CBU Options History — May 2015

In May 2015, CBU traded between $34.59 and $35.91. ATM implied volatility averaged 70.5%, placing in the 40.1% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 54.0% (HV 20d: 16.5%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 3.78.

Notable Days

2015-05-20: Highest Volume — 171 contracts
2015-05-04: Largest IV spike — 402.8% change
2015-05-08: Highest IV Rank — 100.0%
2015-05-29: Largest Expected Move — 21.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.31	$34.59	$35.91	$34.59	$35.39
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	70.5%	20.5%	195.7%	20.5%	74.7%
Expected Move	13.8%	5.9%	21.4%	5.9%	21.4%
HV 20d	16.5%	13.9%	17.6%	17.6%	13.9%
HV 60d	16.1%	15.3%	17.3%	17.3%	16.0%
IV Rank	40.1%	2.5%	100.0%	5.6%	32.5%
IV Percentile	69.8%	7.5%	100.0%	8.3%	93.7%
Term Structure	-12.1%	-29.7%	29.5%	29.5%	-23.9%
VWIV	48.4%	19.7%	74.9%	19.7%	74.9%
Skew 25d	8.6%	-37.6%	93.2%	0.3%	4.0%
Skew 10d	16.1%	-30.8%	131.3%	3.1%	17.7%
Call IV 25d	53.0%	20.9%	100.5%	26.5%	100.5%
Put IV 25d	61.6%	23.6%	127.1%	26.8%	104.5%
Bid-Ask Spread %	128.82	113.06	135.57	113.06	133.81
Gamma HHI	0.66	0.38	0.96	0.77	0.64
Net GEX	-20.2K	-145.2K	-2.4K	-20.4K	-9.9K
Net DEX	141.3K	15.8K	304.5K	116.4K	194.6K
Net VEX	-1.1K	-1.3K	-804	-1.2K	-1.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.78	0.82	21.80	1.11	4.52
Total Volume	112.4	0	171	137	171
Total OI	227.25	120	235	235	230

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
2015-05-01	$34.59	$35.00	20.5%	5.9%	17.6%	5.6%	19.7%	0.3%	29.5%	-20.4K	116.4K	-1.2K	1.11	113.06	65	72	82	153
2015-05-04	$34.79	$0.00	103.1%	14.2%	17.3%	93.8%	0.0%	16.9%	-18.2%	-5.6K	132.9K	-1.2K	0.00	135.37	0	0	82	153
2015-05-05	$34.78	$0.00	91.7%	15.2%	17.2%	81.6%	0.0%	19.4%	-16.6%	-6.8K	152.5K	-1.2K	0.82	130.26	65	53	82	153
2015-05-06	$35.11	$0.00	63.1%	15.8%	17.5%	51.1%	0.0%	-0.8%	-29.7%	-10.4K	115.3K	-1.1K	0.82	130.87	65	53	82	153
2015-05-07	$35.00	$0.00	74.9%	15.4%	17.5%	63.7%	0.0%	2.9%	-22.9%	-19.2K	133.8K	-1.1K	0.82	132.54	65	53	82	153
2015-05-08	$35.13	$0.00	127.0%	15.0%	17.6%	100.0%	0.0%	-37.6%	-14.5%	-5.1K	109.8K	-1.1K	0.00	129.26	0	0	82	153
2015-05-11	$35.46	$0.00	166.9%	15.3%	17.4%	100.0%	0.0%	25.6%	-19.9%	-5.3K	104.6K	-1.0K	0.00	133.68	0	0	82	153
2015-05-12	$35.39	$0.00	195.7%	17.2%	17.1%	100.0%	0.0%	3.5%	-24.2%	-4.9K	82.0K	-1.1K	0.82	129.31	65	53	82	153
2015-05-13	$35.55	$0.00	57.6%	16.5%	16.6%	22.9%	0.0%	3.0%	-29.2%	-31.5K	15.8K	-1.0K	0.82	132.59	65	53	82	153
2015-05-14	$35.54	$0.00	22.6%	6.5%	16.6%	3.4%	0.0%	1.7%	-3.8%	-31.3K	43.4K	-856	0.82	115.75	65	53	82	153
2015-05-15	$34.96	$0.00	21.1%	6.0%	16.4%	2.5%	0.0%	21.6%	-0.4%	-145.2K	304.5K	-828	1.14	115.08	43	49	82	153
2015-05-18	$35.71	$0.00	21.3%	6.1%	16.8%	2.6%	24.0%	15.0%	22.8%	-2.4K	27.3K	-804	21.80	126.22	5	109	45	75
2015-05-19	$35.91	$35.00	59.5%	17.0%	16.8%	23.9%	0.0%	17.4%	-15.2%	-11.1K	178.8K	-1.3K	0.00	134.29	0	0	50	180
2015-05-20	$35.74	$35.00	32.2%	9.2%	16.7%	8.7%	28.5%	-24.3%	-8.6%	-18.1K	129.0K	-1.1K	4.52	131.20	31	140	50	180
2015-05-21	$35.55	$35.00	62.3%	17.9%	16.8%	25.5%	62.5%	2.8%	-17.6%	-9.4K	168.4K	-1.3K	4.52	135.57	31	140	50	180
2015-05-22	$35.26	$35.00	47.0%	13.5%	15.7%	17.0%	54.9%	93.2%	5.1%	-20.2K	236.8K	-1.2K	4.52	131.44	31	140	50	180
2015-05-26	$35.12	$35.00	26.6%	7.6%	15.7%	5.6%	26.6%	-2.7%	-6.0%	-25.7K	233.4K	-1.0K	4.52	118.55	31	140	50	180
2015-05-27	$35.54	$35.00	70.3%	20.2%	14.8%	30.0%	70.9%	6.5%	-23.4%	-10.1K	172.5K	-1.1K	4.52	133.96	31	140	50	180
2015-05-28	$35.64	$35.00	72.6%	20.8%	14.5%	31.3%	73.3%	3.8%	-24.5%	-10.3K	173.5K	-1.1K	4.52	133.66	31	140	50	180
2015-05-29	$35.39	$35.00	74.7%	21.4%	13.9%	32.5%	74.9%	4.0%	-23.9%	-9.9K	194.6K	-1.2K	4.52	133.81	31	140	50	180