CBU Options History — July 2015

In July 2015, CBU traded between $37.84 and $39.71. ATM implied volatility averaged 53.3%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 35.5% (HV 20d: 17.9%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 1.26.

Notable Days

2015-07-31: Highest Volume — 78 contracts
2015-07-07: Largest IV spike — 117.9% change
2015-07-08: Highest IV Rank — 40.7%
2015-07-02: Largest Expected Move — 19.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.62	$37.84	$39.71	$38.54	$38.13
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	53.3%	28.7%	89.6%	67.5%	28.7%
Expected Move	12.3%	6.5%	19.9%	19.3%	8.2%
HV 20d	17.9%	14.7%	20.0%	19.0%	14.7%
HV 60d	17.1%	16.7%	17.6%	17.1%	16.7%
IV Rank	20.5%	6.7%	40.7%	28.3%	6.7%
IV Percentile	65.5%	17.1%	96.8%	89.3%	17.1%
Term Structure	-12.8%	-55.2%	33.5%	-43.7%	0.6%
VWIV	42.9%	24.1%	72.5%	24.1%	35.6%
Skew 25d	-16.7%	-70.1%	13.7%	-70.1%	6.3%
Skew 10d	-12.3%	-57.9%	22.6%	-14.3%	-5.9%
Call IV 25d	53.0%	17.4%	100.3%	100.3%	17.4%
Put IV 25d	36.2%	17.5%	86.8%	30.1%	23.7%
Bid-Ask Spread %	127.69	119.01	131.80	130.13	126.54
Gamma HHI	0.46	0.40	0.56	0.41	0.49
Net GEX	274	-1.4K	1.9K	101	770
Net DEX	-74.8K	-114.5K	-47.9K	-74.8K	-65.9K
Net VEX	-531	-674	-416	-674	-432
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.26	1.24	1.36	1.24	1.36
Total Volume	75.682	75	78	76	78
Total OI	126.773	126	129	129	127

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
2015-07-01	$38.54	$0.00	67.5%	19.3%	19.0%	28.3%	0.0%	-70.1%	-43.7%	101	-74.8K	-674	1.24	130.13	34	42	51	78
2015-07-02	$37.85	$0.00	69.4%	19.9%	20.0%	29.4%	0.0%	-65.3%	-55.2%	351	-77.1K	-582	1.24	127.20	34	42	48	78
2015-07-06	$38.06	$35.00	39.1%	6.6%	18.0%	12.5%	24.1%	-1.5%	-2.4%	-1.4K	-47.9K	-501	1.24	119.01	34	42	48	78
2015-07-07	$38.06	$35.00	85.1%	6.6%	17.9%	38.2%	30.5%	11.6%	9.1%	502	-81.0K	-522	1.24	125.52	34	42	48	78
2015-07-08	$37.84	$35.00	89.6%	8.0%	18.0%	40.7%	29.2%	3.5%	-5.8%	646	-79.0K	-464	1.24	130.35	34	42	48	78
2015-07-09	$38.26	$35.00	48.8%	6.5%	17.8%	17.9%	29.5%	-5.8%	2.4%	252	-65.6K	-557	1.24	122.13	34	42	48	78
2015-07-10	$38.76	$35.00	39.8%	11.9%	18.2%	12.9%	32.8%	-39.3%	-15.4%	-35	-53.4K	-633	1.24	129.04	34	42	48	78
2015-07-13	$38.89	$35.00	66.3%	10.1%	18.2%	27.7%	34.2%	-27.5%	-3.3%	114	-75.7K	-523	1.24	128.37	34	42	48	78
2015-07-14	$39.02	$35.00	76.9%	12.2%	17.9%	33.6%	31.9%	13.7%	-17.5%	622	-92.1K	-534	1.24	131.80	34	42	48	78
2015-07-15	$39.06	$35.00	50.4%	14.4%	17.8%	18.8%	64.9%	2.1%	-25.1%	-340	-72.8K	-596	1.24	131.15	34	42	48	78
2015-07-16	$39.45	$35.00	50.0%	14.3%	16.1%	18.6%	66.1%	1.8%	-23.9%	609	-78.2K	-579	1.24	129.39	34	42	50	78
2015-07-17	$38.94	$35.00	44.9%	12.9%	17.1%	15.7%	34.8%	-2.7%	-31.1%	1.1K	-82.2K	-525	1.24	131.44	34	42	50	78
2015-07-20	$39.62	$35.00	56.1%	16.1%	17.6%	22.0%	52.9%	13.6%	-12.2%	267	-73.9K	-568	1.27	122.53	33	42	49	78
2015-07-21	$39.44	$35.00	53.8%	15.4%	17.7%	20.7%	45.1%	-30.0%	-10.8%	303	-87.5K	-532	1.27	127.25	33	42	49	78
2015-07-22	$39.71	$35.00	54.0%	15.5%	17.6%	20.8%	57.7%	-40.1%	-30.8%	101	-77.0K	-552	1.27	131.76	33	42	49	78
2015-07-23	$38.91	$35.00	34.9%	10.0%	19.3%	10.2%	42.6%	-46.8%	-7.8%	1.9K	-114.5K	-416	1.27	126.19	33	42	49	78
2015-07-24	$38.42	$35.00	57.3%	16.4%	19.9%	22.7%	72.5%	1.1%	-26.5%	267	-76.6K	-521	1.27	130.00	33	42	49	78
2015-07-27	$38.20	$35.00	28.9%	8.3%	19.4%	6.8%	35.3%	-8.1%	32.8%	146	-80.3K	-466	1.27	126.83	33	42	49	78
2015-07-28	$38.26	$35.00	54.5%	15.6%	17.6%	21.1%	49.3%	-50.5%	-27.2%	-4	-62.4K	-532	1.27	124.88	33	42	49	78
2015-07-29	$38.16	$35.00	33.1%	9.5%	17.6%	9.2%	40.2%	-4.8%	33.5%	-185	-61.1K	-493	1.27	128.82	33	42	49	78
2015-07-30	$38.14	$35.00	44.1%	12.6%	16.1%	15.3%	49.1%	-29.2%	-21.6%	-161	-66.4K	-476	1.27	128.88	33	42	49	78
2015-07-31	$38.13	$35.00	28.7%	8.2%	14.7%	6.7%	35.6%	6.3%	0.6%	770	-65.9K	-432	1.36	126.54	33	45	49	78