CBU Options History — June 2014

In June 2014, CBU traded between $35.27 and $37.46. ATM implied volatility averaged 22.8%, placing in the 47.7% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 1.7% (HV 20d: 21.1%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.85.

Notable Days

2014-06-18: Highest Volume — 21 contracts
2014-06-27: Largest IV spike — 52.1% change
2014-06-30: Highest IV Rank — 90.6%
2014-06-05: Largest Expected Move — 7.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.27	$35.27	$37.46	$35.53	$36.20
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	22.8%	16.6%	31.5%	22.5%	31.5%
Expected Move	6.3%	5.8%	7.3%	6.5%	6.3%
HV 20d	21.1%	17.3%	24.7%	24.1%	17.3%
HV 60d	20.8%	19.7%	21.5%	20.5%	19.7%
IV Rank	47.7%	17.1%	90.6%	46.4%	90.6%
IV Percentile	77.5%	18.7%	99.2%	85.7%	99.2%
Term Structure	-0.2%	-11.0%	5.7%	-0.8%	-11.0%
VWIV	20.7%	20.5%	21.0%	21.0%	20.5%
Skew 25d	6.4%	-8.3%	28.1%	2.3%	-8.3%
Skew 10d	22.5%	3.5%	45.4%	4.7%	5.6%
Call IV 25d	19.3%	12.1%	30.6%	23.1%	30.6%
Put IV 25d	25.7%	15.4%	52.2%	25.4%	22.3%
Bid-Ask Spread %	100.23	79.38	131.38	99.32	130.82
Gamma HHI	0.59	0.45	0.79	0.69	0.45
Net GEX	-7.2K	-25.0K	-96	-11.1K	-146
Net DEX	49.6K	-57.3K	123.2K	92.0K	83.4K
Net VEX	-688	-841	-570	-841	-600
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.85	0.80	0.91	0.80	0.91
Total Volume	2.333	0	21	0	0
Total OI	189.762	171	216	198	181

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
2014-06-02	$35.53	$35.00	22.5%	6.5%	24.1%	46.4%	0.0%	2.3%	-0.8%	-11.1K	92.0K	-841	0.00	99.32	0	0	88	110
2014-06-03	$35.27	$35.00	22.4%	6.4%	24.0%	45.5%	0.0%	28.1%	-0.8%	-12.2K	123.2K	-823	0.00	98.09	0	0	88	110
2014-06-04	$35.55	$35.00	23.2%	6.7%	23.2%	49.7%	0.0%	25.0%	-1.8%	-11.8K	98.9K	-818	0.00	99.79	0	0	88	110
2014-06-05	$36.47	$35.00	25.6%	7.3%	24.7%	61.3%	0.0%	2.8%	-2.4%	-8.2K	20.4K	-819	0.00	101.13	0	0	88	110
2014-06-06	$36.80	$0.00	22.4%	6.2%	24.5%	45.7%	0.0%	5.5%	0.3%	-7.0K	2.9K	-810	0.00	99.91	0	0	88	110
2014-06-09	$37.46	$0.00	22.2%	5.8%	24.4%	44.7%	0.0%	11.4%	5.7%	-4.6K	-57.3K	-661	0.00	100.22	0	0	88	110
2014-06-10	$37.21	$0.00	28.4%	6.2%	23.2%	75.0%	0.0%	5.5%	1.9%	-5.4K	-21.2K	-750	0.00	102.22	0	0	88	110
2014-06-11	$36.83	$0.00	24.8%	5.8%	22.3%	57.6%	0.0%	3.7%	1.4%	-7.3K	-10.8K	-730	0.00	101.18	0	0	88	110
2014-06-12	$36.40	$0.00	21.6%	6.2%	19.9%	41.8%	0.0%	8.8%	0.2%	-10.8K	44.2K	-656	0.00	100.81	0	0	67	110
2014-06-13	$36.26	$0.00	20.3%	5.8%	19.8%	35.3%	0.0%	4.0%	0.8%	-12.1K	45.5K	-645	0.00	99.86	0	0	67	110
2014-06-16	$35.65	$0.00	20.5%	5.9%	20.8%	36.3%	0.0%	3.1%	1.2%	-25.0K	82.4K	-623	0.00	99.84	0	0	67	110
2014-06-17	$36.33	$0.00	22.7%	6.5%	20.9%	47.1%	21.0%	11.3%	0.4%	-11.2K	47.3K	-624	0.80	99.74	10	8	67	110
2014-06-18	$36.48	$35.00	21.9%	6.3%	20.3%	43.4%	20.5%	4.9%	0.7%	-7.3K	38.0K	-652	0.91	101.88	11	10	77	118
2014-06-19	$36.34	$35.00	21.2%	6.1%	20.4%	39.7%	0.0%	6.4%	1.0%	-6.7K	47.3K	-682	0.00	101.72	0	0	88	128
2014-06-20	$36.35	$35.00	22.0%	6.3%	20.4%	43.7%	0.0%	3.9%	0.2%	-5.9K	46.0K	-672	0.00	101.05	0	0	88	128
2014-06-23	$36.07	$0.00	20.9%	6.4%	20.4%	38.4%	0.0%	2.9%	0.3%	-627	51.0K	-624	0.00	82.13	0	0	88	83
2014-06-24	$35.92	$0.00	20.7%	6.4%	19.4%	37.2%	0.0%	1.9%	-0.1%	-713	57.9K	-604	0.00	80.11	0	10	88	83
2014-06-25	$36.18	$0.00	22.4%	6.2%	17.5%	45.5%	0.0%	8.8%	0.4%	-816	88.8K	-631	0.00	79.38	0	0	88	93
2014-06-26	$36.17	$0.00	16.6%	6.2%	17.3%	17.1%	0.0%	-2.3%	2.5%	-96	80.6K	-570	0.00	94.15	0	0	88	93
2014-06-27	$36.16	$0.00	25.2%	6.2%	17.3%	59.5%	0.0%	5.2%	-4.0%	-2.9K	82.0K	-612	0.00	131.38	0	0	88	93
2014-06-30	$36.20	$0.00	31.5%	6.3%	17.3%	90.6%	0.0%	-8.3%	-11.0%	-146	83.4K	-600	0.00	130.82	0	0	88	93