CBU Options History — October 2015

In October 2015, CBU traded between $36.62 and $41.49. ATM implied volatility averaged 42.7%, placing in the 14.5% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 21.8% (HV 20d: 20.9%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 2.05.

Notable Days

2015-10-30: Highest Volume — 69 contracts
2015-10-09: Largest IV spike — 344.9% change
2015-10-12: Highest IV Rank — 73.7%
2015-10-01: Largest Expected Move — 14.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.96	$36.62	$41.49	$36.76	$40.77
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	42.7%	18.6%	148.7%	50.3%	34.3%
Expected Move	9.1%	5.3%	14.4%	14.4%	9.8%
HV 20d	20.9%	16.6%	27.6%	16.6%	27.6%
HV 60d	21.4%	19.7%	24.3%	19.8%	24.3%
IV Rank	14.5%	1.1%	73.7%	18.8%	9.8%
IV Percentile	36.7%	2.4%	99.2%	61.9%	34.5%
Term Structure	-8.9%	-51.0%	24.0%	-51.0%	-24.5%
VWIV	30.2%	18.7%	50.7%	47.9%	29.3%
Skew 25d	7.9%	-45.8%	47.8%	-45.8%	-4.0%
Skew 10d	13.6%	-9.9%	60.8%	-2.6%	3.0%
Call IV 25d	29.9%	18.8%	102.5%	102.5%	25.7%
Put IV 25d	37.8%	16.5%	69.6%	56.7%	21.7%
Bid-Ask Spread %	121.76	104.68	132.75	132.75	123.89
Gamma HHI	0.60	0.34	0.81	0.36	0.65
Net GEX	3.3K	-1.3K	8.1K	-1.1K	3.7K
Net DEX	-84.0K	-151.7K	-10.1K	-18.6K	-126.2K
Net VEX	-396	-538	-269	-393	-441
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.05	1.52	2.83	2.28	2.83
Total Volume	60.909	0	69	59	69
Total OI	107.773	98	118	98	118

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
2015-10-01	$36.76	$0.00	50.3%	14.4%	16.6%	18.8%	0.0%	-45.8%	-51.0%	-1.1K	-18.6K	-393	2.28	132.75	18	41	37	61
2015-10-02	$36.62	$0.00	48.8%	14.0%	16.7%	17.9%	0.0%	-4.4%	-46.6%	-393	-10.1K	-471	2.28	132.37	18	41	37	61
2015-10-05	$37.54	$35.00	45.7%	10.0%	18.4%	16.2%	0.0%	-10.4%	-41.7%	-1.3K	-40.4K	-303	0.00	131.75	0	0	37	61
2015-10-06	$37.50	$35.00	31.7%	12.7%	17.8%	8.4%	47.9%	31.4%	4.0%	-458	-29.5K	-504	1.71	119.08	24	41	37	61
2015-10-07	$38.18	$35.00	26.7%	10.9%	18.2%	5.6%	46.4%	47.8%	-4.7%	1.2K	-60.3K	-538	1.71	116.69	24	41	44	61
2015-10-08	$38.70	$35.00	23.1%	5.7%	18.5%	3.5%	21.4%	-4.8%	-1.5%	3.3K	-75.9K	-350	1.71	104.68	24	41	44	61
2015-10-09	$38.60	$35.00	102.6%	10.3%	18.3%	48.0%	32.4%	2.3%	-14.2%	1.9K	-78.9K	-473	1.71	127.14	24	41	44	61
2015-10-12	$38.75	$35.00	148.7%	8.5%	18.2%	73.7%	35.9%	31.9%	-6.2%	3.1K	-71.4K	-362	1.71	120.60	24	41	44	61
2015-10-13	$38.52	$35.00	96.6%	8.6%	18.0%	44.6%	23.1%	29.6%	-5.4%	3.5K	-74.6K	-304	1.71	126.31	24	41	44	61
2015-10-14	$37.62	$35.00	22.9%	6.6%	20.4%	3.5%	19.5%	0.2%	3.7%	3.8K	-74.5K	-342	1.71	125.80	24	41	44	61
2015-10-15	$38.76	$35.00	18.6%	5.3%	21.8%	1.1%	18.7%	31.8%	-0.0%	4.2K	-76.9K	-269	1.71	108.29	24	41	44	61
2015-10-16	$38.70	$35.00	21.4%	6.1%	21.6%	2.6%	22.1%	-4.2%	-4.8%	3.6K	-74.5K	-344	1.71	116.55	24	41	44	61
2015-10-19	$38.80	$35.00	19.4%	5.6%	21.0%	1.5%	21.2%	-3.6%	24.0%	3.8K	-77.0K	-313	1.52	117.44	27	41	44	61
2015-10-20	$39.02	$35.00	44.5%	12.8%	20.3%	15.5%	50.7%	4.9%	-28.3%	3.2K	-98.3K	-445	1.52	122.43	27	41	51	61
2015-10-21	$38.65	$35.00	19.7%	5.7%	20.3%	1.7%	22.2%	-2.9%	4.7%	5.0K	-91.9K	-431	2.41	106.88	17	41	51	61
2015-10-22	$39.60	$35.00	20.3%	5.8%	21.6%	2.0%	21.0%	3.3%	5.4%	5.9K	-109.7K	-403	2.28	126.27	18	41	51	61
2015-10-23	$40.85	$35.00	34.9%	10.0%	23.3%	10.2%	24.1%	42.0%	-2.4%	7.8K	-129.9K	-400	2.28	118.88	18	41	52	61
2015-10-26	$40.33	$35.00	19.8%	5.7%	24.1%	1.7%	19.3%	36.0%	15.5%	8.1K	-125.6K	-386	2.56	122.12	18	46	52	61
2015-10-27	$39.91	$35.00	32.7%	9.4%	24.5%	9.0%	32.9%	4.0%	-0.5%	4.2K	-118.7K	-440	2.56	125.81	18	46	52	66
2015-10-28	$41.44	$35.00	42.2%	12.1%	27.2%	14.2%	43.3%	-19.3%	-7.5%	3.6K	-133.6K	-441	2.56	129.08	18	46	52	66
2015-10-29	$41.49	$35.00	35.3%	10.1%	26.5%	10.4%	43.0%	9.0%	-14.5%	5.0K	-151.7K	-354	2.56	124.01	18	46	52	66
2015-10-30	$40.77	$35.00	34.3%	9.8%	27.6%	9.8%	29.3%	-4.0%	-24.5%	3.7K	-126.2K	-441	2.83	123.89	18	51	52	66