CBU Options History — June 2015

In June 2015, CBU traded between $35.06 and $38.51. ATM implied volatility averaged 47.2%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 29.9% (HV 20d: 17.2%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.56.

Notable Days

2015-06-01: Highest Volume — 171 contracts
2015-06-04: Largest IV spike — 355.2% change
2015-06-04: Highest IV Rank — 41.7%
2015-06-02: Largest Expected Move — 24.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.06	$35.06	$38.51	$35.06	$37.79
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	47.2%	20.1%	91.4%	65.0%	64.4%
Expected Move	12.2%	5.8%	24.9%	18.6%	18.5%
HV 20d	17.2%	13.7%	19.0%	13.7%	18.4%
HV 60d	16.2%	15.7%	17.2%	16.2%	16.7%
IV Rank	17.1%	1.9%	41.7%	27.1%	26.6%
IV Percentile	54.6%	4.0%	97.2%	89.3%	87.7%
Term Structure	-14.0%	-72.7%	24.9%	-32.1%	-72.7%
VWIV	41.4%	20.0%	62.7%	62.7%	20.0%
Skew 25d	-13.6%	-70.5%	30.1%	-1.2%	-54.0%
Skew 10d	2.8%	-38.6%	47.1%	13.0%	-11.1%
Call IV 25d	57.0%	15.8%	113.0%	102.6%	78.6%
Put IV 25d	43.4%	15.6%	117.4%	101.3%	24.6%
Bid-Ask Spread %	132.54	122.86	137.58	127.65	135.34
Gamma HHI	0.60	0.36	0.86	0.67	0.53
Net GEX	-9.6K	-35.2K	2.1K	-12.2K	2.1K
Net DEX	54.9K	-89.8K	200.1K	200.1K	-89.8K
Net VEX	-900	-1.2K	-513	-1.1K	-513
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.56	1.31	4.52	4.52	1.31
Total Volume	77.227	0	171	171	74
Total OI	204.864	129	245	230	129

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
2015-06-01	$35.06	$35.00	65.0%	18.6%	13.7%	27.1%	62.7%	-1.2%	-32.1%	-12.2K	200.1K	-1.1K	4.52	127.65	31	140	50	180
2015-06-02	$35.64	$35.00	86.8%	24.9%	14.7%	39.2%	0.0%	4.3%	-38.6%	-9.4K	191.9K	-1.1K	0.00	128.48	0	0	50	180
2015-06-03	$36.10	$35.00	20.1%	5.8%	15.3%	1.9%	20.0%	-43.1%	-0.1%	-35.2K	123.2K	-951	1.48	124.03	31	46	50	180
2015-06-04	$35.74	$0.00	91.4%	12.6%	15.6%	41.7%	0.0%	5.6%	-11.6%	-9.8K	184.7K	-1.2K	1.48	131.82	31	46	50	195
2015-06-05	$36.70	$0.00	60.4%	12.3%	17.9%	24.5%	0.0%	25.5%	-7.9%	-15.3K	118.7K	-1.1K	1.48	131.61	31	46	50	195
2015-06-08	$36.61	$0.00	63.8%	14.1%	18.0%	26.4%	0.0%	30.1%	-16.1%	-15.2K	141.7K	-1.1K	1.48	133.40	31	46	50	195
2015-06-09	$36.89	$0.00	66.2%	13.7%	17.9%	27.7%	0.0%	16.9%	-15.4%	-15.1K	138.8K	-1.1K	1.48	132.60	31	46	50	195
2015-06-10	$37.39	$0.00	38.5%	11.0%	18.3%	12.2%	0.0%	1.2%	-8.7%	-13.9K	95.1K	-1.0K	1.48	128.97	31	46	50	195
2015-06-11	$37.26	$0.00	53.4%	15.3%	18.4%	20.6%	0.0%	10.0%	-5.7%	-13.3K	96.6K	-1.0K	1.48	137.52	31	46	50	195
2015-06-12	$37.28	$0.00	27.4%	7.9%	18.4%	6.0%	0.0%	-28.5%	-11.9%	-16.4K	81.3K	-980	1.48	133.44	31	46	45	195
2015-06-15	$37.05	$0.00	29.8%	8.5%	17.3%	7.4%	0.0%	-43.0%	-17.2%	-15.4K	108.2K	-945	1.39	129.18	31	43	45	195
2015-06-16	$37.35	$0.00	29.6%	8.5%	16.1%	7.3%	0.0%	-2.8%	-14.9%	-16.5K	77.1K	-924	1.39	136.67	31	43	45	197
2015-06-17	$36.65	$0.00	31.6%	9.0%	17.7%	8.4%	0.0%	-38.4%	-18.8%	-18.8K	103.8K	-891	1.39	136.11	31	43	45	197
2015-06-18	$36.89	$0.00	31.0%	8.9%	17.6%	8.0%	0.0%	-21.1%	-20.1%	-2.6K	-5.8K	-792	1.68	133.49	31	52	45	197
2015-06-19	$37.32	$0.00	33.9%	9.7%	17.8%	9.6%	0.0%	1.5%	-11.6%	-1.9K	-26.7K	-601	1.41	122.86	37	52	45	193
2015-06-22	$37.64	$0.00	25.9%	7.4%	17.4%	5.2%	0.0%	0.8%	12.1%	-120	-60.5K	-719	1.31	135.39	32	42	51	78
2015-06-23	$37.98	$0.00	26.0%	7.4%	17.3%	5.2%	0.0%	8.1%	24.6%	-64	-65.8K	-719	1.31	137.58	32	42	51	78
2015-06-24	$37.86	$0.00	26.3%	7.5%	17.2%	5.4%	0.0%	3.1%	24.9%	55	-51.1K	-706	1.31	135.13	32	42	51	78
2015-06-25	$38.01	$0.00	44.0%	12.6%	17.2%	15.3%	0.0%	-39.1%	-9.8%	-410	-52.8K	-745	1.31	135.43	32	42	51	78
2015-06-26	$38.51	$0.00	58.9%	16.9%	17.1%	23.6%	0.0%	-64.8%	-32.5%	65	-71.3K	-701	1.31	134.17	32	42	51	78
2015-06-29	$37.66	$0.00	63.2%	18.1%	19.0%	26.0%	0.0%	-70.5%	-24.3%	-864	-28.7K	-767	1.31	134.97	32	42	51	78
2015-06-30	$37.79	$0.00	64.4%	18.5%	18.4%	26.6%	0.0%	-54.0%	-72.7%	2.1K	-89.8K	-513	1.31	135.34	32	42	51	78