CBU Options History — December 2014

In December 2014, CBU traded between $36.69 and $38.78. ATM implied volatility averaged 44.6%, placing in the 41.6% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 26.0% (HV 20d: 18.6%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.63.

Notable Days

2014-12-23: Highest Volume — 26 contracts
2014-12-10: Largest IV spike — 61.4% change
2014-12-15: Highest IV Rank — 62.3%
2014-12-11: Largest Expected Move — 9.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.70	$36.69	$38.78	$36.75	$38.13
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	44.6%	28.6%	60.0%	37.4%	28.6%
Expected Move	7.4%	5.2%	9.3%	6.4%	6.1%
HV 20d	18.6%	16.2%	20.9%	16.2%	18.0%
HV 60d	20.5%	20.0%	21.1%	20.0%	20.7%
IV Rank	41.6%	20.2%	62.3%	32.0%	20.2%
IV Percentile	84.7%	56.0%	98.4%	81.0%	56.0%
Term Structure	-9.9%	-21.4%	12.0%	12.0%	-3.9%
VWIV	25.2%	20.0%	31.5%	23.4%	31.5%
Skew 25d	7.5%	-12.5%	31.8%	-1.8%	5.7%
Skew 10d	9.1%	-23.9%	48.8%	3.0%	-0.5%
Call IV 25d	47.8%	22.5%	75.4%	60.3%	22.5%
Put IV 25d	55.3%	28.2%	90.4%	58.5%	28.2%
Bid-Ask Spread %	121.14	106.96	131.20	111.90	123.91
Gamma HHI	0.85	0.76	0.91	0.86	0.76
Net GEX	13.3K	10.8K	17.2K	10.8K	17.2K
Net DEX	-113.7K	-191.6K	-63.8K	-63.8K	-114.7K
Net VEX	-831	-1.0K	-669	-669	-894
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.63	0.50	1.17	1.17	0.63
Total Volume	17.636	0	26	13	0
Total OI	141.227	133	160	135	160

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
2014-12-01	$36.75	$40.00	37.4%	6.4%	16.2%	32.0%	23.4%	-1.8%	12.0%	10.8K	-63.8K	-669	1.17	111.90	6	7	123	12
2014-12-02	$37.15	$40.00	52.9%	7.7%	16.8%	52.8%	24.5%	27.2%	-16.5%	10.9K	-101.9K	-812	1.17	118.33	6	7	123	12
2014-12-03	$37.69	$40.00	52.8%	6.7%	17.7%	52.7%	25.2%	-0.7%	-4.6%	11.6K	-104.8K	-806	0.50	120.28	14	7	123	12
2014-12-04	$37.38	$40.00	51.2%	7.7%	17.6%	50.5%	0.0%	20.7%	-14.4%	12.5K	-102.3K	-776	0.00	128.07	0	0	121	12
2014-12-05	$37.93	$40.00	49.6%	6.4%	18.3%	48.4%	22.6%	10.8%	-14.8%	13.2K	-125.2K	-845	0.50	121.63	14	7	121	12
2014-12-08	$38.00	$40.00	53.5%	5.5%	18.3%	53.6%	22.4%	-1.4%	-21.4%	15.4K	-116.5K	-807	0.50	106.96	14	7	121	12
2014-12-09	$38.53	$40.00	34.2%	5.2%	19.0%	27.7%	20.2%	-11.8%	-6.7%	17.0K	-107.3K	-769	0.50	113.30	14	7	121	12
2014-12-10	$37.60	$40.00	55.2%	6.0%	20.9%	55.9%	20.0%	-1.8%	-10.1%	13.7K	-132.9K	-821	0.50	122.20	14	7	121	12
2014-12-11	$37.40	$40.00	56.7%	9.3%	20.1%	57.9%	25.2%	13.1%	-7.8%	11.7K	-116.8K	-800	0.50	122.28	14	7	121	12
2014-12-12	$36.85	$40.00	58.1%	9.2%	20.1%	59.8%	26.1%	15.3%	-7.6%	11.2K	-101.0K	-777	0.50	121.59	14	7	121	12
2014-12-15	$36.70	$40.00	60.0%	9.2%	20.1%	62.3%	26.6%	15.0%	-13.8%	11.2K	-86.9K	-715	0.50	122.24	14	7	121	12
2014-12-16	$36.69	$40.00	29.8%	9.2%	19.2%	21.7%	28.5%	-12.5%	0.7%	10.8K	-86.6K	-687	0.50	119.95	14	7	121	12
2014-12-17	$37.21	$40.00	39.1%	9.2%	19.9%	34.2%	26.6%	14.2%	-0.8%	12.1K	-87.8K	-700	0.50	122.88	14	7	121	12
2014-12-18	$37.68	$40.00	39.8%	6.5%	19.4%	35.2%	23.4%	1.8%	-17.1%	13.9K	-110.7K	-755	0.71	123.30	14	10	121	12
2014-12-19	$37.80	$40.00	34.9%	6.1%	19.2%	28.6%	0.0%	1.1%	-19.8%	15.7K	-99.0K	-843	0.00	127.10	0	0	121	22
2014-12-22	$37.90	$40.00	42.5%	7.5%	19.0%	38.8%	27.2%	11.1%	-16.6%	13.3K	-111.5K	-851	0.71	121.72	14	10	121	22
2014-12-23	$38.18	$40.00	39.9%	7.4%	18.4%	35.4%	27.1%	-4.5%	-10.1%	13.3K	-122.2K	-957	0.63	117.53	16	10	121	32
2014-12-24	$38.09	$40.00	40.0%	7.3%	18.4%	35.4%	26.0%	16.4%	-9.7%	14.4K	-122.7K	-1.0K	0.63	121.41	16	10	128	32
2014-12-26	$38.17	$40.00	41.0%	7.3%	18.4%	36.8%	26.6%	11.1%	-10.2%	14.2K	-125.9K	-975	0.63	120.03	16	10	128	32
2014-12-29	$38.78	$40.00	43.6%	8.6%	17.4%	40.3%	31.5%	31.8%	-11.7%	13.8K	-191.6K	-1.0K	0.63	127.30	16	10	128	32
2014-12-30	$38.71	$40.00	39.9%	7.8%	17.2%	35.3%	0.0%	3.7%	-13.0%	15.6K	-169.1K	-981	0.00	131.20	0	0	128	32
2014-12-31	$38.13	$40.00	28.6%	6.1%	18.0%	20.2%	0.0%	5.7%	-3.9%	17.2K	-114.7K	-894	0.00	123.91	0	0	128	32