CBU Options History — August 2015

In August 2015, CBU traded between $34.39 and $38.51. ATM implied volatility averaged 43.9%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 28.3% (HV 20d: 15.6%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.35.

Notable Days

2015-08-14: Highest Volume — 93 contracts
2015-08-31: Largest IV spike — 235.5% change
2015-08-31: Highest IV Rank — 40.4%
2015-08-31: Largest Expected Move — 25.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.77	$34.39	$38.51	$38.21	$35.69
Max Pain	$39.21	$35.00	$40.00	$35.00	$40.00
ATM IV	43.9%	18.0%	89.0%	63.5%	89.0%
Expected Move	12.6%	5.1%	25.5%	18.2%	25.5%
HV 20d	15.6%	10.8%	22.1%	14.6%	22.1%
HV 60d	17.3%	16.5%	19.4%	16.7%	18.5%
IV Rank	15.2%	0.7%	40.4%	26.1%	40.4%
IV Percentile	46.9%	0.8%	96.4%	84.5%	96.4%
Term Structure	-17.5%	-62.0%	11.2%	-30.2%	-33.7%
VWIV	42.9%	19.6%	98.0%	98.0%	71.6%
Skew 25d	2.2%	-44.3%	67.5%	1.6%	-44.3%
Skew 10d	8.3%	-52.3%	58.9%	14.3%	10.5%
Call IV 25d	51.9%	14.2%	102.5%	97.9%	91.4%
Put IV 25d	54.0%	18.5%	104.9%	99.5%	47.1%
Bid-Ask Spread %	125.69	106.06	134.18	134.18	125.55
Gamma HHI	0.47	0.38	0.58	0.41	0.42
Net GEX	-838	-2.7K	3.0K	-1.1K	213
Net DEX	-9.5K	-82.0K	45.8K	-41.1K	15.7K
Net VEX	-428	-558	-310	-558	-363
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.35	0.96	1.73	1.36	0.96
Total Volume	63.619	0	93	0	47
Total OI	116.571	65	143	130	65

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
2015-08-03	$38.21	$35.00	63.5%	18.2%	14.6%	26.1%	0.0%	1.6%	-30.2%	-1.1K	-41.1K	-558	0.00	134.18	0	0	49	81
2015-08-04	$38.28	$35.00	72.2%	20.7%	14.6%	31.0%	98.0%	2.4%	-62.0%	-913	-40.7K	-551	1.36	132.93	33	45	49	81
2015-08-05	$38.51	$35.00	20.3%	5.8%	14.5%	2.0%	40.3%	67.5%	2.5%	3.0K	-82.0K	-364	1.36	121.12	33	45	49	81
2015-08-06	$38.23	$0.00	22.3%	12.0%	14.3%	3.1%	0.0%	41.0%	-7.9%	902	-73.7K	-430	1.36	125.59	33	45	49	81
2015-08-07	$37.77	$0.00	41.2%	11.9%	14.0%	13.7%	22.6%	1.6%	-20.3%	-996	-50.0K	-483	1.67	129.68	33	55	49	81
2015-08-10	$37.88	$40.00	66.9%	13.7%	14.0%	28.0%	36.1%	2.8%	-25.6%	-1.9K	-30.1K	-505	1.67	132.88	33	55	49	91
2015-08-11	$37.67	$40.00	45.9%	14.0%	14.0%	16.3%	0.0%	3.6%	-31.3%	-1.6K	-19.0K	-485	0.00	132.56	0	5	49	91
2015-08-12	$36.96	$40.00	34.7%	10.0%	15.2%	10.1%	37.8%	-14.5%	-17.5%	-2.6K	1.6K	-487	1.67	132.41	33	55	49	86
2015-08-13	$36.96	$40.00	18.0%	5.1%	14.5%	0.7%	19.6%	6.4%	4.2%	-2.7K	-1.4K	-352	1.73	106.06	33	57	49	86
2015-08-14	$37.26	$40.00	53.5%	15.3%	14.6%	20.6%	35.0%	-21.1%	-21.0%	-1.7K	-15.8K	-503	1.58	126.76	36	57	49	91
2015-08-17	$37.35	$40.00	33.9%	9.7%	12.8%	9.6%	36.1%	-36.6%	-14.7%	-2.1K	-3.9K	-516	1.58	129.20	36	57	52	91
2015-08-18	$37.12	$40.00	29.2%	8.4%	12.8%	7.0%	36.4%	-6.2%	-24.0%	-2.4K	-18.6K	-428	1.58	132.43	36	57	52	91
2015-08-19	$36.78	$40.00	59.4%	17.0%	12.4%	23.8%	0.0%	30.3%	-23.7%	-2.7K	14.4K	-452	0.00	133.73	0	0	52	91
2015-08-20	$36.30	$40.00	62.8%	18.0%	11.4%	25.7%	40.6%	1.8%	-37.4%	-645	-34.6K	-419	1.58	127.81	36	57	52	91
2015-08-21	$36.19	$40.00	28.8%	8.3%	10.8%	6.8%	45.0%	20.2%	-12.9%	-538	3.5K	-312	1.47	124.25	36	53	52	91
2015-08-24	$34.66	$40.00	65.6%	18.8%	17.9%	27.3%	57.4%	8.7%	-20.7%	-466	27.0K	-416	0.96	129.94	24	23	30	38
2015-08-25	$34.39	$40.00	25.4%	7.3%	17.8%	4.8%	39.3%	2.2%	-1.3%	-129	45.8K	-310	0.96	120.97	24	23	30	35
2015-08-26	$35.39	$40.00	35.0%	10.0%	21.5%	10.2%	44.1%	-26.0%	11.2%	175	33.5K	-361	0.96	120.64	24	23	30	35
2015-08-27	$35.24	$40.00	26.8%	7.7%	21.5%	5.6%	37.2%	2.3%	-1.0%	223	34.7K	-341	0.96	112.17	24	23	30	35
2015-08-28	$35.31	$40.00	26.5%	7.6%	21.5%	5.5%	31.3%	2.0%	0.4%	220	36.1K	-343	0.96	108.60	24	23	30	35
2015-08-31	$35.69	$40.00	89.0%	25.5%	22.1%	40.4%	71.6%	-44.3%	-33.7%	213	15.7K	-363	0.96	125.55	24	23	30	35