CBU Options History — January 2016

In January 2016, CBU traded between $34.45 and $39.08. ATM implied volatility averaged 49.6%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 22.6% (HV 20d: 27.0%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 4.22.

Notable Days

2016-01-04: Highest Volume — 133 contracts
2016-01-19: Largest IV spike — 163.3% change
2016-01-08: Highest IV Rank — 61.5%
2016-01-19: Largest Expected Move — 19.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.73	$34.45	$39.08	$38.69	$36.70
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	49.6%	23.6%	126.8%	94.1%	42.1%
Expected Move	8.9%	6.5%	19.1%	8.6%	12.1%
HV 20d	27.0%	24.3%	30.2%	28.6%	30.2%
HV 60d	25.6%	24.7%	26.4%	25.2%	25.5%
IV Rank	18.4%	3.9%	61.5%	43.2%	14.2%
IV Percentile	53.6%	19.8%	98.4%	96.4%	53.2%
Term Structure	2.9%	-26.1%	48.6%	-7.7%	-26.1%
VWIV	35.3%	23.5%	94.9%	29.0%	29.3%
Skew 25d	3.2%	-25.5%	19.9%	7.7%	12.4%
Skew 10d	10.6%	-14.1%	34.0%	11.7%	10.8%
Call IV 25d	32.0%	19.4%	88.7%	21.9%	19.4%
Put IV 25d	35.2%	23.9%	98.6%	29.6%	31.8%
Bid-Ask Spread %	113.11	97.01	131.38	121.41	117.56
Gamma HHI	0.62	0.39	0.84	0.80	0.67
Net GEX	-10.9K	-17.1K	-6.5K	-13.8K	-9.2K
Net DEX	323.2K	220.3K	451.9K	223.0K	220.3K
Net VEX	-1.2K	-1.4K	-820	-1.4K	-1.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.22	0.91	9.23	9.23	0.91
Total Volume	83.684	64	133	133	105
Total OI	241.474	228	261	238	261

Daily Data (19 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
2016-01-04	$38.69	$40.00	94.1%	8.6%	28.6%	43.2%	29.0%	7.7%	-7.7%	-13.8K	223.0K	-1.4K	9.23	121.41	13	120	44	194
2016-01-05	$39.08	$40.00	49.8%	7.4%	27.9%	18.5%	26.0%	4.1%	-1.7%	-16.2K	263.9K	-1.4K	5.31	100.98	13	69	44	194
2016-01-06	$38.94	$40.00	67.5%	7.1%	27.2%	28.4%	25.7%	4.5%	-0.6%	-17.1K	278.1K	-1.4K	5.31	113.89	13	69	44	199
2016-01-07	$37.88	$40.00	61.3%	7.6%	28.2%	24.9%	26.7%	1.7%	-2.2%	-16.0K	318.3K	-1.4K	5.31	97.01	13	69	44	199
2016-01-08	$37.45	$40.00	126.8%	9.0%	28.3%	61.5%	58.0%	-25.5%	-0.2%	-10.8K	233.5K	-1.4K	5.31	131.38	13	69	44	199
2016-01-11	$37.70	$40.00	71.2%	6.9%	28.5%	30.4%	24.0%	-0.4%	-0.6%	-16.0K	376.0K	-1.2K	5.31	114.00	13	69	44	199
2016-01-12	$37.81	$40.00	69.0%	6.5%	24.4%	29.2%	23.5%	2.1%	-0.7%	-16.3K	358.4K	-1.2K	5.69	103.69	13	74	44	199
2016-01-13	$36.22	$40.00	33.9%	9.7%	27.8%	9.6%	26.9%	7.6%	-5.8%	-13.5K	370.8K	-1.2K	6.60	108.77	10	66	44	204
2016-01-14	$36.70	$40.00	27.1%	7.8%	24.4%	5.8%	28.5%	8.5%	3.8%	-11.0K	429.2K	-1.1K	6.60	104.33	10	66	46	209
2016-01-15	$36.23	$40.00	25.4%	7.3%	24.5%	4.8%	31.8%	18.6%	4.9%	-8.8K	451.9K	-974	4.71	118.72	14	66	46	209
2016-01-19	$36.22	$40.00	66.8%	19.1%	24.3%	28.0%	94.9%	10.0%	48.6%	-7.1K	227.2K	-1.4K	3.57	125.40	14	50	50	178
2016-01-20	$36.15	$40.00	32.0%	9.2%	24.3%	8.5%	27.9%	19.9%	8.4%	-8.6K	352.5K	-978	3.33	109.25	15	50	50	178
2016-01-21	$35.18	$40.00	31.9%	9.1%	25.4%	8.5%	26.3%	-4.0%	1.4%	-8.1K	350.2K	-976	3.33	120.30	15	50	52	178
2016-01-22	$35.41	$40.00	24.5%	7.0%	25.7%	4.4%	31.0%	3.4%	0.9%	-7.4K	388.1K	-826	3.33	107.51	15	50	52	178
2016-01-25	$34.45	$40.00	27.0%	7.7%	26.6%	5.7%	28.6%	0.7%	23.2%	-6.5K	380.0K	-820	3.33	105.01	15	50	52	178
2016-01-26	$35.28	$40.00	32.5%	9.3%	28.5%	8.8%	33.9%	4.2%	-6.4%	-7.2K	365.6K	-901	1.06	113.13	47	50	52	178
2016-01-27	$35.57	$40.00	35.8%	10.3%	28.9%	10.7%	72.0%	-23.0%	7.9%	-7.0K	259.6K	-1.1K	1.06	129.01	47	50	73	178
2016-01-28	$36.25	$40.00	23.6%	6.8%	29.5%	3.9%	27.4%	7.6%	7.9%	-7.1K	293.4K	-986	0.91	107.66	55	50	73	178
2016-01-29	$36.70	$40.00	42.1%	12.1%	30.2%	14.2%	29.3%	12.4%	-26.1%	-9.2K	220.3K	-1.3K	0.91	117.56	55	50	83	178