CBU Options History — October 2014

In October 2014, CBU traded between $32.84 and $38.10. ATM implied volatility averaged 40.2%, placing in the 35.7% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 19.1% (HV 20d: 21.1%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.17.

Notable Days

2014-10-28: Highest Volume — 99 contracts
2014-10-13: Largest IV spike — 94.2% change
2014-10-15: Highest IV Rank — 97.9%
2014-10-22: Largest Expected Move — 9.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.74	$32.84	$38.10	$33.28	$38.10
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	40.2%	20.2%	86.5%	47.5%	20.2%
Expected Move	7.1%	5.6%	9.3%	6.5%	5.8%
HV 20d	21.1%	13.4%	25.8%	13.4%	25.6%
HV 60d	17.5%	15.4%	19.3%	15.5%	19.3%
IV Rank	35.7%	9.0%	97.9%	45.6%	9.0%
IV Percentile	81.9%	36.9%	99.6%	96.0%	36.9%
Term Structure	-5.2%	-18.8%	12.6%	-18.3%	2.0%
VWIV	22.9%	14.5%	29.1%	14.5%	20.3%
Skew 25d	3.1%	-23.0%	30.2%	-12.4%	11.5%
Skew 10d	8.1%	-16.8%	45.0%	-3.1%	10.7%
Call IV 25d	31.9%	19.6%	56.7%	48.6%	19.6%
Put IV 25d	35.0%	18.7%	59.3%	36.2%	31.1%
Bid-Ask Spread %	114.18	92.71	127.46	123.73	92.71
Gamma HHI	0.49	0.41	0.81	0.43	0.81
Net GEX	719	-2.4K	8.3K	-305	8.3K
Net DEX	-28.0K	-312.6K	95.8K	81.6K	-312.6K
Net VEX	-724	-864	-385	-804	-446
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.17	0.13	0.19	0.18	0.19
Total Volume	65.348	0	99	0	99
Total OI	199.826	190	216	190	216

Daily Data (23 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
2014-10-01	$33.28	$40.00	47.5%	6.5%	13.4%	45.6%	0.0%	-12.4%	-18.3%	-305	81.6K	-804	0.00	123.73	0	0	109	81
2014-10-02	$33.52	$40.00	35.5%	7.8%	13.9%	29.4%	0.0%	2.4%	7.4%	-278	71.0K	-826	0.00	117.41	0	0	109	81
2014-10-03	$33.57	$40.00	32.3%	6.6%	13.9%	25.2%	0.0%	15.2%	12.6%	-232	72.4K	-792	0.00	127.46	0	0	109	81
2014-10-06	$33.32	$40.00	37.7%	6.3%	13.6%	32.4%	0.0%	-10.1%	-9.5%	-422	88.4K	-731	0.00	120.18	0	0	109	81
2014-10-07	$32.84	$40.00	59.5%	6.7%	14.1%	61.7%	0.0%	5.3%	-10.3%	-255	95.8K	-693	0.00	126.11	0	0	109	81
2014-10-08	$34.02	$40.00	56.4%	7.4%	19.2%	57.5%	14.5%	-0.3%	-6.3%	848	23.4K	-835	0.18	115.47	78	14	119	81
2014-10-09	$33.46	$40.00	41.5%	8.1%	19.8%	37.5%	28.6%	-0.3%	-6.4%	781	22.9K	-836	0.18	116.30	78	14	119	81
2014-10-10	$33.78	$40.00	25.4%	7.9%	20.3%	15.9%	23.9%	0.3%	-9.5%	1.2K	13.9K	-846	0.18	111.94	78	14	119	81
2014-10-13	$33.98	$40.00	49.3%	8.9%	20.1%	48.0%	24.7%	1.6%	-13.6%	1.4K	-9.1K	-848	0.18	112.79	78	14	119	81
2014-10-14	$34.55	$40.00	58.3%	7.8%	20.9%	60.1%	26.3%	0.3%	-16.0%	1.6K	-24.4K	-864	0.18	115.32	78	14	119	81
2014-10-15	$33.99	$40.00	86.5%	7.2%	21.7%	97.9%	28.7%	-17.4%	-18.8%	1.4K	-10.3K	-824	0.18	120.94	78	14	119	81
2014-10-16	$34.80	$40.00	26.6%	8.5%	22.9%	17.5%	0.0%	19.1%	2.3%	-906	41.4K	-726	0.00	108.21	0	1	109	81
2014-10-17	$34.09	$40.00	24.7%	5.7%	23.6%	15.0%	0.0%	-2.6%	-5.7%	-1.6K	89.1K	-615	0.00	103.06	0	0	109	82
2014-10-20	$34.17	$40.00	31.6%	6.2%	23.4%	24.1%	29.1%	-4.3%	6.4%	1.1K	-15.6K	-745	0.14	120.70	78	11	119	82
2014-10-21	$35.07	$40.00	20.3%	6.3%	24.5%	9.1%	19.7%	21.8%	2.9%	-2.3K	-12.7K	-659	0.14	96.41	78	11	119	82
2014-10-22	$34.90	$40.00	35.6%	9.3%	24.5%	29.6%	21.7%	-0.1%	6.2%	697	-66.5K	-737	0.13	108.69	83	11	119	82
2014-10-23	$35.15	$40.00	46.1%	6.7%	24.2%	43.7%	21.9%	8.7%	-1.2%	2.2K	-52.3K	-805	0.13	123.69	83	11	124	82
2014-10-24	$35.36	$40.00	30.4%	6.4%	24.2%	22.6%	27.5%	30.2%	-5.1%	-1.9K	-22.5K	-631	0.13	121.84	83	11	124	82
2014-10-27	$35.74	$40.00	45.1%	8.0%	24.2%	42.3%	23.9%	9.0%	4.8%	1.8K	-69.6K	-740	0.13	115.75	83	11	124	82
2014-10-28	$36.87	$40.00	44.2%	8.0%	25.8%	41.1%	18.2%	-23.0%	-10.9%	-2.4K	-242.2K	-385	0.19	110.28	83	16	124	82
2014-10-29	$37.17	$40.00	37.6%	6.1%	25.3%	32.3%	17.1%	7.4%	-17.7%	2.8K	-191.3K	-666	0.19	108.36	83	16	124	87
2014-10-30	$37.40	$40.00	31.9%	5.6%	25.3%	24.6%	19.7%	8.1%	-15.9%	3.2K	-214.6K	-603	0.19	108.70	83	16	124	87
2014-10-31	$38.10	$40.00	20.2%	5.8%	25.6%	9.0%	20.3%	11.5%	2.0%	8.3K	-312.6K	-446	0.19	92.71	83	16	129	87