CBU Options History — November 2015

In November 2015, CBU traded between $40.75 and $43.13. ATM implied volatility averaged 31.9%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 6.5% (HV 20d: 25.4%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 6.77.

Notable Days

2015-11-13: Highest Volume — 200 contracts
2015-11-06: Largest IV spike — 227.2% change
2015-11-09: Highest IV Rank — 38.2%
2015-11-06: Largest Expected Move — 11.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.03	$40.75	$43.13	$40.75	$43.13
Max Pain	$39.25	$35.00	$40.00	$35.00	$40.00
ATM IV	31.9%	18.1%	85.2%	35.3%	34.0%
Expected Move	8.1%	5.2%	11.7%	10.1%	9.8%
HV 20d	25.4%	18.7%	27.7%	26.7%	18.7%
HV 60d	23.6%	21.3%	25.3%	24.2%	21.3%
IV Rank	8.5%	0.8%	38.2%	10.4%	9.7%
IV Percentile	27.0%	1.6%	92.1%	37.3%	35.3%
Term Structure	-3.5%	-27.1%	14.1%	-4.1%	11.1%
VWIV	25.6%	20.3%	37.6%	37.6%	23.2%
Skew 25d	3.5%	-33.9%	13.7%	5.8%	-9.2%
Skew 10d	11.5%	-1.1%	52.8%	14.6%	-1.1%
Call IV 25d	22.7%	12.9%	60.7%	29.9%	37.5%
Put IV 25d	26.2%	18.5%	35.7%	35.7%	28.3%
Bid-Ask Spread %	119.13	102.17	130.60	121.14	122.80
Gamma HHI	0.84	0.69	1.00	0.69	1.00
Net GEX	-6.3K	-15.8K	4.9K	3.5K	-13.4K
Net DEX	-20.5K	-181.1K	116.3K	-128.6K	44.6K
Net VEX	-967	-1.6K	-273	-404	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.77	3.11	10.76	3.11	7.86
Total Volume	91.55	0	200	74	0
Total OI	184.35	123	249	123	195

Daily Data (20 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
2015-11-02	$40.75	$35.00	35.3%	10.1%	26.7%	10.4%	37.6%	5.8%	-4.1%	3.5K	-128.6K	-404	3.11	121.14	18	56	52	71
2015-11-03	$41.26	$35.00	20.0%	5.7%	26.8%	1.8%	21.4%	10.0%	4.3%	4.9K	-138.6K	-377	3.11	102.17	18	56	52	71
2015-11-04	$41.31	$35.00	20.0%	5.7%	26.3%	1.8%	20.3%	3.1%	14.1%	4.8K	-146.2K	-367	3.11	120.35	18	56	52	71
2015-11-05	$41.85	$40.00	21.8%	8.4%	26.3%	2.8%	24.7%	11.6%	-14.1%	4.4K	-156.5K	-329	3.11	126.89	18	56	52	71
2015-11-06	$42.86	$40.00	71.2%	11.7%	27.1%	30.4%	0.0%	-25.4%	-13.0%	3.2K	-156.4K	-314	0.00	127.67	0	0	52	71
2015-11-09	$42.44	$40.00	85.2%	9.3%	27.6%	38.2%	0.0%	7.4%	-13.0%	2.4K	-143.7K	-358	0.00	129.14	0	0	52	71
2015-11-10	$42.54	$40.00	23.4%	7.3%	27.3%	3.7%	24.9%	12.6%	8.0%	3.4K	-167.8K	-303	3.11	114.43	18	56	52	71
2015-11-11	$42.73	$40.00	27.3%	7.8%	25.2%	5.9%	20.7%	1.1%	-1.7%	2.8K	-181.1K	-273	3.11	127.44	18	56	52	71
2015-11-12	$41.42	$40.00	21.2%	6.1%	26.9%	2.5%	21.2%	5.1%	-0.8%	-10.0K	21.3K	-1.5K	9.89	108.98	18	178	52	188
2015-11-13	$40.85	$40.00	39.5%	11.3%	27.5%	12.7%	36.4%	13.7%	-15.1%	-7.6K	91.5K	-1.6K	10.76	130.60	17	183	51	188
2015-11-16	$41.25	$40.00	20.4%	5.8%	27.6%	2.0%	0.0%	10.9%	10.1%	-12.4K	81.3K	-1.5K	0.00	112.41	0	0	51	198
2015-11-17	$41.57	$40.00	33.9%	9.7%	27.7%	9.6%	28.3%	9.2%	-16.3%	-13.0K	74.9K	-1.5K	10.76	124.60	17	183	51	198
2015-11-18	$42.21	$40.00	33.8%	9.7%	27.6%	9.5%	26.4%	-33.9%	-27.1%	-11.2K	21.4K	-1.5K	10.76	124.34	17	183	51	198
2015-11-19	$41.95	$40.00	20.6%	5.9%	26.8%	2.2%	21.1%	0.6%	0.7%	-12.8K	16.9K	-1.4K	10.76	112.08	17	183	51	198
2015-11-20	$42.20	$40.00	33.3%	9.5%	24.7%	9.3%	28.3%	8.9%	-16.9%	-14.1K	28.5K	-1.4K	7.53	127.74	17	128	51	198
2015-11-23	$42.33	$40.00	22.0%	6.3%	24.1%	3.0%	0.0%	11.1%	10.3%	-14.8K	115.4K	-1.4K	0.00	115.71	0	0	22	174
2015-11-24	$42.51	$40.00	18.1%	5.2%	23.6%	0.8%	0.0%	6.9%	3.7%	-15.7K	116.3K	-1.3K	0.00	105.22	0	0	22	174
2015-11-25	$42.49	$40.00	29.0%	8.3%	19.8%	6.9%	24.3%	9.5%	-12.4%	-14.8K	96.3K	-1.3K	7.71	116.90	14	108	22	174
2015-11-27	$42.88	$40.00	28.8%	8.3%	20.0%	6.7%	23.2%	11.8%	2.0%	-15.8K	100.0K	-1.2K	7.86	112.00	14	110	22	174
2015-11-30	$43.13	$40.00	34.0%	9.8%	18.7%	9.7%	0.0%	-9.2%	11.1%	-13.4K	44.6K	-1.1K	0.00	122.80	0	0	22	173