CBU Options History — October 2013

In October 2013, CBU traded between $33.23 and $37.10. ATM implied volatility averaged 19.0%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 1.5% (HV 20d: 17.4%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 0.00.

Notable Days

2013-10-03: Highest Volume — 21 contracts
2013-10-07: Largest IV spike — 30.7% change
2013-10-22: Highest IV Rank — 39.5%
2013-10-22: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.35	$33.23	$37.10	$34.60	$36.31
Max Pain	$30.25	$30.00	$35.00	$35.00	$30.00
ATM IV	19.0%	13.7%	22.6%	18.0%	17.9%
Expected Move	5.6%	4.0%	6.5%	5.2%	5.1%
HV 20d	17.4%	14.1%	19.8%	14.1%	17.5%
HV 60d	15.9%	14.7%	16.7%	14.7%	16.2%
IV Rank	25.6%	5.4%	39.5%	22.0%	21.6%
IV Percentile	38.2%	1.6%	73.4%	26.2%	29.0%
Term Structure	1.6%	-1.3%	9.2%	1.6%	-1.1%
VWIV	20.2%	15.7%	21.8%	19.8%	15.7%
Skew 25d	4.9%	-8.1%	17.2%	17.2%	-8.1%
Skew 10d	8.8%	-4.6%	27.3%	21.6%	2.5%
Call IV 25d	19.3%	14.7%	22.5%	21.2%	22.5%
Put IV 25d	24.2%	14.4%	38.4%	38.4%	14.4%
Bid-Ask Spread %	98.72	91.66	107.87	98.49	106.86
Gamma HHI	0.65	0.55	0.77	0.61	0.77
Net GEX	10.5K	6.3K	13.6K	8.4K	12.0K
Net DEX	-175.7K	-278.6K	-58.7K	-81.3K	-248.1K
Net VEX	-641	-736	-517	-542	-630
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	3.522	0	21	0	0
Total OI	138.087	111	156	111	156

Daily Data (23 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
2013-10-01	$34.60	$0.00	18.0%	5.2%	14.1%	22.0%	0.0%	17.2%	1.6%	8.4K	-81.3K	-542	98.49	0	0	75	36
2013-10-02	$34.08	$0.00	20.0%	5.7%	15.3%	29.5%	0.0%	4.4%	1.2%	7.6K	-69.2K	-544	104.99	0	0	75	36
2013-10-03	$33.82	$0.00	14.7%	4.2%	15.3%	9.4%	0.0%	7.6%	5.1%	7.9K	-58.7K	-517	107.87	21	0	75	36
2013-10-04	$33.96	$35.00	13.7%	5.6%	15.0%	5.4%	19.8%	-1.0%	1.6%	10.7K	-88.0K	-676	95.30	4	0	95	36
2013-10-07	$33.43	$30.00	17.9%	6.0%	15.9%	21.6%	0.0%	-2.5%	-0.4%	10.0K	-79.5K	-623	97.06	0	0	97	36
2013-10-08	$33.23	$30.00	17.9%	6.0%	15.4%	21.4%	0.0%	-2.8%	-0.2%	9.7K	-72.3K	-612	98.49	0	0	97	36
2013-10-09	$33.51	$30.00	17.3%	6.4%	15.8%	19.4%	0.0%	-2.8%	-1.3%	9.8K	-80.7K	-628	95.16	0	0	97	36
2013-10-10	$34.47	$30.00	21.7%	6.2%	17.7%	36.3%	0.0%	12.9%	-1.0%	11.1K	-116.2K	-659	91.66	0	0	97	36
2013-10-11	$35.32	$30.00	21.7%	6.2%	19.4%	36.1%	21.7%	13.4%	-0.3%	11.2K	-151.0K	-667	92.27	12	0	97	36
2013-10-14	$35.56	$30.00	21.9%	6.3%	19.5%	37.1%	0.0%	13.0%	-0.3%	12.9K	-197.7K	-736	92.04	0	0	109	36
2013-10-15	$35.22	$30.00	22.4%	6.4%	19.8%	38.9%	0.0%	2.5%	-1.3%	12.6K	-188.3K	-734	92.37	0	0	109	36
2013-10-16	$35.48	$30.00	21.9%	6.3%	19.8%	36.8%	0.0%	3.1%	-0.2%	12.6K	-202.2K	-723	93.51	0	0	109	36
2013-10-17	$35.65	$30.00	21.8%	6.3%	18.4%	36.7%	21.8%	12.7%	-0.4%	13.6K	-201.2K	-706	93.34	1	0	109	36
2013-10-18	$36.03	$30.00	21.2%	6.1%	18.1%	34.4%	21.3%	8.7%	-0.5%	12.7K	-223.5K	-686	96.27	2	0	109	36
2013-10-21	$35.94	$30.00	20.8%	6.0%	18.1%	32.8%	20.8%	2.2%	1.1%	12.3K	-224.8K	-680	97.25	10	0	109	36
2013-10-22	$36.13	$30.00	22.6%	6.5%	18.1%	39.5%	0.0%	7.6%	-0.3%	11.3K	-220.5K	-692	95.37	0	1	109	36
2013-10-23	$36.14	$30.00	20.1%	5.8%	18.0%	30.0%	0.0%	4.4%	1.3%	12.7K	-222.7K	-670	98.46	0	0	109	37
2013-10-24	$36.52	$30.00	20.5%	5.9%	18.2%	31.7%	0.0%	2.0%	1.3%	10.5K	-242.5K	-659	102.43	0	0	109	37
2013-10-25	$36.78	$30.00	17.5%	5.0%	18.2%	20.2%	0.0%	6.4%	8.8%	9.0K	-253.0K	-637	102.44	0	0	109	37
2013-10-28	$37.10	$30.00	14.0%	4.0%	18.2%	6.4%	0.0%	6.2%	7.4%	6.3K	-278.6K	-572	106.14	0	10	109	37
2013-10-29	$36.91	$30.00	14.5%	4.2%	18.1%	8.4%	0.0%	6.9%	9.2%	7.6K	-271.5K	-572	106.10	0	0	109	37
2013-10-30	$36.77	$30.00	15.9%	4.6%	17.0%	13.7%	15.7%	-2.3%	5.8%	8.2K	-270.2K	-583	106.71	20	0	109	37
2013-10-31	$36.31	$30.00	17.9%	5.1%	17.5%	21.6%	0.0%	-8.1%	-1.1%	12.0K	-248.1K	-630	106.86	0	0	119	37