CBU Options History — February 2016

In February 2016, CBU traded between $35.17 and $37.60. ATM implied volatility averaged 41.0%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 15.3% (HV 20d: 25.7%). Max pain ranged from $30.00 to $40.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.24.

Notable Days

2016-02-17: Highest Volume — 150 contracts
2016-02-12: Largest IV spike — 80.8% change
2016-02-29: Highest IV Rank — 28.1%
2016-02-29: Largest Expected Move — 19.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.55	$35.17	$37.60	$37.11	$37.04
Max Pain	$31.50	$30.00	$40.00	$40.00	$30.00
ATM IV	41.0%	23.1%	66.9%	43.1%	66.9%
Expected Move	11.6%	7.3%	19.2%	12.4%	19.2%
HV 20d	25.7%	21.0%	30.6%	30.6%	21.5%
HV 60d	25.4%	24.6%	26.0%	25.5%	26.0%
IV Rank	13.5%	3.6%	28.1%	14.8%	28.1%
IV Percentile	48.4%	18.7%	81.7%	54.4%	81.7%
Term Structure	-7.1%	-46.0%	16.8%	-11.5%	-46.0%
VWIV	42.9%	25.7%	79.3%	31.0%	79.3%
Skew 25d	6.5%	-26.8%	24.1%	9.9%	24.1%
Skew 10d	6.3%	-30.0%	46.1%	10.7%	5.5%
Call IV 25d	32.4%	21.1%	62.5%	21.8%	34.9%
Put IV 25d	38.9%	25.1%	59.0%	31.8%	59.0%
Bid-Ask Spread %	123.22	88.52	145.59	124.32	131.75
Gamma HHI	0.41	0.26	0.71	0.60	0.26
Net GEX	-3.8K	-8.2K	915	-7.6K	-384
Net DEX	200.6K	8.6K	325.9K	239.3K	36.2K
Net VEX	-1.3K	-1.4K	-1.0K	-1.3K	-1.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.24	0.76	1.87	0.91	0.77
Total Volume	120.45	96	150	105	110
Total OI	277.65	222	335	271	229

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
2016-02-01	$37.11	$40.00	43.1%	12.4%	30.6%	14.8%	31.0%	9.9%	-11.5%	-7.6K	239.3K	-1.3K	0.91	124.32	55	50	93	178
2016-02-02	$36.35	$40.00	50.2%	14.4%	28.9%	18.7%	36.8%	13.4%	-34.0%	-7.7K	237.8K	-1.3K	0.91	124.31	55	50	93	178
2016-02-03	$36.65	$40.00	29.7%	8.5%	28.8%	7.3%	30.9%	8.2%	1.2%	-6.1K	261.8K	-1.2K	0.93	111.85	54	50	93	178
2016-02-04	$36.70	$30.00	23.1%	7.3%	28.8%	3.6%	27.0%	-1.5%	-0.8%	-6.1K	264.8K	-1.2K	1.09	88.52	46	50	97	178
2016-02-05	$35.96	$30.00	29.6%	7.7%	28.1%	7.2%	34.1%	1.6%	-1.2%	-5.2K	252.4K	-1.2K	1.09	106.08	46	50	99	178
2016-02-08	$35.81	$30.00	30.8%	8.6%	27.9%	7.8%	32.5%	-6.4%	-2.2%	-3.1K	302.3K	-1.0K	1.87	110.87	46	86	99	178
2016-02-09	$35.82	$30.00	37.5%	8.5%	27.7%	11.6%	35.0%	7.4%	2.6%	-5.0K	310.8K	-1.2K	1.87	123.12	46	86	99	214
2016-02-10	$35.67	$30.00	27.1%	7.8%	27.7%	5.8%	37.9%	3.2%	16.8%	-6.5K	253.6K	-1.4K	1.87	136.89	46	86	99	214
2016-02-11	$35.17	$30.00	31.5%	9.0%	23.7%	8.3%	31.8%	3.7%	-1.8%	-3.9K	325.9K	-1.2K	1.87	95.39	46	86	101	214
2016-02-12	$36.35	$30.00	56.9%	16.3%	26.3%	22.5%	49.9%	20.9%	-15.3%	-7.6K	293.3K	-1.3K	1.87	142.40	46	86	101	214
2016-02-16	$36.85	$30.00	61.1%	17.5%	26.3%	24.8%	57.4%	18.3%	-22.3%	-5.6K	260.1K	-1.3K	1.87	135.56	46	86	101	214
2016-02-17	$36.92	$30.00	50.0%	14.3%	26.3%	18.6%	52.4%	14.7%	-0.4%	-8.2K	238.7K	-1.3K	1.34	132.43	64	86	101	214
2016-02-18	$36.64	$30.00	28.3%	8.1%	26.5%	6.4%	36.1%	-26.8%	10.5%	-446	268.5K	-1.3K	1.34	137.22	64	86	121	214
2016-02-19	$36.89	$30.00	30.5%	8.8%	24.4%	7.7%	32.4%	4.8%	-4.6%	782	240.3K	-1.3K	1.34	124.84	64	86	121	214
2016-02-22	$37.17	$30.00	37.9%	10.9%	24.4%	11.8%	41.2%	-10.9%	-5.0%	-216	26.4K	-1.3K	0.77	122.32	62	48	108	114
2016-02-23	$36.74	$30.00	57.0%	16.3%	22.4%	22.5%	59.9%	11.5%	-20.1%	-2.0K	70.1K	-1.3K	0.77	135.38	62	48	108	118
2016-02-24	$36.65	$30.00	58.6%	16.8%	21.1%	23.4%	61.6%	23.3%	-12.4%	-1.5K	68.6K	-1.2K	0.77	131.48	62	48	108	118
2016-02-25	$36.86	$30.00	27.6%	7.9%	21.0%	6.1%	25.7%	10.4%	2.8%	-811	52.4K	-1.2K	0.77	104.15	62	48	108	118
2016-02-26	$37.60	$30.00	41.7%	11.9%	21.1%	13.9%	65.3%	0.5%	1.7%	915	8.6K	-1.3K	0.76	145.59	63	48	108	118
2016-02-29	$37.04	$30.00	66.9%	19.2%	21.5%	28.1%	79.3%	24.1%	-46.0%	-384	36.2K	-1.3K	0.77	131.75	62	48	111	118