CBU Options History — January 2015

In January 2015, CBU traded between $33.56 and $37.69. ATM implied volatility averaged 47.0%, placing in the 44.8% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 24.7% (HV 20d: 22.3%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 2.42.

Notable Days

2015-01-28: Highest Volume — 47 contracts
2015-01-23: Largest IV spike — 86.7% change
2015-01-13: Highest IV Rank — 97.4%
2015-01-30: Largest Expected Move — 12.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.25	$33.56	$37.69	$37.69	$33.72
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	47.0%	20.9%	86.2%	49.3%	43.8%
Expected Move	9.9%	6.0%	12.6%	7.8%	12.6%
HV 20d	22.3%	17.8%	28.0%	17.8%	28.0%
HV 60d	20.6%	19.8%	21.7%	20.6%	21.7%
IV Rank	44.8%	9.9%	97.4%	47.9%	40.6%
IV Percentile	79.2%	25.0%	99.2%	90.1%	82.9%
Term Structure	-4.1%	-16.8%	12.6%	-13.8%	-5.1%
VWIV	32.9%	20.7%	50.3%	28.6%	40.9%
Skew 25d	7.1%	-9.1%	35.5%	8.2%	-4.5%
Skew 10d	17.2%	-7.7%	74.9%	2.9%	-7.7%
Call IV 25d	34.2%	18.2%	53.4%	53.4%	41.8%
Put IV 25d	41.3%	28.7%	61.6%	61.6%	37.3%
Bid-Ask Spread %	124.08	106.95	131.01	117.89	127.28
Gamma HHI	0.59	0.40	0.74	0.74	0.49
Net GEX	5.7K	-1.0K	12.5K	12.5K	3.1K
Net DEX	-7.7K	-105.2K	50.4K	-103.5K	29.4K
Net VEX	-664	-899	-517	-897	-672
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.42	0.00	21.00	0.63	1.94
Total Volume	22.8	0	47	26	47
Total OI	171.1	160	187	160	187

Daily Data (20 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
2015-01-02	$37.69	$40.00	49.3%	7.8%	17.8%	47.9%	28.6%	8.2%	-13.8%	12.5K	-103.5K	-897	0.63	117.89	16	10	128	32
2015-01-05	$36.76	$40.00	55.7%	9.2%	19.7%	56.6%	0.0%	-0.2%	-9.4%	10.3K	-61.4K	-788	0.00	127.79	0	0	128	32
2015-01-06	$36.05	$40.00	42.8%	9.1%	19.9%	39.2%	0.0%	-6.1%	-2.4%	8.6K	-29.6K	-704	0.00	131.01	0	0	128	32
2015-01-07	$36.24	$40.00	56.5%	8.2%	20.0%	57.6%	0.0%	13.9%	-5.6%	10.2K	-21.0K	-655	0.00	120.61	0	0	128	32
2015-01-08	$36.72	$40.00	61.0%	10.1%	20.0%	63.7%	38.1%	10.5%	-15.6%	7.9K	-16.3K	-607	0.53	125.97	19	10	128	32
2015-01-09	$35.91	$40.00	71.9%	10.2%	19.7%	78.3%	42.8%	10.6%	0.6%	9.3K	-105.2K	-899	0.53	117.70	19	10	131	32
2015-01-12	$35.38	$40.00	72.9%	7.7%	20.1%	79.7%	29.4%	3.6%	-7.4%	6.2K	4.8K	-543	0.53	125.42	19	10	131	32
2015-01-13	$35.07	$40.00	86.2%	9.1%	19.8%	97.4%	32.0%	-2.2%	-10.3%	6.2K	-13.0K	-611	0.53	122.61	19	10	131	32
2015-01-14	$34.68	$40.00	34.4%	9.9%	20.0%	28.0%	27.3%	2.6%	-8.5%	5.3K	-989	-588	0.53	129.88	19	10	131	32
2015-01-15	$34.31	$40.00	40.8%	11.7%	20.2%	36.6%	23.8%	0.3%	-16.8%	5.4K	-16.9K	-614	0.53	128.71	19	10	131	32
2015-01-16	$35.21	$40.00	39.7%	11.4%	21.9%	35.1%	0.0%	-9.1%	-14.7%	6.5K	-29.1K	-683	0.00	130.31	0	0	131	32
2015-01-20	$34.85	$40.00	33.1%	9.5%	21.3%	26.2%	46.8%	-0.6%	9.0%	5.8K	7.6K	-538	21.00	128.04	1	21	131	32
2015-01-21	$34.54	$40.00	27.7%	7.9%	21.2%	19.0%	0.0%	3.4%	-5.1%	405	50.4K	-575	0.00	113.49	0	0	131	53
2015-01-22	$35.64	$40.00	20.9%	6.0%	24.6%	9.9%	20.7%	35.5%	-4.7%	-1.0K	49.7K	-517	2.82	106.95	11	31	131	53
2015-01-23	$34.75	$40.00	39.1%	11.2%	25.5%	34.2%	50.3%	3.1%	-3.7%	3.5K	14.4K	-685	2.82	124.70	11	31	131	53
2015-01-26	$35.00	$40.00	40.8%	11.7%	25.8%	36.5%	31.0%	22.6%	12.6%	4.2K	2.1K	-731	0.00	120.50	6	0	131	53
2015-01-27	$34.57	$40.00	39.7%	11.4%	25.9%	35.1%	0.0%	4.0%	-0.4%	3.2K	21.7K	-680	0.00	127.09	3	0	131	53
2015-01-28	$33.56	$40.00	41.0%	11.7%	26.1%	36.8%	23.7%	24.3%	10.7%	3.0K	28.1K	-643	1.94	127.92	16	31	134	53
2015-01-29	$34.29	$40.00	41.8%	12.0%	28.0%	37.9%	25.3%	22.1%	8.4%	2.6K	35.7K	-647	1.94	127.65	16	31	134	53
2015-01-30	$33.72	$40.00	43.8%	12.6%	28.0%	40.6%	40.9%	-4.5%	-5.1%	3.1K	29.4K	-672	1.94	127.28	16	31	134	53