CBU Options History — January 2014

In January 2014, CBU traded between $35.60 and $39.29. ATM implied volatility averaged 18.6%, placing in the 29.8% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 1.6% (HV 20d: 17.0%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.10.

Notable Days

2014-01-21: Highest Volume — 34 contracts
2014-01-13: Largest IV spike — 39.0% change
2014-01-15: Highest IV Rank — 55.2%
2014-01-30: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.18	$35.60	$39.29	$39.06	$35.60
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	18.6%	14.3%	24.0%	17.8%	19.3%
Expected Move	5.5%	4.1%	6.4%	5.1%	5.5%
HV 20d	17.0%	14.3%	20.2%	19.7%	17.2%
HV 60d	18.3%	17.6%	19.6%	18.8%	19.6%
IV Rank	29.8%	9.4%	55.2%	25.9%	33.2%
IV Percentile	43.6%	3.6%	93.7%	32.9%	50.4%
Term Structure	1.5%	-0.9%	7.5%	1.1%	3.5%
VWIV	19.1%	17.7%	20.1%	19.6%	20.1%
Skew 25d	0.4%	-4.7%	34.7%	2.5%	0.6%
Skew 10d	2.1%	-7.2%	42.6%	-0.8%	4.6%
Call IV 25d	18.8%	14.5%	21.1%	19.2%	20.9%
Put IV 25d	19.2%	12.5%	52.4%	21.7%	21.5%
Bid-Ask Spread %	101.32	97.97	107.47	100.36	101.64
Gamma HHI	0.72	0.46	0.84	0.72	0.65
Net GEX	9.6K	3.8K	12.5K	9.6K	8.6K
Net DEX	-86.0K	-150.9K	53.7K	-127.8K	53.7K
Net VEX	-1.2K	-1.3K	-838	-1.2K	-838
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.10	0.00	0.83	0.83	0.00
Total Volume	5.238	0	34	0	1
Total OI	225.571	199	254	199	253

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
2014-01-02	$39.06	$40.00	17.8%	5.1%	19.7%	25.9%	0.0%	2.5%	1.1%	9.6K	-127.8K	-1.2K	0.00	100.36	0	0	134	65
2014-01-03	$38.96	$40.00	19.7%	5.6%	19.7%	34.8%	0.0%	1.7%	0.5%	9.5K	-127.8K	-1.2K	0.83	100.69	12	10	134	65
2014-01-06	$38.52	$40.00	15.0%	5.7%	20.2%	12.7%	0.0%	-3.7%	0.7%	7.9K	-89.8K	-1.2K	0.00	99.50	5	0	141	67
2014-01-07	$38.99	$40.00	17.6%	5.6%	19.1%	24.8%	0.0%	-2.2%	0.5%	10.3K	-128.0K	-1.3K	0.00	97.97	0	0	146	67
2014-01-08	$39.05	$40.00	14.5%	5.7%	18.5%	10.3%	0.0%	-1.9%	-0.1%	11.5K	-127.6K	-1.2K	0.00	99.09	0	0	146	67
2014-01-09	$39.29	$40.00	18.4%	5.7%	17.9%	28.6%	0.0%	-1.9%	0.4%	11.4K	-150.9K	-1.2K	0.00	99.23	5	0	146	67
2014-01-10	$39.12	$40.00	14.7%	5.6%	17.5%	11.1%	19.6%	-2.5%	0.5%	12.5K	-137.3K	-1.3K	0.00	99.55	2	0	151	67
2014-01-13	$38.69	$40.00	20.4%	5.6%	18.1%	38.2%	0.0%	-3.5%	1.2%	9.2K	-109.5K	-1.2K	0.00	100.48	0	0	153	67
2014-01-14	$38.71	$40.00	22.0%	5.5%	18.1%	45.9%	0.0%	-3.2%	0.8%	9.1K	-107.9K	-1.2K	0.00	100.77	0	0	153	67
2014-01-15	$38.78	$40.00	24.0%	5.6%	16.5%	55.2%	0.0%	-3.0%	0.8%	9.5K	-120.0K	-1.2K	0.00	100.53	0	0	153	67
2014-01-16	$38.45	$40.00	19.5%	5.6%	16.7%	33.8%	0.0%	-3.9%	0.8%	7.3K	-92.6K	-1.2K	0.00	100.22	0	0	153	67
2014-01-17	$38.70	$40.00	19.4%	5.6%	15.9%	33.5%	0.0%	-3.3%	1.0%	9.2K	-105.8K	-1.2K	0.00	100.06	0	0	153	67
2014-01-21	$39.14	$40.00	19.1%	5.5%	16.0%	32.0%	19.1%	-1.1%	1.7%	3.8K	-137.3K	-1.2K	0.00	99.11	34	0	133	67
2014-01-22	$38.77	$40.00	17.6%	5.0%	15.7%	25.1%	17.7%	34.7%	2.3%	10.1K	-126.4K	-1.2K	0.00	102.07	10	0	161	67
2014-01-23	$37.98	$40.00	20.5%	5.9%	14.3%	38.8%	0.0%	-4.7%	-0.8%	9.1K	-74.7K	-1.1K	0.00	103.80	30	0	157	67
2014-01-24	$37.43	$40.00	14.3%	4.1%	14.9%	9.4%	0.0%	-1.1%	6.9%	11.3K	-56.4K	-1.2K	0.00	107.47	0	0	187	67
2014-01-27	$37.05	$40.00	17.3%	5.0%	14.4%	23.7%	0.0%	-3.5%	-0.9%	11.5K	-47.6K	-1.2K	0.00	106.17	0	0	187	67
2014-01-28	$36.93	$40.00	17.8%	5.1%	14.4%	25.9%	0.0%	4.7%	7.5%	10.6K	-15.5K	-1.1K	0.00	103.39	0	0	187	67
2014-01-29	$36.13	$40.00	20.0%	5.7%	15.6%	36.3%	20.1%	0.5%	1.7%	9.7K	23.2K	-977	0.00	103.15	1	0	187	67
2014-01-30	$36.44	$40.00	22.1%	6.4%	16.2%	46.6%	0.0%	2.4%	0.9%	9.9K	462	-1.0K	0.00	102.39	0	0	186	67
2014-01-31	$35.60	$40.00	19.3%	5.5%	17.2%	33.2%	0.0%	0.6%	3.5%	8.6K	53.7K	-838	0.00	101.64	0	1	186	67