CBU Options History — February 2015

In February 2015, CBU traded between $34.81 and $35.94. ATM implied volatility averaged 41.3%, placing in the 37.3% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 12.7% (HV 20d: 28.6%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 1.91.

Notable Days

2015-02-23: Highest Volume — 83 contracts
2015-02-12: Largest IV spike — 132.4% change
2015-02-19: Highest IV Rank — 65.3%
2015-02-19: Largest Expected Move — 17.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.42	$34.81	$35.94	$34.81	$35.59
Max Pain	$35.94	$35.00	$40.00	$40.00	$35.00
ATM IV	41.3%	18.4%	62.2%	22.4%	32.4%
Expected Move	11.2%	5.3%	17.8%	6.4%	9.3%
HV 20d	28.6%	21.6%	31.2%	31.0%	21.6%
HV 60d	23.5%	22.8%	24.0%	22.8%	23.1%
IV Rank	37.3%	6.5%	65.3%	11.8%	25.3%
IV Percentile	68.8%	10.7%	97.2%	32.9%	52.0%
Term Structure	-10.0%	-34.2%	10.9%	-0.5%	10.9%
VWIV	37.7%	18.4%	62.0%	62.0%	32.7%
Skew 25d	-4.9%	-47.6%	37.0%	37.0%	-7.0%
Skew 10d	-1.2%	-21.5%	50.5%	50.5%	-17.7%
Call IV 25d	45.2%	23.5%	84.1%	27.2%	45.1%
Put IV 25d	40.3%	24.4%	64.1%	64.1%	38.1%
Bid-Ask Spread %	124.65	114.91	133.13	114.91	125.08
Gamma HHI	0.55	0.41	0.71	0.44	0.65
Net GEX	-944	-11.7K	6.9K	-3.6K	-8.7K
Net DEX	44.4K	-18.3K	107.4K	69.1K	107.4K
Net VEX	-669	-916	-480	-480	-916
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.91	0.00	3.08	1.94	1.47
Total Volume	56.053	0	83	0	79
Total OI	187.105	117	232	187	150

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
2015-02-02	$34.81	$40.00	22.4%	6.4%	31.0%	11.8%	0.0%	37.0%	-0.5%	-3.6K	69.1K	-480	0.00	114.91	0	0	134	53
2015-02-03	$35.28	$40.00	50.2%	14.4%	30.5%	49.2%	62.0%	-3.6%	4.8%	6.4K	-16.7K	-544	1.94	122.63	16	31	134	53
2015-02-04	$34.93	$40.00	53.4%	15.3%	30.0%	53.4%	40.5%	4.9%	-14.0%	5.1K	-5.7K	-663	1.94	122.93	16	31	134	53
2015-02-05	$35.74	$0.00	50.4%	10.4%	31.2%	49.5%	0.0%	6.0%	-15.8%	5.0K	-14.4K	-719	2.38	127.31	13	31	134	53
2015-02-06	$35.94	$0.00	51.0%	16.6%	30.8%	50.3%	0.0%	-13.0%	-27.6%	6.9K	-18.3K	-682	2.38	124.61	13	31	133	53
2015-02-09	$35.03	$0.00	53.4%	11.1%	31.2%	53.4%	37.6%	-37.6%	-10.7%	4.3K	11.2K	-619	3.08	121.92	13	40	133	53
2015-02-10	$35.21	$35.00	44.3%	6.8%	30.8%	41.3%	23.9%	18.0%	-3.1%	-716	59.8K	-576	1.78	119.57	23	41	133	62
2015-02-11	$35.04	$35.00	23.0%	6.6%	30.7%	12.6%	23.0%	0.9%	-0.3%	1.6K	29.4K	-702	1.78	128.96	23	41	143	72
2015-02-12	$35.66	$35.00	53.4%	15.3%	31.0%	53.4%	53.4%	-10.3%	-30.5%	5.5K	-6.1K	-590	2.04	129.24	23	47	143	72
2015-02-13	$35.78	$35.00	52.9%	15.2%	30.7%	52.8%	52.9%	-31.6%	-34.2%	4.6K	14.3K	-620	2.04	131.18	23	47	143	78
2015-02-17	$35.94	$35.00	42.0%	12.1%	29.4%	38.2%	42.0%	7.0%	-19.1%	1.6K	47.4K	-688	2.04	129.35	23	47	143	78
2015-02-18	$35.46	$35.00	45.5%	13.0%	29.6%	42.8%	46.7%	-18.1%	-2.6%	748	33.2K	-614	2.09	123.73	23	48	143	78
2015-02-19	$35.29	$35.00	62.2%	17.8%	29.4%	65.3%	0.0%	-47.6%	-31.0%	-635	80.7K	-677	0.00	133.13	0	0	143	89
2015-02-20	$35.43	$35.00	35.9%	10.3%	27.2%	30.0%	0.0%	-11.3%	-13.3%	-7.5K	94.3K	-618	0.00	127.83	16	0	143	89
2015-02-23	$35.35	$35.00	32.9%	9.4%	25.6%	26.0%	32.9%	3.2%	6.6%	-9.0K	90.5K	-614	1.77	124.86	30	53	28	89
2015-02-24	$35.59	$35.00	40.9%	11.7%	25.6%	36.8%	41.0%	-11.9%	-6.4%	-7.1K	87.1K	-848	1.89	125.60	28	53	38	100
2015-02-25	$35.28	$35.00	18.4%	5.3%	25.3%	6.5%	18.4%	20.9%	0.5%	-11.7K	106.9K	-775	1.89	119.61	28	53	39	100
2015-02-26	$35.54	$35.00	20.5%	5.9%	22.7%	9.4%	20.5%	0.6%	-3.1%	-10.9K	73.0K	-775	1.89	115.94	28	53	39	100
2015-02-27	$35.59	$35.00	32.4%	9.3%	21.6%	25.3%	32.7%	-7.0%	10.9%	-8.7K	107.4K	-916	1.47	125.08	32	47	39	111