CBU Options History — July 2014

In July 2014, CBU traded between $34.63 and $37.29. ATM implied volatility averaged 35.6%, placing in the 58.0% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 17.0% (HV 20d: 18.6%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.83.

Notable Days

2014-07-28: Highest Volume — 34 contracts
2014-07-29: Largest IV spike — 115.3% change
2014-07-03: Highest IV Rank — 100.0%
2014-07-02: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.90	$34.63	$37.29	$37.15	$35.23
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	35.6%	19.5%	55.9%	27.5%	29.8%
Expected Move	6.4%	6.1%	8.0%	6.3%	6.4%
HV 20d	18.6%	16.4%	20.5%	19.1%	19.3%
HV 60d	20.1%	19.4%	20.7%	19.8%	20.6%
IV Rank	58.0%	15.0%	100.0%	70.9%	39.0%
IV Percentile	95.1%	46.8%	100.0%	97.2%	92.5%
Term Structure	-7.9%	-20.2%	17.1%	-16.3%	17.1%
VWIV	20.9%	20.9%	20.9%	20.9%	20.9%
Skew 25d	3.8%	-11.8%	14.4%	-2.5%	12.9%
Skew 10d	6.0%	-20.0%	19.6%	3.4%	11.3%
Call IV 25d	31.8%	19.7%	47.8%	21.8%	44.0%
Put IV 25d	35.6%	19.3%	56.9%	19.3%	56.9%
Bid-Ask Spread %	122.48	92.19	133.59	92.19	124.93
Gamma HHI	0.51	0.45	0.76	0.46	0.55
Net GEX	-1.8K	-11.0K	3.3K	-464	-5.0K
Net DEX	62.7K	-9.5K	188.7K	20.4K	28.1K
Net VEX	-627	-806	-457	-605	-753
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.83	0.00	2.50	2.50	0.00
Total Volume	3	0	34	0	0
Total OI	178.773	160	193	181	193

Daily Data (22 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
2014-07-01	$37.15	$0.00	27.5%	6.3%	19.1%	70.9%	0.0%	-2.5%	-16.3%	-464	20.4K	-605	0.00	92.19	0	0	88	93
2014-07-02	$36.73	$0.00	26.6%	8.0%	19.6%	66.6%	0.0%	-2.1%	-15.2%	391	39.6K	-619	0.00	122.73	0	0	88	93
2014-07-03	$37.29	$0.00	35.3%	6.6%	18.3%	100.0%	0.0%	-0.6%	-20.2%	-1.5K	21.3K	-652	2.50	128.79	2	5	88	93
2014-07-07	$36.82	$0.00	55.5%	6.7%	18.6%	100.0%	0.0%	-1.9%	-13.0%	-2.0K	45.0K	-713	0.00	129.37	0	0	89	98
2014-07-08	$36.37	$0.00	38.5%	6.5%	17.9%	59.9%	0.0%	10.4%	-11.5%	-1.1K	74.2K	-655	0.00	129.94	0	0	89	98
2014-07-09	$36.25	$0.00	55.9%	6.4%	17.8%	100.0%	0.0%	-5.8%	-11.1%	-2.1K	74.0K	-670	0.00	129.02	0	0	89	98
2014-07-10	$35.85	$0.00	32.6%	6.3%	17.8%	45.6%	0.0%	9.2%	-9.6%	-2.3K	97.1K	-641	0.00	132.90	0	0	89	98
2014-07-11	$35.79	$0.00	33.1%	6.3%	17.4%	46.8%	0.0%	9.0%	-10.1%	-757	103.6K	-616	0.00	133.59	0	0	89	98
2014-07-14	$35.98	$0.00	35.3%	6.1%	17.5%	51.8%	0.0%	3.3%	-12.4%	-498	92.9K	-603	0.00	125.94	0	0	89	98
2014-07-15	$36.11	$0.00	34.4%	6.3%	16.4%	49.9%	0.0%	11.7%	-9.7%	-650	94.0K	-558	0.00	115.86	0	0	89	98
2014-07-16	$35.40	$0.00	34.2%	6.3%	16.5%	49.2%	0.0%	3.6%	-10.4%	3.3K	128.1K	-514	0.00	106.17	0	4	89	98
2014-07-17	$34.63	$0.00	26.0%	6.1%	17.9%	30.1%	0.0%	2.2%	-13.4%	1.9K	188.7K	-457	0.00	120.56	0	1	89	102
2014-07-18	$35.13	$0.00	22.8%	6.3%	18.8%	22.7%	20.9%	-8.2%	-11.1%	-4.7K	63.1K	-460	0.00	124.56	20	0	89	75
2014-07-21	$35.36	$40.00	36.7%	6.4%	19.1%	55.1%	0.0%	-11.8%	-3.5%	-3.6K	53.9K	-608	0.00	124.51	0	0	89	71
2014-07-22	$35.69	$40.00	37.5%	6.4%	19.3%	56.9%	0.0%	12.1%	4.0%	-2.7K	48.5K	-650	0.00	124.36	0	0	89	71
2014-07-23	$35.59	$40.00	38.3%	6.4%	19.2%	58.9%	0.0%	7.7%	-5.6%	-2.9K	53.8K	-624	0.00	125.60	0	0	89	71
2014-07-24	$36.03	$40.00	37.9%	6.1%	19.6%	57.9%	0.0%	14.4%	4.2%	-2.1K	36.5K	-636	0.00	124.09	0	0	89	71
2014-07-25	$35.92	$40.00	40.0%	6.4%	19.6%	62.8%	0.0%	3.5%	-6.2%	-2.0K	38.8K	-638	0.00	125.46	0	0	89	71
2014-07-28	$35.31	$40.00	19.5%	6.1%	20.5%	15.0%	0.0%	-1.9%	-2.8%	-11.0K	72.9K	-508	0.00	103.42	34	0	89	71
2014-07-29	$35.35	$40.00	42.1%	6.4%	20.5%	67.7%	0.0%	5.8%	-8.0%	-817	15.3K	-799	0.00	124.99	0	0	122	71
2014-07-30	$35.85	$40.00	43.1%	6.1%	18.8%	70.1%	0.0%	11.6%	-10.0%	327	-9.5K	-806	0.00	125.64	0	0	122	71
2014-07-31	$35.23	$40.00	29.8%	6.4%	19.3%	39.0%	0.0%	12.9%	17.1%	-5.0K	28.1K	-753	0.00	124.93	0	0	122	71