CBU Options History — May 2016

In May 2016, CBU traded between $38.70 and $41.26. ATM implied volatility averaged 38.9%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 21.5% (HV 20d: 17.4%). 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 8 of 21 days. Put/call ratio averaged 0.66.

Notable Days

2016-05-02: Highest Volume — 125 contracts
2016-05-04: Largest IV spike — 189.3% change
2016-05-27: Highest IV Rank — 35.2%
2016-05-04: Largest Expected Move — 18.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.62	$38.70	$41.26	$39.88	$41.26
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	38.9%	18.4%	78.4%	31.6%	44.1%
Expected Move	10.2%	5.3%	18.6%	9.1%	12.7%
HV 20d	17.4%	14.9%	21.4%	21.4%	16.0%
HV 60d	18.6%	17.7%	19.6%	19.6%	17.7%
IV Rank	14.9%	1.0%	35.2%	8.3%	20.8%
IV Percentile	45.9%	1.6%	91.7%	39.3%	63.9%
Term Structure	-7.9%	-45.2%	11.9%	5.2%	-19.7%
VWIV	35.8%	22.2%	53.3%	31.9%	53.3%
Skew 25d	4.9%	-21.1%	46.9%	42.6%	-13.6%
Skew 10d	5.7%	-45.9%	63.4%	63.4%	-25.9%
Call IV 25d	32.1%	19.6%	86.4%	30.3%	46.7%
Put IV 25d	37.0%	17.7%	87.5%	72.8%	33.1%
Bid-Ask Spread %	121.55	101.17	133.58	131.63	129.15
Gamma HHI	0.80	0.66	0.91	0.86	0.71
Net GEX	20.9K	14.1K	32.8K	18.8K	32.8K
Net DEX	-344.5K	-572.4K	-107.3K	-356.5K	-572.4K
Net VEX	-2.1K	-2.4K	-1.7K	-2.3K	-2.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.66	0.08	1.73	0.71	0.08
Total Volume	107.714	81	125	125	91
Total OI	343.286	204	382	377	276

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
2016-05-02	$39.88	$40.00	31.6%	9.1%	21.4%	8.3%	31.9%	42.6%	5.2%	18.8K	-356.5K	-2.3K	0.71	131.63	73	52	260	117
2016-05-03	$39.16	$40.00	22.4%	6.4%	21.1%	3.2%	22.2%	-1.4%	9.8%	16.0K	-300.5K	-2.3K	0.71	118.11	73	52	260	117
2016-05-04	$38.95	$40.00	64.9%	18.6%	21.2%	26.9%	53.3%	-5.0%	-19.0%	17.9K	-338.4K	-2.2K	0.71	133.58	73	52	260	117
2016-05-05	$38.72	$0.00	78.4%	13.3%	19.2%	34.5%	0.0%	39.7%	-15.8%	14.1K	-381.9K	-2.3K	0.71	129.66	73	52	260	117
2016-05-06	$38.89	$0.00	55.5%	9.5%	19.2%	21.7%	0.0%	5.1%	-2.4%	15.8K	-310.6K	-2.2K	0.71	122.89	73	52	260	117
2016-05-09	$38.95	$0.00	23.6%	6.1%	18.7%	3.9%	0.0%	-2.8%	1.1%	21.4K	-183.5K	-2.0K	0.71	106.55	73	52	260	117
2016-05-10	$39.38	$0.00	46.4%	10.1%	18.7%	16.6%	0.0%	-12.5%	-16.0%	16.8K	-390.3K	-2.1K	0.71	119.61	73	52	260	117
2016-05-11	$39.02	$0.00	18.5%	5.3%	16.0%	1.0%	0.0%	-1.9%	-0.4%	18.0K	-363.2K	-2.1K	0.71	120.44	73	52	260	117
2016-05-12	$39.25	$0.00	21.6%	6.2%	16.1%	3.7%	0.0%	-2.0%	0.4%	23.1K	-288.5K	-2.0K	0.71	116.18	73	52	260	117
2016-05-13	$38.70	$0.00	18.4%	5.3%	16.8%	1.3%	0.0%	-2.6%	5.6%	17.0K	-322.9K	-2.0K	0.71	121.61	73	52	260	117
2016-05-16	$39.17	$0.00	30.4%	8.7%	17.2%	10.4%	0.0%	21.4%	-0.4%	20.7K	-226.6K	-1.9K	0.71	122.33	73	52	260	117
2016-05-17	$39.13	$0.00	20.7%	5.9%	16.9%	3.0%	0.0%	-2.5%	0.2%	23.7K	-210.8K	-1.8K	0.71	110.00	73	52	260	117
2016-05-18	$39.48	$0.00	35.0%	10.0%	16.9%	13.9%	0.0%	3.0%	-8.3%	27.9K	-199.9K	-1.8K	1.73	116.60	30	52	260	117
2016-05-19	$39.49	$0.00	34.6%	9.9%	16.3%	13.5%	0.0%	-21.1%	11.9%	18.0K	-307.3K	-1.9K	1.73	123.14	30	52	265	117
2016-05-20	$39.73	$0.00	49.0%	14.1%	16.0%	24.5%	0.0%	5.5%	-18.8%	17.0K	-107.3K	-1.8K	1.30	131.24	40	52	265	117
2016-05-23	$39.62	$0.00	21.9%	6.3%	14.9%	4.0%	0.0%	0.3%	0.3%	21.5K	-342.4K	-1.7K	0.09	101.17	74	7	188	16
2016-05-24	$40.56	$0.00	58.6%	16.8%	15.5%	31.8%	0.0%	46.9%	-18.0%	21.3K	-486.2K	-2.4K	0.09	124.35	74	7	250	16
2016-05-25	$40.99	$0.00	36.8%	10.6%	15.9%	15.3%	0.0%	2.6%	-7.6%	29.2K	-504.7K	-2.3K	0.09	118.72	74	7	250	16
2016-05-26	$40.65	$0.00	41.8%	12.0%	15.7%	19.0%	0.0%	1.1%	-28.9%	22.5K	-525.7K	-2.3K	0.09	124.71	74	7	250	16
2016-05-27	$41.08	$0.00	63.1%	18.1%	16.1%	35.2%	0.0%	1.1%	-45.2%	24.6K	-515.4K	-2.4K	0.08	130.88	84	7	250	16
2016-05-31	$41.26	$0.00	44.1%	12.7%	16.0%	20.8%	0.0%	-13.6%	-19.7%	32.8K	-572.4K	-2.2K	0.08	129.15	84	7	260	16