CBU Options History — April 2014

In April 2014, CBU traded between $37.05 and $39.91. ATM implied volatility averaged 17.2%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 3.8% (HV 20d: 21.0%). 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 19 of 21 days. Put/call ratio averaged 0.83.

Notable Days

2014-04-04: Highest Volume — 26 contracts
2014-04-28: Largest IV spike — 32.9% change
2014-04-22: Highest IV Rank — 39.1%
2014-04-22: Largest Expected Move — 5.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.33	$37.05	$39.91	$39.91	$37.19
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	17.2%	13.8%	20.6%	18.4%	17.0%
Expected Move	5.2%	3.9%	5.9%	5.3%	4.9%
HV 20d	21.0%	17.1%	23.4%	19.3%	17.1%
HV 60d	22.3%	20.1%	23.0%	21.9%	20.1%
IV Rank	22.7%	4.3%	39.1%	28.7%	19.2%
IV Percentile	29.6%	2.4%	64.7%	40.9%	22.6%
Term Structure	2.1%	-1.0%	7.3%	1.4%	7.2%
VWIV	20.3%	20.1%	20.6%	20.1%	20.6%
Skew 25d	6.9%	-8.3%	50.6%	47.4%	0.7%
Skew 10d	10.0%	-5.3%	76.2%	71.5%	-0.1%
Call IV 25d	18.4%	12.9%	21.4%	20.6%	17.8%
Put IV 25d	25.3%	12.9%	71.7%	68.0%	18.5%
Bid-Ask Spread %	100.91	92.01	107.80	99.79	107.05
Gamma HHI	0.87	0.69	0.92	0.86	0.69
Net GEX	17.0K	7.9K	26.0K	16.0K	8.0K
Net DEX	-134.1K	-259.1K	-36.5K	-258.1K	-36.5K
Net VEX	-888	-1.1K	-512	-1.1K	-581
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.83	0.00	5.00	0.00	0.00
Total Volume	2.81	0	26	4	0
Total OI	227.714	213	243	213	232

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
2014-04-01	$39.91	$40.00	18.4%	5.3%	19.3%	28.7%	0.0%	47.4%	1.4%	16.0K	-258.1K	-1.1K	0.00	99.79	4	0	166	47
2014-04-02	$39.78	$40.00	19.3%	5.5%	19.2%	32.8%	0.0%	50.3%	0.7%	16.5K	-250.4K	-1.1K	0.00	100.32	0	0	170	47
2014-04-03	$39.83	$40.00	17.5%	5.0%	19.0%	24.4%	0.0%	50.6%	2.8%	15.7K	-259.1K	-1.1K	0.00	101.28	0	0	170	47
2014-04-04	$38.78	$40.00	17.0%	5.8%	21.6%	22.1%	20.1%	-3.1%	0.4%	15.6K	-168.3K	-1.0K	0.00	92.01	26	0	170	47
2014-04-07	$38.67	$40.00	14.2%	5.5%	21.6%	8.7%	0.0%	-2.5%	0.8%	18.6K	-152.5K	-1.0K	0.00	93.94	5	0	181	47
2014-04-08	$38.83	$40.00	13.9%	5.7%	21.3%	7.6%	0.0%	-2.0%	0.4%	19.3K	-184.2K	-1.1K	0.00	92.57	0	0	186	47
2014-04-09	$38.71	$40.00	15.7%	5.7%	21.1%	16.2%	0.0%	-3.6%	0.4%	19.2K	-165.0K	-1.0K	0.00	93.11	0	0	186	47
2014-04-10	$37.70	$40.00	18.4%	5.3%	23.3%	28.8%	0.0%	-8.3%	-1.0%	16.6K	-96.5K	-933	0.00	98.23	0	0	186	47
2014-04-11	$37.37	$40.00	17.8%	5.1%	23.4%	25.8%	0.0%	-1.1%	-0.2%	15.0K	-61.8K	-826	5.00	106.67	2	10	186	47
2014-04-14	$37.74	$40.00	18.1%	5.2%	22.8%	27.4%	0.0%	3.8%	7.3%	15.6K	-77.1K	-942	0.00	107.08	0	0	186	57
2014-04-15	$37.91	$40.00	16.3%	4.7%	22.9%	18.9%	0.0%	4.3%	7.3%	16.7K	-75.9K	-885	0.00	106.78	0	0	186	57
2014-04-16	$38.00	$40.00	18.7%	5.4%	22.9%	30.1%	0.0%	-1.9%	2.0%	17.2K	-79.0K	-893	0.00	102.13	0	0	185	57
2014-04-17	$38.53	$40.00	17.3%	5.0%	20.9%	23.8%	0.0%	19.7%	2.4%	20.2K	-107.3K	-881	0.00	99.73	0	0	185	57
2014-04-21	$38.33	$40.00	19.7%	5.7%	20.8%	35.0%	0.0%	-1.7%	0.4%	21.3K	-149.0K	-845	0.00	99.28	0	0	182	40
2014-04-22	$38.62	$40.00	20.6%	5.9%	21.0%	39.1%	20.6%	-1.4%	0.5%	23.8K	-185.3K	-913	0.00	98.24	1	0	182	40
2014-04-23	$38.70	$40.00	19.1%	5.5%	21.0%	31.9%	0.0%	-0.1%	1.0%	26.0K	-187.6K	-901	0.00	98.00	0	0	183	40
2014-04-24	$38.28	$40.00	14.9%	4.3%	20.8%	12.4%	0.0%	-1.5%	2.2%	21.7K	-133.0K	-781	0.00	100.56	1	0	183	40
2014-04-25	$37.71	$40.00	13.8%	3.9%	20.7%	4.3%	0.0%	-1.3%	3.8%	14.8K	-81.1K	-633	0.00	107.53	0	0	182	40
2014-04-28	$37.32	$40.00	18.3%	5.2%	21.0%	26.3%	0.0%	-1.7%	0.4%	11.2K	-61.6K	-579	0.00	107.80	0	0	182	40
2014-04-29	$37.05	$40.00	15.8%	4.5%	19.3%	13.3%	0.0%	-2.0%	3.1%	7.9K	-47.1K	-512	0.00	107.01	0	10	182	40
2014-04-30	$37.19	$40.00	17.0%	4.9%	17.1%	19.2%	0.0%	0.7%	7.2%	8.0K	-36.5K	-581	0.00	107.05	0	0	182	50