.24
Max Pain	$34.38	$30.00	$35.00	$30.00	$35.00
ATM IV	19.8%	15.7%	22.7%	21.7%	15.7%
Expected Move	6.0%	4.5%	6.4%	6.2%	4.5%
HV 20d	14.2%	11.8%	17.1%	17.1%	16.8%
HV 60d	17.6%	17.3%	17.9%	17.4%	17.9%
IV Rank	21.0%	7.4%	36.0%	18.7%	13.0%
IV Percentile	36.7%	6.0%	67.1%	49.6%	6.0%
Term Structure	-0.8%	-2.0%	4.9%	-0.3%	4.9%
VWIV	21.6%	21.3%	22.1%	22.1%	21.4%
Skew 25d	3.7%	-2.7%	43.6%	39.8%	2.2%
Skew 10d	4.5%	-4.1%	57.2%	53.0%	1.9%
Call IV 25d	21.2%	17.3%	22.3%	21.8%	17.3%
Put IV 25d	24.9%	18.7%	63.6%	61.6%	19.5%
Bid-Ask Spread %	96.30	90.70	107.07	90.70	107.07
Gamma HHI	0.48	0.44	0.61	0.61	0.53
Net GEX	14.7K	13.2K	16.2K	16.1K	16.2K
Net DEX	-864.8K	-1.4M	-409.9K	-1.4M	-409.9K
Net VEX	-1.1K	-1.3K	-955	-1.3K	-1.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.04	0.00	0.38	0.38	0.00
Total Volume	4.545	0	72	72	0
Total OI	403.818	238	568	568	240

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
2013-08-01	$34.14	$30.00	21.7%	6.2%	17.1%	18.7%	0.0%	39.8%	-0.3%	16.1K	-1.4M	-1.3K	0.38	90.70	52	20	466	102
2013-08-02	$34.14	$30.00	20.2%	5.8%	13.5%	15.7%	0.0%	43.6%	1.3%	13.2K	-1.3M	-1.2K	0.00	92.86	8	0	435	122
2013-08-05	$34.63	$0.00	20.3%	6.1%	13.6%	15.8%	0.0%	-0.6%	-1.3%	13.4K	-1.3M	-1.1K	0.00	92.34	1	0	428	122
2013-08-06	$34.24	$0.00	18.2%	6.2%	14.6%	11.7%	0.0%	-1.5%	-2.0%	13.6K	-1.2M	-1.1K	0.00	94.09	0	0	427	122
2013-08-07	$33.96	$0.00	17.4%	6.2%	14.8%	10.1%	0.0%	-2.7%	-1.5%	13.6K	-1.2M	-1.1K	0.00	94.14	0	0	407	122
2013-08-08	$34.16	$0.00	16.0%	6.1%	12.9%	7.4%	0.0%	-1.9%	-1.1%	13.6K	-1.2M	-1.1K	0.00	92.71	0	0	407	122
2013-08-09	$34.08	$0.00	16.6%	6.4%	12.7%	8.5%	0.0%	-2.3%	-1.8%	13.5K	-1.2M	-1.1K	0.00	93.34	2	0	407	122
2013-08-12	$34.15	$0.00	19.7%	6.3%	12.2%	14.7%	22.1%	-2.0%	-1.2%	14.1K	-1.2M	-1.1K	0.00	94.47	2	0	405	122
2013-08-13	$34.17	$35.00	21.2%	6.1%	11.8%	17.6%	21.3%	-2.1%	-1.0%	14.0K	-1.2M	-1.1K	0.00	93.65	10	0	407	122
2013-08-14	$34.23	$35.00	22.7%	6.2%	11.8%	20.6%	0.0%	-1.7%	-1.7%	16.1K	-1.2M	-1.1K	0.00	94.88	3	0	417	122
2013-08-15	$33.92	$35.00	21.2%	6.1%	12.2%	17.7%	0.0%	-2.3%	-0.4%	16.1K	-1.2M	-1.2K	0.00	96.16	0	0	420	122
2013-08-16	$33.94	$35.00	21.6%	6.2%	12.2%	18.4%	0.0%	-2.4%	-0.5%	15.8K	-1.2M	-1.2K	0.00	95.78	0	0	420	122
2013-08-19	$33.76	$35.00	21.4%	6.1%	12.3%	28.1%	21.4%	-2.1%	-1.4%	14.7K	-434.6K	-1.1K	0.00	98.92	1	0	202	36
2013-08-20	$34.41	$35.00	20.3%	5.8%	13.8%	30.8%	0.0%	10.0%	-0.7%	14.6K	-464.1K	-1.0K	0.00	93.90	0	0	203	36
2013-08-21	$34.05	$35.00	20.8%	6.0%	14.3%	32.7%	0.0%	-0.9%	-0.4%	14.6K	-454.7K	-1.1K	0.00	100.24	0	0	203	36
2013-08-22	$34.66	$35.00	21.3%	6.1%	15.4%	34.5%	0.0%	-0.1%	-1.1%	14.7K	-489.8K	-982	0.00	93.92	0	0	203	36
2013-08-23	$34.71	$35.00	20.2%	5.8%	14.9%	30.5%	0.0%	10.9%	-1.5%	14.2K	-494.7K	-955	0.00	95.52	1	0	203	36
2013-08-26	$34.36	$35.00	21.6%	6.2%	15.4%	36.0%	0.0%	0.4%	-1.8%	14.3K	-480.8K	-981	0.00	96.73	0	0	204	36
2013-08-27	$33.70	$35.00	18.2%	5.2%	17.0%	22.8%	0.0%	-1.9%	-1.2%	15.8K	-430.0K	-1.1K	0.00	103.89	0	0	204	36
2013-08-28	$33.79	$35.00	17.8%	5.1%	16.9%	21.3%	0.0%	-1.5%	-1.7%	15.4K	-443.8K	-1.0K	0.00	100.05	0	0	204	36
2013-08-29	$33.85	$35.00	21.2%	6.1%	15.6%	34.4%	0.0%	0.8%	-1.2%	15.6K	-437.1K	-1.0K	0.00	103.30	0	0	204	36
2013-08-30	$33.24	$35.00	15.7%	4.5%	16.8%	13.0%	0.0%	2.2%	4.9%	16.2K	-409.9K	-1.0K	0.00	107.07	0	0	204	36