CBU Options History — November 2014

In November 2014, CBU traded between $36.91 and $38.98. ATM implied volatility averaged 33.7%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 14.0% (HV 20d: 19.7%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.25.

Notable Days

2014-11-06: Highest Volume — 176 contracts
2014-11-11: Largest IV spike — 120.3% change
2014-11-11: Highest IV Rank — 65.9%
2014-11-20: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.83	$36.91	$38.98	$37.96	$36.99
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	33.7%	18.2%	62.7%	46.0%	30.8%
Expected Move	5.9%	4.3%	8.0%	4.7%	7.9%
HV 20d	19.7%	16.2%	25.4%	25.4%	17.6%
HV 60d	19.2%	18.6%	20.0%	19.0%	20.0%
IV Rank	27.0%	6.2%	65.9%	43.5%	23.1%
IV Percentile	71.1%	19.0%	98.8%	92.9%	68.3%
Term Structure	-4.6%	-17.5%	20.2%	-3.8%	-10.3%
VWIV	19.7%	15.5%	25.0%	17.4%	25.0%
Skew 25d	4.1%	-9.3%	19.4%	5.1%	-9.3%
Skew 10d	9.5%	-11.6%	41.6%	-0.4%	22.7%
Call IV 25d	28.6%	18.0%	48.3%	47.9%	27.0%
Put IV 25d	32.7%	17.4%	53.0%	53.0%	17.7%
Bid-Ask Spread %	115.15	99.79	125.58	118.10	122.01
Gamma HHI	0.80	0.53	0.96	0.68	0.87
Net GEX	13.5K	3.4K	24.5K	6.1K	10.7K
Net DEX	-289.8K	-460.8K	-97.6K	-290.8K	-111.8K
Net VEX	-854	-1.3K	-358	-596	-851
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.25	0.10	1.17	0.19	1.17
Total Volume	88.895	0	176	99	0
Total OI	246.526	135	313	216	135

Daily Data (19 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
2014-11-03	$37.96	$40.00	46.0%	4.7%	25.4%	43.5%	17.4%	5.1%	-3.8%	6.1K	-290.8K	-596	0.19	118.10	83	16	129	87
2014-11-04	$37.81	$40.00	37.9%	5.8%	24.5%	32.7%	20.4%	-0.1%	8.6%	4.0K	-301.6K	-361	0.19	121.91	83	16	129	87
2014-11-05	$38.09	$40.00	25.6%	5.9%	22.1%	16.2%	19.5%	-1.6%	-4.5%	6.7K	-291.1K	-452	0.19	106.35	83	16	129	87
2014-11-06	$38.31	$40.00	23.8%	5.4%	20.5%	13.8%	20.4%	-2.3%	-5.5%	7.8K	-318.7K	-358	0.10	100.45	160	16	129	87
2014-11-07	$38.21	$40.00	48.3%	5.8%	20.7%	46.7%	17.7%	19.4%	-16.1%	19.3K	-417.5K	-1.3K	0.10	112.28	160	16	226	87
2014-11-10	$38.33	$40.00	28.5%	5.3%	20.8%	20.0%	18.1%	5.7%	-3.1%	21.9K	-420.6K	-1.0K	0.10	107.24	160	16	226	87
2014-11-11	$38.44	$40.00	62.7%	5.8%	20.4%	65.9%	19.5%	7.5%	-17.5%	3.4K	-233.2K	-497	0.10	121.52	160	16	110	86
2014-11-12	$38.98	$40.00	35.4%	4.3%	18.9%	29.4%	15.5%	17.4%	-3.8%	24.5K	-460.8K	-1.0K	0.10	119.87	160	16	226	87
2014-11-13	$38.38	$40.00	31.3%	5.0%	19.4%	23.8%	16.1%	-0.2%	-9.1%	23.7K	-436.0K	-1.1K	0.10	112.38	160	16	226	87
2014-11-14	$38.22	$40.00	18.2%	5.1%	17.3%	6.2%	0.0%	0.9%	-6.7%	18.9K	-384.0K	-1.2K	0.00	114.65	0	0	216	87
2014-11-17	$37.53	$40.00	38.0%	5.8%	19.3%	32.8%	21.3%	4.9%	-14.2%	14.5K	-332.0K	-1.1K	0.19	113.31	83	16	226	87
2014-11-18	$37.54	$40.00	21.4%	5.7%	17.6%	10.5%	20.1%	4.3%	-2.9%	15.5K	-369.8K	-831	0.29	99.79	55	16	221	87
2014-11-19	$36.91	$40.00	36.9%	7.1%	18.8%	31.3%	0.0%	2.6%	-12.9%	12.5K	-199.6K	-910	0.00	125.58	0	7	211	87
2014-11-20	$37.25	$40.00	40.6%	8.0%	18.9%	36.3%	22.7%	0.9%	-9.7%	11.5K	-220.9K	-981	0.33	119.58	55	18	211	94
2014-11-21	$36.98	$40.00	30.0%	7.9%	19.2%	22.1%	22.7%	1.2%	-9.4%	11.7K	-348.4K	-941	0.33	115.43	55	18	211	94
2014-11-24	$37.54	$40.00	28.6%	5.3%	19.5%	20.2%	0.0%	2.8%	-0.6%	11.1K	-97.6K	-824	0.00	121.68	0	0	123	12
2014-11-25	$37.58	$40.00	30.9%	6.8%	16.3%	23.3%	25.0%	19.2%	14.9%	11.4K	-118.3K	-879	1.17	115.29	6	7	123	12
2014-11-26	$37.75	$40.00	24.4%	4.8%	16.2%	14.6%	0.0%	-0.6%	20.2%	21.8K	-154.2K	-986	0.00	120.40	0	0	123	12
2014-11-28	$36.99	$40.00	30.8%	7.9%	17.6%	23.1%	0.0%	-9.3%	-10.3%	10.7K	-111.8K	-851	0.00	122.01	0	0	123	12