CBU Options History — April 2015

In April 2015, CBU traded between $34.92 and $35.86. ATM implied volatility averaged 50.7%, placing in the 39.9% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 35.4% (HV 20d: 15.3%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.74.

Notable Days

2015-04-30: Highest Volume — 137 contracts
2015-04-06: Largest IV spike — 366.3% change
2015-04-06: Highest IV Rank — 100.0%
2015-04-30: Largest Expected Move — 26.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.32	$34.92	$35.86	$35.18	$34.97
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	50.7%	16.9%	108.9%	87.5%	91.7%
Expected Move	13.3%	4.8%	26.3%	25.1%	26.3%
HV 20d	15.3%	11.8%	18.1%	17.5%	17.3%
HV 60d	20.3%	17.3%	22.4%	22.4%	17.3%
IV Rank	39.9%	3.2%	100.0%	99.2%	81.7%
IV Percentile	61.5%	3.2%	100.0%	99.6%	99.6%
Term Structure	-15.0%	-48.7%	25.0%	-32.7%	-48.7%
VWIV	44.3%	16.2%	88.1%	88.1%	84.9%
Skew 25d	14.7%	-13.4%	43.2%	3.7%	11.0%
Skew 10d	9.3%	-72.1%	63.3%	-6.9%	-41.1%
Call IV 25d	42.6%	21.3%	117.2%	117.2%	47.1%
Put IV 25d	57.4%	23.3%	120.9%	120.9%	58.2%
Bid-Ask Spread %	126.61	115.79	132.24	131.79	130.69
Gamma HHI	0.65	0.50	0.81	0.51	0.54
Net GEX	-10.8K	-19.9K	-4.0K	-4.0K	-5.6K
Net DEX	92.0K	44.6K	132.3K	77.6K	107.7K
Net VEX	-935	-1.2K	-742	-995	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.74	1.11	2.10	1.93	1.11
Total Volume	95.19	0	137	85	137
Total OI	195.476	152	219	177	219

Daily Data (21 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
2015-04-01	$35.18	$35.00	87.5%	25.1%	17.5%	99.2%	88.1%	3.7%	-32.7%	-4.0K	77.6K	-995	1.93	131.79	29	56	56	121
2015-04-02	$35.32	$35.00	23.4%	7.0%	17.5%	12.9%	23.6%	2.9%	-3.0%	-10.3K	85.0K	-928	1.93	116.47	29	56	56	121
2015-04-06	$34.92	$35.00	108.9%	16.4%	18.0%	100.0%	51.1%	31.0%	-19.0%	-4.3K	95.3K	-961	1.93	131.05	29	56	56	121
2015-04-07	$35.14	$35.00	70.6%	9.5%	18.1%	59.7%	28.2%	6.8%	-12.4%	-7.6K	99.5K	-880	1.93	121.77	29	56	56	121
2015-04-08	$35.07	$35.00	53.5%	15.3%	16.7%	41.8%	0.0%	-2.6%	-32.8%	-6.7K	101.4K	-823	0.00	131.87	0	0	56	121
2015-04-09	$34.97	$35.00	31.3%	9.0%	16.7%	18.4%	31.0%	16.3%	-10.2%	-10.7K	105.1K	-856	1.46	118.72	39	57	56	121
2015-04-10	$35.03	$35.00	29.3%	8.4%	11.8%	16.3%	28.6%	2.9%	-10.8%	-11.2K	106.6K	-887	1.46	132.24	39	57	66	131
2015-04-13	$35.44	$35.00	65.7%	18.8%	12.5%	54.6%	56.6%	0.3%	-44.5%	-8.2K	107.3K	-815	1.46	128.13	39	57	66	131
2015-04-14	$35.16	$35.00	29.4%	8.4%	12.8%	16.5%	28.5%	-3.2%	-24.5%	-12.5K	84.1K	-768	1.46	128.96	39	57	66	131
2015-04-15	$35.61	$35.00	47.5%	13.6%	13.3%	35.4%	42.5%	16.9%	-23.7%	-10.9K	44.6K	-831	1.46	130.82	39	57	66	131
2015-04-16	$35.64	$35.00	21.8%	6.2%	11.9%	8.4%	21.9%	21.5%	-4.6%	-17.2K	54.0K	-742	1.59	118.30	39	62	66	131
2015-04-17	$35.01	$35.00	21.7%	6.2%	13.5%	8.3%	21.6%	36.0%	-3.2%	-11.2K	103.8K	-809	1.59	115.79	39	62	66	136
2015-04-20	$35.67	$35.00	18.0%	5.2%	15.1%	4.5%	17.8%	15.1%	25.0%	-17.3K	75.7K	-796	2.10	123.22	29	61	46	106
2015-04-21	$35.50	$35.00	16.9%	4.8%	15.2%	3.2%	16.2%	8.6%	18.7%	-19.9K	56.1K	-860	2.10	128.79	29	61	56	136
2015-04-22	$35.77	$35.00	21.4%	6.1%	15.3%	8.0%	21.6%	36.3%	22.9%	-17.4K	95.5K	-971	1.89	119.00	38	72	56	142
2015-04-23	$35.86	$35.00	72.5%	20.8%	14.0%	61.8%	72.1%	32.7%	-23.4%	-5.5K	86.7K	-1.2K	1.89	131.76	38	72	66	153
2015-04-24	$35.21	$35.00	46.4%	13.3%	15.6%	34.3%	57.0%	21.1%	-9.7%	-10.1K	132.3K	-1.2K	1.89	130.18	38	72	66	153
2015-04-27	$35.09	$35.00	47.7%	13.7%	15.7%	35.7%	34.4%	-13.4%	-35.4%	-19.9K	104.6K	-1.1K	1.89	130.94	38	72	66	153
2015-04-28	$35.75	$35.00	84.6%	24.3%	16.5%	74.0%	82.7%	22.2%	-28.2%	-7.8K	101.1K	-1.0K	1.89	129.73	38	72	66	153
2015-04-29	$35.43	$35.00	74.6%	21.4%	16.8%	63.4%	77.2%	43.2%	-14.1%	-8.5K	108.7K	-1.1K	1.89	128.54	38	72	66	153
2015-04-30	$34.97	$35.00	91.7%	26.3%	17.3%	81.7%	84.9%	11.0%	-48.7%	-5.6K	107.7K	-1.1K	1.11	130.69	65	72	66	153