CBU Options History — March 2014

In March 2014, CBU traded between $36.23 and $39.43. ATM implied volatility averaged 19.1%, placing in the 32.3% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 2.4% (HV 20d: 21.6%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.77.

Notable Days

2014-03-27: Highest Volume — 19 contracts
2014-03-13: Largest IV drop — 35.4% change
2014-03-04: Highest IV Rank — 58.1%
2014-03-04: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.09	$36.23	$39.43	$36.23	$39.02
Max Pain	$35.71	$35.00	$40.00	$35.00	$40.00
ATM IV	19.1%	13.6%	24.6%	24.3%	17.8%
Expected Move	5.3%	3.9%	7.0%	7.0%	5.1%
HV 20d	21.6%	19.0%	24.7%	24.7%	20.7%
HV 60d	21.3%	20.9%	21.9%	20.9%	21.5%
IV Rank	32.3%	5.9%	58.1%	56.8%	26.2%
IV Percentile	47.0%	1.6%	95.2%	94.8%	31.7%
Term Structure	1.5%	-10.0%	7.7%	-2.1%	1.5%
VWIV	17.2%	15.2%	19.1%	19.1%	15.2%
Skew 25d	2.9%	-5.3%	57.2%	2.7%	57.2%
Skew 10d	4.6%	-5.3%	71.3%	7.0%	71.3%
Call IV 25d	17.9%	12.6%	23.0%	23.0%	18.5%
Put IV 25d	20.7%	14.0%	75.7%	25.7%	75.7%
Bid-Ask Spread %	104.44	98.48	107.99	99.46	103.96
Gamma HHI	0.76	0.48	0.91	0.58	0.90
Net GEX	18.0K	12.2K	25.3K	25.3K	15.5K
Net DEX	-230.2K	-400.1K	-101.1K	-236.6K	-175.3K
Net VEX	-999	-1.1K	-800	-947	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.77	0.00	8.50	0.00	0.00
Total Volume	4.143	0	19	10	1
Total OI	213.476	175	252	247	213

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
2014-03-03	$36.23	$35.00	24.3%	7.0%	24.7%	56.8%	0.0%	2.7%	-2.1%	25.3K	-236.6K	-947	0.00	99.46	10	0	219	28
2014-03-04	$37.40	$35.00	24.6%	7.0%	22.2%	58.1%	0.0%	-2.9%	-10.0%	22.2K	-325.7K	-1.0K	0.00	106.59	0	0	219	28
2014-03-05	$37.22	$35.00	22.3%	6.4%	22.3%	47.4%	0.0%	-5.3%	-8.8%	22.7K	-314.5K	-963	0.00	107.32	0	0	219	28
2014-03-06	$37.58	$35.00	19.6%	5.6%	21.9%	34.4%	0.0%	-0.1%	-5.3%	20.5K	-362.1K	-914	0.00	107.77	2	0	219	28
2014-03-07	$37.87	$35.00	19.2%	5.7%	22.0%	32.8%	0.0%	-5.0%	0.3%	19.2K	-389.9K	-934	0.00	104.83	5	0	219	28
2014-03-10	$38.07	$35.00	18.6%	5.3%	21.9%	29.9%	0.0%	3.4%	7.6%	18.1K	-400.1K	-890	0.00	107.99	0	0	224	28
2014-03-11	$37.72	$35.00	20.7%	4.1%	22.5%	39.7%	0.0%	6.7%	7.7%	22.7K	-361.2K	-950	0.00	105.00	0	0	224	28
2014-03-12	$37.43	$35.00	22.9%	5.2%	22.9%	50.3%	0.0%	6.0%	6.5%	12.2K	-101.1K	-800	0.00	106.12	10	0	147	28
2014-03-13	$37.26	$35.00	14.8%	4.3%	22.7%	11.9%	0.0%	-0.2%	5.5%	13.0K	-111.9K	-869	0.00	107.97	10	0	157	28
2014-03-14	$37.52	$35.00	13.6%	3.9%	22.7%	6.1%	0.0%	0.6%	6.9%	14.7K	-134.1K	-981	0.00	106.84	0	0	167	28
2014-03-17	$38.17	$35.00	18.1%	5.2%	23.1%	27.6%	0.0%	-1.6%	2.1%	16.7K	-163.6K	-1.0K	0.00	105.40	7	0	167	28
2014-03-18	$38.11	$35.00	17.1%	4.9%	23.2%	22.5%	0.0%	4.0%	7.5%	16.9K	-159.1K	-1.0K	0.00	107.71	0	2	170	28
2014-03-19	$38.08	$35.00	20.0%	5.7%	19.2%	36.2%	0.0%	-2.6%	1.1%	16.8K	-165.7K	-1.1K	0.00	103.63	2	0	170	30
2014-03-20	$39.20	$35.00	20.0%	5.7%	20.5%	36.4%	0.0%	-0.9%	-0.1%	19.0K	-229.8K	-1.1K	0.00	100.93	0	0	162	30
2014-03-21	$39.43	$35.00	19.6%	5.6%	20.5%	34.2%	0.0%	-0.0%	0.5%	19.6K	-252.1K	-1.1K	0.00	99.37	0	0	162	30
2014-03-24	$39.39	$35.00	18.7%	5.4%	20.4%	30.2%	0.0%	-0.0%	1.0%	19.0K	-244.2K	-1.1K	0.00	98.48	3	0	160	30
2014-03-25	$39.22	$35.00	19.6%	5.6%	20.0%	34.5%	0.0%	-0.1%	0.6%	19.1K	-247.9K	-1.1K	0.00	100.54	1	0	163	30
2014-03-26	$38.69	$35.00	19.3%	5.5%	19.0%	33.2%	19.1%	-0.3%	1.1%	18.2K	-216.0K	-1.1K	0.00	100.95	0	15	164	30
2014-03-27	$38.08	$40.00	17.6%	5.0%	20.3%	24.8%	15.2%	-3.6%	-0.2%	13.6K	-121.5K	-1.0K	8.50	104.77	2	17	164	45
2014-03-28	$38.21	$40.00	13.6%	3.9%	19.9%	5.9%	0.0%	2.5%	7.0%	14.1K	-122.8K	-1.0K	0.00	107.61	0	0	166	47
2014-03-31	$39.02	$40.00	17.8%	5.1%	20.7%	26.2%	0.0%	57.2%	1.5%	15.5K	-175.3K	-1.1K	0.00	103.96	1	0	166	47