CBU Options History — November 2013

In November 2013, CBU traded between $35.85 and $38.86. ATM implied volatility averaged 19.7%, placing in the 28.6% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 1.8% (HV 20d: 18.0%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.42.

Notable Days

2013-11-18: Highest Volume — 19 contracts
2013-11-08: Largest IV spike — 49.7% change
2013-11-13: Highest IV Rank — 63.8%
2013-11-13: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.01	$35.85	$38.86	$36.09	$38.86
Max Pain	$34.75	$30.00	$35.00	$30.00	$35.00
ATM IV	19.7%	14.6%	28.8%	19.2%	18.9%
Expected Move	5.7%	4.2%	6.6%	5.5%	5.4%
HV 20d	18.0%	13.8%	19.9%	17.8%	18.9%
HV 60d	17.2%	16.2%	18.2%	16.2%	17.2%
IV Rank	28.6%	8.9%	63.8%	26.6%	25.5%
IV Percentile	46.1%	3.6%	96.8%	40.5%	41.7%
Term Structure	1.1%	-2.3%	9.5%	1.9%	-0.5%
VWIV	21.6%	21.4%	21.9%	21.4%	21.9%
Skew 25d	4.8%	-2.1%	10.2%	-2.1%	-0.1%
Skew 10d	7.1%	-3.2%	27.0%	27.0%	-3.2%
Call IV 25d	15.9%	11.0%	21.9%	21.9%	19.0%
Put IV 25d	20.7%	15.3%	23.5%	19.8%	18.9%
Bid-Ask Spread %	97.47	89.95	107.10	102.51	99.08
Gamma HHI	0.60	0.34	0.80	0.78	0.49
Net GEX	6.0K	-316	16.7K	13.9K	1.5K
Net DEX	-213.5K	-295.0K	-122.7K	-235.2K	-181.9K
Net VEX	-586	-652	-476	-638	-652
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.42	0.00	5.50	3.00	0.00
Total Volume	4.35	0	19	4	0
Total OI	145.7	108	161	156	147

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
2013-11-01	$36.09	$30.00	19.2%	5.5%	17.8%	26.6%	0.0%	-2.1%	1.9%	13.9K	-235.2K	-638	3.00	102.51	1	3	119	37
2013-11-04	$36.19	$35.00	19.1%	6.1%	16.4%	26.1%	21.4%	5.8%	-0.7%	16.1K	-239.3K	-616	0.00	89.95	1	0	120	40
2013-11-05	$36.05	$35.00	19.0%	6.2%	16.2%	26.0%	0.0%	4.6%	-1.3%	13.6K	-236.1K	-649	0.00	90.95	0	0	121	40
2013-11-06	$36.13	$35.00	15.8%	6.1%	16.2%	13.3%	0.0%	5.6%	-0.9%	13.1K	-253.2K	-612	0.00	92.91	0	10	121	40
2013-11-07	$35.85	$35.00	15.6%	5.9%	13.8%	12.8%	0.0%	3.5%	-0.7%	16.7K	-239.0K	-607	0.00	91.15	10	0	121	40
2013-11-08	$37.24	$35.00	23.4%	6.5%	17.2%	42.7%	0.0%	8.4%	-1.9%	6.5K	-295.0K	-551	0.00	92.85	10	0	121	40
2013-11-11	$36.71	$35.00	25.0%	6.0%	18.1%	48.8%	0.0%	4.5%	-0.3%	7.3K	-287.9K	-549	0.00	95.11	0	0	121	40
2013-11-12	$36.43	$35.00	24.7%	5.9%	18.0%	47.8%	0.0%	4.3%	-0.7%	9.1K	-269.5K	-540	0.00	93.86	0	0	121	40
2013-11-13	$36.73	$35.00	28.8%	6.6%	18.0%	63.8%	0.0%	6.1%	-1.8%	6.4K	-280.3K	-533	0.00	92.49	0	0	121	40
2013-11-14	$36.74	$35.00	22.1%	6.3%	18.0%	37.6%	0.0%	5.5%	-2.3%	6.4K	-271.2K	-482	5.50	96.63	2	11	111	32
2013-11-15	$36.53	$35.00	21.9%	6.3%	17.8%	37.1%	0.0%	4.7%	-1.8%	5.2K	-249.1K	-586	0.00	96.37	0	0	111	43
2013-11-18	$36.75	$35.00	22.0%	6.3%	17.9%	37.3%	21.9%	5.1%	-1.2%	3.4K	-145.7K	-576	0.00	95.78	0	19	81	27
2013-11-19	$36.56	$35.00	21.2%	6.1%	17.9%	34.2%	0.0%	4.0%	-0.8%	-271	-124.6K	-637	0.00	95.79	0	0	81	46
2013-11-20	$36.57	$35.00	22.6%	6.5%	17.9%	39.8%	0.0%	5.7%	-1.5%	-264	-122.7K	-639	0.00	95.83	0	0	81	46
2013-11-21	$37.51	$35.00	15.1%	4.3%	19.7%	10.8%	0.0%	10.2%	5.1%	412	-155.0K	-589	0.00	100.65	0	0	81	46
2013-11-22	$37.89	$35.00	14.7%	4.2%	19.9%	9.1%	0.0%	0.9%	4.9%	759	-176.6K	-476	0.00	106.92	0	0	81	46
2013-11-25	$38.27	$35.00	15.9%	4.6%	19.9%	13.8%	0.0%	6.2%	9.3%	1.2K	-187.3K	-502	0.00	106.74	0	15	81	46
2013-11-26	$38.42	$35.00	14.6%	4.2%	19.8%	8.9%	0.0%	5.5%	9.5%	-316	-156.4K	-647	0.00	107.10	0	0	81	61
2013-11-27	$38.63	$35.00	14.9%	4.3%	19.7%	9.9%	0.0%	6.8%	8.2%	281	-163.7K	-629	0.00	106.78	5	0	81	61
2013-11-29	$38.86	$35.00	18.9%	5.4%	18.9%	25.5%	0.0%	-0.1%	-0.5%	1.5K	-181.9K	-652	0.00	99.08	0	0	86	61