CBU Options History — April 2016

In April 2016, CBU traded between $36.81 and $39.98. ATM implied volatility averaged 34.8%, placing in the 10.1% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 15.8% (HV 20d: 19.0%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.24.

Notable Days

2016-04-28: Highest Volume — 125 contracts
2016-04-29: Largest IV spike — 173.5% change
2016-04-12: Highest IV Rank — 37.4%
2016-04-29: Largest Expected Move — 15.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.76	$36.81	$39.98	$38.38	$39.61
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	34.8%	19.6%	83.6%	42.7%	53.9%
Expected Move	8.4%	5.4%	15.4%	12.3%	15.4%
HV 20d	19.0%	15.8%	21.4%	15.8%	21.4%
HV 60d	21.2%	19.6%	22.8%	22.7%	19.6%
IV Rank	10.1%	1.6%	37.4%	14.6%	20.8%
IV Percentile	38.8%	5.2%	90.9%	55.6%	70.2%
Term Structure	0.1%	-22.0%	25.5%	7.3%	-22.0%
VWIV	27.6%	19.8%	63.7%	21.9%	37.4%
Skew 25d	6.4%	-5.8%	33.0%	9.9%	11.0%
Skew 10d	9.1%	-11.9%	49.3%	-5.0%	2.1%
Call IV 25d	24.6%	19.8%	51.8%	23.7%	23.8%
Put IV 25d	31.0%	20.4%	55.0%	33.6%	34.8%
Bid-Ask Spread %	118.02	102.42	133.08	126.32	133.08
Gamma HHI	0.76	0.62	0.86	0.68	0.81
Net GEX	13.4K	9.0K	20.6K	10.9K	20.6K
Net DEX	-165.3K	-417.5K	1.1K	-77.3K	-417.5K
Net VEX	-1.8K	-2.4K	-1.6K	-1.8K	-2.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.24	0.71	1.93	1.23	0.71
Total Volume	90.429	79	125	87	125
Total OI	324.571	309	377	309	377

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
2016-04-01	$38.38	$0.00	42.7%	12.3%	15.8%	14.6%	0.0%	9.9%	7.3%	10.9K	-77.3K	-1.8K	1.23	126.32	39	48	191	118
2016-04-04	$38.27	$40.00	44.3%	5.5%	15.8%	15.4%	21.9%	1.2%	1.4%	11.8K	-101.3K	-1.9K	1.17	120.60	41	48	201	118
2016-04-05	$37.50	$40.00	30.9%	7.7%	16.7%	7.9%	23.0%	-1.1%	-6.4%	10.8K	-61.3K	-1.8K	1.17	102.42	41	48	203	118
2016-04-06	$37.71	$40.00	28.0%	12.5%	16.1%	6.3%	34.6%	-4.0%	-20.4%	9.8K	-97.2K	-2.0K	1.17	122.31	41	48	203	118
2016-04-07	$36.81	$40.00	35.5%	6.3%	17.7%	10.5%	22.4%	2.4%	10.0%	9.0K	1.1K	-1.6K	1.17	114.40	41	48	203	118
2016-04-08	$36.99	$40.00	34.2%	7.6%	17.7%	9.8%	23.4%	3.8%	-1.5%	9.4K	-18.1K	-1.7K	1.17	106.63	41	48	203	118
2016-04-11	$37.50	$40.00	38.7%	6.2%	17.5%	12.3%	19.8%	2.8%	6.1%	10.7K	-19.3K	-1.6K	1.17	102.79	41	48	203	118
2016-04-12	$37.88	$40.00	83.6%	5.4%	17.9%	37.4%	20.8%	1.8%	1.9%	10.9K	-35.2K	-1.6K	1.17	106.61	41	48	203	118
2016-04-13	$39.02	$40.00	23.3%	6.7%	20.5%	3.7%	23.4%	6.3%	-1.1%	12.4K	-150.3K	-1.8K	1.20	115.61	40	48	203	118
2016-04-14	$39.15	$40.00	24.6%	7.1%	20.4%	4.4%	25.3%	7.0%	-0.1%	13.5K	-218.8K	-1.9K	1.20	107.68	40	48	205	118
2016-04-15	$38.93	$40.00	30.3%	8.7%	20.2%	7.6%	32.2%	-2.1%	-13.7%	16.1K	-280.7K	-1.9K	1.20	130.72	40	48	205	118
2016-04-18	$39.17	$40.00	19.6%	5.6%	19.5%	1.6%	20.6%	28.9%	25.5%	13.8K	-140.2K	-1.7K	1.20	118.11	40	48	205	118
2016-04-19	$39.52	$40.00	28.1%	8.0%	19.4%	6.4%	25.5%	32.7%	4.2%	14.7K	-179.4K	-1.8K	1.20	124.28	40	48	205	118
2016-04-20	$39.85	$40.00	37.5%	10.8%	19.2%	11.6%	35.4%	3.4%	-2.1%	14.9K	-247.1K	-1.8K	1.20	128.73	40	48	201	118
2016-04-21	$39.36	$40.00	37.8%	10.8%	19.3%	11.8%	34.9%	-5.8%	5.1%	13.5K	-199.8K	-1.8K	1.20	122.27	40	48	201	118
2016-04-22	$39.77	$40.00	21.7%	6.2%	19.4%	2.8%	22.5%	3.0%	8.0%	15.2K	-242.3K	-1.8K	1.45	118.78	33	48	201	118
2016-04-25	$39.13	$40.00	22.1%	6.3%	20.5%	3.0%	22.7%	-0.8%	0.6%	15.5K	-199.2K	-1.7K	1.59	124.11	32	51	207	118
2016-04-26	$39.92	$40.00	22.3%	6.4%	21.4%	3.1%	22.1%	33.0%	0.7%	17.9K	-240.5K	-1.8K	1.93	110.37	27	52	211	121
2016-04-27	$39.98	$40.00	52.3%	15.0%	21.3%	19.9%	63.7%	2.3%	-15.7%	12.3K	-288.5K	-1.7K	1.86	132.32	28	52	212	117
2016-04-28	$39.57	$40.00	19.7%	5.6%	21.4%	1.7%	20.2%	-0.6%	15.0%	17.7K	-257.5K	-1.8K	0.71	110.27	73	52	212	117
2016-04-29	$39.61	$40.00	53.9%	15.4%	21.4%	20.8%	37.4%	11.0%	-22.0%	20.6K	-417.5K	-2.4K	0.71	133.08	73	52	260	117