CBU Options History — September 2015

In September 2015, CBU traded between $34.42 and $37.20. ATM implied volatility averaged 54.7%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 30.1% (HV 20d: 24.6%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.82.

Notable Days

2015-09-04: Highest Volume — 75 contracts
2015-09-24: Largest IV spike — 260.6% change
2015-09-08: Highest IV Rank — 49.6%
2015-09-02: Largest Expected Move — 25.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.79	$34.42	$37.20	$34.42	$37.20
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	54.7%	19.2%	105.5%	59.8%	28.7%
Expected Move	13.8%	5.5%	25.4%	17.1%	8.2%
HV 20d	24.6%	16.3%	27.4%	24.8%	16.3%
HV 60d	20.0%	19.7%	20.3%	19.9%	19.7%
IV Rank	21.2%	1.4%	49.6%	24.1%	6.7%
IV Percentile	58.4%	2.4%	98.4%	78.6%	21.0%
Term Structure	-15.6%	-42.2%	23.5%	-9.5%	-8.4%
VWIV	78.3%	75.1%	81.4%	81.4%	75.1%
Skew 25d	11.5%	-57.0%	57.8%	-23.6%	8.3%
Skew 10d	4.9%	-34.0%	53.8%	10.7%	8.5%
Call IV 25d	41.0%	16.1%	112.4%	112.4%	20.9%
Put IV 25d	52.5%	19.7%	122.6%	88.7%	29.2%
Bid-Ask Spread %	125.51	107.22	137.20	127.21	127.28
Gamma HHI	0.37	0.35	0.41	0.35	0.39
Net GEX	-877	-1.9K	115	-505	115
Net DEX	12.8K	-36.3K	51.9K	30.3K	-31.8K
Net VEX	-429	-524	-307	-337	-307
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.82	0.96	2.28	0.96	2.28
Total Volume	59.762	0	75	47	59
Total OI	86.571	65	98	65	98

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
2015-09-01	$34.42	$40.00	59.8%	17.1%	24.8%	24.1%	81.4%	-23.6%	-9.5%	-505	30.3K	-337	0.96	127.21	24	23	30	35
2015-09-02	$34.97	$40.00	88.7%	25.4%	25.7%	40.2%	75.1%	46.8%	-42.2%	-363	21.6K	-379	0.96	128.51	24	23	30	35
2015-09-03	$35.18	$0.00	91.9%	12.9%	25.9%	42.0%	0.0%	13.5%	-8.7%	-423	23.2K	-375	0.96	126.81	24	23	30	35
2015-09-04	$35.10	$0.00	88.1%	15.1%	25.7%	39.9%	0.0%	11.8%	-19.7%	-325	26.3K	-367	2.13	132.45	24	51	30	35
2015-09-08	$35.70	$0.00	105.5%	15.5%	26.7%	49.6%	0.0%	18.4%	-14.5%	-1.9K	35.5K	-524	0.00	134.78	0	0	30	65
2015-09-09	$35.43	$0.00	25.4%	7.3%	26.7%	4.9%	0.0%	3.1%	0.9%	-975	51.8K	-506	2.13	107.22	24	51	30	65
2015-09-10	$35.53	$0.00	23.8%	6.8%	26.1%	4.0%	0.0%	26.8%	-1.0%	-1.1K	51.9K	-452	2.13	116.67	24	51	30	65
2015-09-11	$35.34	$0.00	43.9%	12.6%	26.1%	15.2%	0.0%	28.2%	-10.6%	-1.3K	47.9K	-480	2.13	126.65	24	51	30	65
2015-09-14	$35.28	$0.00	19.2%	5.5%	25.8%	1.4%	0.0%	1.4%	23.5%	-1.4K	40.4K	-497	2.13	108.61	24	51	30	65
2015-09-15	$35.88	$0.00	59.6%	17.1%	26.7%	23.9%	0.0%	25.2%	-17.0%	-982	1.3K	-436	0.00	132.92	0	0	30	55
2015-09-16	$35.94	$0.00	47.6%	13.7%	26.7%	17.3%	0.0%	18.0%	-17.4%	-1.6K	-3.0K	-315	2.13	130.87	24	51	30	55
2015-09-17	$35.50	$0.00	62.7%	18.0%	26.8%	25.7%	0.0%	1.4%	-21.2%	-1.2K	10.2K	-489	2.13	132.07	24	51	30	55
2015-09-18	$35.26	$0.00	63.7%	18.3%	26.6%	26.3%	0.0%	57.8%	-21.2%	-1.1K	17.9K	-512	2.13	134.73	24	51	30	55
2015-09-21	$35.90	$0.00	69.2%	19.8%	27.4%	29.3%	0.0%	24.3%	-36.2%	-869	8.9K	-422	1.46	120.17	28	41	30	55
2015-09-22	$35.53	$0.00	22.2%	6.4%	22.7%	3.1%	0.0%	4.9%	-1.1%	-588	3.1K	-407	1.46	107.31	28	41	34	55
2015-09-23	$36.15	$0.00	21.0%	6.0%	23.1%	2.4%	0.0%	6.8%	-2.9%	-623	-295	-371	1.46	112.14	28	41	34	55
2015-09-24	$36.34	$0.00	75.7%	21.7%	21.0%	33.0%	0.0%	22.8%	-35.7%	-460	-7.3K	-467	1.46	130.38	28	41	34	60
2015-09-25	$36.94	$0.00	29.9%	8.6%	21.6%	7.4%	0.0%	-1.5%	-23.2%	-854	-1.8K	-517	2.05	125.24	20	41	34	60
2015-09-28	$37.10	$0.00	42.8%	12.3%	21.6%	14.6%	0.0%	-57.0%	-35.3%	-419	-36.3K	-353	2.28	136.43	18	41	36	60
2015-09-29	$36.89	$0.00	78.5%	22.5%	21.5%	34.5%	0.0%	4.2%	-26.2%	-1.5K	-20.2K	-498	2.28	137.20	18	41	37	61
2015-09-30	$37.20	$0.00	28.7%	8.2%	16.3%	6.7%	0.0%	8.3%	-8.4%	115	-31.8K	-307	2.28	127.28	18	41	37	61