CBU Options History — August 2014

In August 2014, CBU traded between $34.43 and $35.89. ATM implied volatility averaged 41.1%, placing in the 49.0% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 24.0% (HV 20d: 17.1%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.37.

Notable Days

2014-08-15: Highest Volume — 108 contracts
2014-08-21: Largest IV spike — 69.7% change
2014-08-08: Highest IV Rank — 100.0%
2014-08-26: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.22	$34.43	$35.89	$34.87	$35.34
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	41.1%	20.1%	88.1%	32.3%	41.9%
Expected Move	6.0%	3.9%	6.9%	6.1%	6.0%
HV 20d	17.1%	14.3%	19.5%	18.4%	14.3%
HV 60d	18.5%	17.1%	20.5%	20.5%	17.1%
IV Rank	49.0%	9.3%	100.0%	44.8%	38.4%
IV Percentile	90.9%	48.8%	100.0%	93.3%	95.6%
Term Structure	-10.3%	-29.9%	24.2%	24.2%	-15.2%
Skew 25d	2.1%	-13.9%	19.9%	16.7%	13.0%
Skew 10d	5.7%	-8.1%	17.2%	11.8%	17.2%
Call IV 25d	42.1%	20.4%	69.9%	44.5%	32.8%
Put IV 25d	44.2%	20.4%	71.6%	61.2%	45.8%
Bid-Ask Spread %	120.93	96.88	127.76	125.91	108.67
Gamma HHI	0.47	0.34	0.82	0.56	0.37
Net GEX	-2.3K	-19.2K	1.7K	-5.0K	1.7K
Net DEX	-49.2K	-158.7K	60.8K	47.5K	-150.3K
Net VEX	-917	-1.3K	-603	-720	-1.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.37	0.00	0.61	0.00	0.50
Total Volume	8.048	0	108	0	0
Total OI	206.143	193	233	193	233

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
2014-08-01	$34.87	$40.00	32.3%	6.1%	18.4%	44.8%	0.0%	16.7%	24.2%	-5.0K	47.5K	-720	0.00	125.91	0	0	122	71
2014-08-04	$34.80	$40.00	30.6%	6.2%	18.0%	41.0%	0.0%	6.5%	-5.5%	-7.1K	52.8K	-666	0.00	118.79	0	0	122	71
2014-08-05	$34.81	$40.00	50.6%	5.3%	17.7%	87.8%	0.0%	2.8%	2.9%	-1.9K	39.3K	-722	0.00	112.43	0	0	122	71
2014-08-06	$34.86	$40.00	52.6%	6.1%	17.8%	92.2%	0.0%	0.2%	-20.9%	-2.0K	41.4K	-695	0.00	126.67	0	0	122	71
2014-08-07	$34.43	$40.00	55.0%	6.4%	17.9%	97.8%	0.0%	4.7%	-13.5%	-2.5K	51.5K	-675	0.00	123.29	0	0	122	71
2014-08-08	$35.12	$40.00	56.7%	5.9%	19.5%	100.0%	0.0%	19.9%	-19.4%	-2.0K	31.2K	-673	0.00	123.91	0	0	122	71
2014-08-11	$35.06	$40.00	45.1%	6.2%	19.3%	73.3%	0.0%	0.8%	-29.9%	-7.7K	36.7K	-647	0.00	126.86	0	0	122	71
2014-08-12	$35.06	$40.00	76.0%	6.1%	19.3%	100.0%	0.0%	9.8%	-16.1%	-2.6K	38.1K	-603	0.00	127.08	0	0	122	71
2014-08-13	$35.39	$40.00	88.1%	6.4%	18.3%	100.0%	0.0%	-4.6%	-10.0%	-1.9K	17.6K	-632	0.00	127.76	10	0	122	71
2014-08-14	$35.26	$40.00	33.3%	6.4%	16.5%	27.0%	0.0%	1.3%	-9.4%	-2.0K	-6.2K	-647	0.00	125.20	0	21	132	71
2014-08-15	$34.88	$40.00	31.8%	5.8%	16.2%	24.9%	0.0%	1.9%	-15.6%	-19.2K	60.8K	-662	0.61	96.88	67	41	132	87
2014-08-18	$35.44	$40.00	34.9%	6.5%	17.0%	29.0%	0.0%	2.1%	6.4%	981	-132.7K	-1.3K	0.00	126.55	0	0	132	81
2014-08-19	$35.48	$40.00	35.1%	6.3%	16.7%	29.3%	0.0%	2.1%	-4.4%	1.0K	-138.7K	-1.3K	0.00	127.73	0	0	132	81
2014-08-20	$35.16	$40.00	20.1%	4.7%	17.0%	9.3%	0.0%	-0.0%	0.5%	667	-143.0K	-1.2K	0.00	105.87	0	0	132	81
2014-08-21	$35.54	$40.00	34.0%	5.0%	16.8%	27.9%	0.0%	3.3%	-0.3%	1.2K	-140.1K	-1.2K	0.00	119.92	0	0	132	81
2014-08-22	$35.68	$40.00	29.2%	6.1%	16.9%	21.5%	0.0%	-7.5%	-8.9%	1.1K	-149.1K	-1.2K	0.00	127.01	0	0	132	81
2014-08-25	$35.63	$40.00	27.2%	6.2%	15.7%	18.8%	0.0%	-7.6%	-9.1%	-443	-154.4K	-1.2K	0.00	124.38	0	0	132	81
2014-08-26	$35.89	$40.00	30.5%	6.9%	15.8%	23.2%	0.0%	-3.5%	-23.4%	1.3K	-158.7K	-1.2K	0.00	121.80	0	0	132	81
2014-08-27	$35.66	$40.00	29.0%	6.8%	15.2%	21.2%	0.0%	-3.5%	-26.9%	-2.5K	-142.8K	-1.0K	0.50	116.36	20	10	132	81
2014-08-28	$35.17	$40.00	29.3%	3.9%	14.7%	21.6%	0.0%	-13.9%	-22.7%	988	-134.1K	-1.1K	0.00	126.50	0	0	152	81
2014-08-29	$35.34	$40.00	41.9%	6.0%	14.3%	38.4%	0.0%	13.0%	-15.2%	1.7K	-150.3K	-1.2K	0.00	108.67	0	0	152	81