CBU Options History — December 2013

In December 2013, CBU traded between $37.47 and $40.27. ATM implied volatility averaged 18.5%, placing in the 27.7% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 1.1% (HV 20d: 19.7%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.24.

Notable Days

2013-12-16: Highest Volume — 32 contracts
2013-12-11: Largest IV spike — 58.0% change
2013-12-11: Highest IV Rank — 92.1%
2013-12-19: Largest Expected Move — 5.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.68	$37.47	$40.27	$38.29	$39.68
Max Pain	$39.00	$35.00	$40.00	$35.00	$40.00
ATM IV	18.5%	13.8%	33.4%	15.0%	19.5%
Expected Move	5.1%	4.0%	5.8%	4.3%	5.6%
HV 20d	19.7%	17.9%	21.6%	19.7%	19.9%
HV 60d	18.3%	17.4%	19.2%	17.4%	18.8%
IV Rank	27.7%	6.1%	92.1%	10.2%	34.1%
IV Percentile	37.3%	2.0%	99.6%	6.3%	51.6%
Term Structure	1.4%	-1.2%	5.8%	3.6%	0.2%
VWIV	18.8%	18.2%	19.4%	19.4%	18.2%
Skew 25d	0.5%	-7.2%	18.6%	0.2%	0.7%
Skew 10d	2.2%	-5.9%	32.3%	1.8%	0.9%
Call IV 25d	18.6%	13.7%	20.2%	17.6%	19.9%
Put IV 25d	19.1%	12.9%	38.1%	17.9%	20.6%
Bid-Ask Spread %	95.61	23.90	107.50	107.17	23.90
Gamma HHI	0.59	0.34	0.88	0.36	0.71
Net GEX	3.9K	-1.4K	10.0K	835	10.0K
Net DEX	-128.2K	-193.8K	371	-163.8K	-177.5K
Net VEX	-900	-1.2K	-647	-659	-1.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.24	0.00	1.90	0.00	0.00
Total Volume	7.667	0	32	10	0
Total OI	167.381	147	199	147	199

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	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2013-12-02	$38.29	$35.00	15.0%	4.3%	19.7%	10.2%	0.0%	0.2%	3.6%	835	-163.8K	-659	0.00	107.17	10	0	86	61
2013-12-03	$37.64	$35.00	16.6%	4.8%	21.0%	16.7%	0.0%	-2.1%	2.9%	-186	-141.2K	-766	0.00	106.88	0	0	91	61
2013-12-04	$37.81	$35.00	17.2%	4.9%	20.9%	18.7%	0.0%	-0.1%	4.4%	396	-148.7K	-665	0.00	106.77	0	0	91	61
2013-12-05	$37.96	$35.00	16.5%	4.7%	20.9%	16.1%	0.0%	0.3%	3.8%	641	-155.1K	-670	0.00	107.33	0	0	91	61
2013-12-06	$38.80	$0.00	13.9%	5.6%	21.6%	6.1%	19.4%	-3.1%	-0.7%	2.4K	-183.9K	-647	0.00	93.32	10	0	91	61
2013-12-09	$38.32	$40.00	17.3%	5.7%	18.2%	19.2%	0.0%	-6.2%	-1.2%	3.2K	-178.5K	-678	0.00	98.55	0	20	101	61
2013-12-10	$37.86	$40.00	21.2%	5.0%	17.9%	34.1%	0.0%	-7.2%	-0.6%	-788	-126.0K	-832	0.00	100.07	0	0	101	79
2013-12-11	$37.47	$40.00	33.4%	5.0%	18.1%	92.1%	0.0%	-0.4%	1.8%	-1.4K	-111.1K	-795	0.00	98.72	0	0	101	79
2013-12-12	$37.50	$40.00	15.3%	4.4%	18.0%	14.1%	0.0%	0.0%	3.3%	-937	371	-729	0.00	106.98	0	0	68	79
2013-12-13	$37.68	$40.00	13.8%	4.0%	18.0%	7.1%	0.0%	-0.4%	5.8%	-362	-5.4K	-718	0.00	107.50	0	0	68	79
2013-12-16	$38.50	$40.00	18.2%	5.2%	19.2%	28.1%	0.0%	-1.4%	0.6%	2.1K	-34.3K	-716	0.00	96.90	32	0	68	79
2013-12-17	$38.31	$40.00	19.3%	5.5%	19.3%	32.9%	0.0%	-3.2%	0.4%	5.0K	-75.7K	-1.0K	0.00	100.85	1	0	100	79
2013-12-18	$38.90	$40.00	18.1%	5.2%	19.7%	27.2%	0.0%	-1.0%	1.2%	7.0K	-101.7K	-1.0K	0.00	96.70	0	1	100	79
2013-12-19	$38.52	$40.00	20.1%	5.8%	20.2%	37.0%	0.0%	-3.0%	-0.2%	5.1K	-81.3K	-1.0K	0.00	95.38	0	0	97	80
2013-12-20	$39.02	$40.00	18.2%	5.2%	18.7%	27.8%	18.2%	-0.9%	1.3%	6.9K	-106.1K	-1.0K	0.00	92.79	30	0	97	80
2013-12-23	$40.00	$40.00	18.6%	5.3%	20.2%	29.8%	0.0%	18.6%	1.1%	8.0K	-167.9K	-1.1K	0.00	92.38	18	0	107	57
2013-12-24	$39.94	$40.00	19.4%	5.6%	20.1%	33.7%	0.0%	1.3%	-0.1%	8.1K	-178.5K	-1.2K	0.00	93.63	0	0	119	57
2013-12-26	$40.27	$40.00	19.1%	5.5%	20.2%	32.1%	0.0%	18.0%	0.6%	8.5K	-193.8K	-1.1K	0.00	93.58	0	0	119	57
2013-12-27	$40.11	$40.00	18.7%	5.4%	20.3%	30.4%	0.0%	0.9%	0.6%	8.7K	-186.9K	-1.1K	1.90	94.78	10	19	119	57
2013-12-30	$39.69	$40.00	19.4%	5.5%	20.7%	33.3%	0.0%	0.8%	0.2%	9.2K	-174.5K	-1.2K	0.00	93.63	10	0	129	65
2013-12-31	$39.68	$40.00	19.5%	5.6%	19.9%	34.1%	0.0%	0.7%	0.2%	10.0K	-177.5K	-1.2K	0.00	23.90	0	0	134	65