CBU Options History — July 2016

In July 2016, CBU traded between $39.98 and $44.36. ATM implied volatility averaged 37.7%, placing in the 16.0% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 9.0% (HV 20d: 28.7%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.30.

Notable Days

2016-07-19: Highest Volume — 117 contracts
2016-07-06: Largest IV spike — 248.5% change
2016-07-06: Highest IV Rank — 61.9%
2016-07-29: Largest Expected Move — 16.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.54	$39.98	$44.36	$40.56	$44.12
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	37.7%	17.2%	98.4%	26.4%	57.0%
Expected Move	8.2%	4.9%	16.4%	7.6%	16.4%
HV 20d	28.7%	15.6%	32.7%	31.6%	15.6%
HV 60d	22.3%	21.7%	22.8%	22.6%	21.7%
IV Rank	16.0%	0.4%	61.9%	7.4%	30.6%
IV Percentile	42.7%	0.8%	98.4%	27.8%	79.8%
Term Structure	-1.8%	-32.6%	22.7%	11.2%	-13.9%
VWIV	27.8%	17.6%	71.9%	24.6%	71.9%
Skew 25d	8.5%	-17.2%	41.8%	5.8%	1.6%
Skew 10d	13.4%	-26.7%	64.2%	24.1%	11.7%
Call IV 25d	29.5%	16.7%	79.6%	53.0%	79.6%
Put IV 25d	38.0%	19.2%	81.1%	58.8%	81.1%
Bid-Ask Spread %	119.06	108.53	130.66	120.07	130.66
Gamma HHI	0.62	0.50	0.80	0.70	0.54
Net GEX	35.7K	23.8K	50.5K	30.4K	42.1K
Net DEX	-804.8K	-1.1M	-459.4K	-551.0K	-976.2K
Net VEX	-2.0K	-2.7K	-1.7K	-1.9K	-2.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.30	0.10	0.51	0.11	0.38
Total Volume	91.05	45	117	83	105
Total OI	337.25	279	411	279	411

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
2016-07-01	$40.56	$40.00	26.4%	7.6%	31.6%	7.4%	24.6%	5.8%	11.2%	30.4K	-551.0K	-1.9K	0.11	120.07	75	8	261	18
2016-07-05	$39.98	$40.00	28.2%	7.0%	31.5%	8.7%	21.0%	1.5%	-0.8%	36.4K	-459.4K	-1.8K	0.11	112.02	75	8	261	18
2016-07-06	$40.17	$40.00	98.4%	10.6%	31.6%	61.9%	39.5%	-10.0%	-11.8%	31.4K	-459.8K	-1.8K	0.10	127.98	83	8	261	18
2016-07-07	$40.57	$40.00	64.6%	5.3%	31.8%	36.3%	18.2%	37.5%	5.8%	45.3K	-502.1K	-1.8K	0.10	116.06	83	8	271	18
2016-07-08	$41.05	$40.00	30.7%	10.2%	32.1%	10.6%	27.3%	9.6%	-14.6%	35.3K	-623.3K	-1.9K	0.21	114.40	38	8	271	18
2016-07-11	$41.80	$40.00	60.3%	5.7%	32.7%	33.1%	36.0%	-17.2%	12.8%	29.9K	-675.1K	-1.9K	0.22	119.38	37	8	276	18
2016-07-12	$42.54	$40.00	74.1%	10.0%	32.7%	43.5%	28.3%	-1.1%	-12.5%	34.7K	-757.7K	-1.8K	0.51	120.13	37	19	280	18
2016-07-13	$42.56	$40.00	21.0%	6.0%	32.7%	3.3%	21.8%	0.3%	-0.9%	36.6K	-768.7K	-1.9K	0.44	113.91	43	19	280	29
2016-07-14	$42.88	$40.00	18.0%	5.2%	32.7%	1.0%	19.1%	4.5%	1.6%	31.8K	-860.3K	-1.8K	0.44	112.17	43	19	290	29
2016-07-15	$43.17	$40.00	18.9%	5.4%	32.6%	1.7%	23.7%	3.2%	-0.9%	32.9K	-870.5K	-1.8K	0.20	117.01	95	19	290	29
2016-07-18	$42.74	$40.00	29.0%	8.3%	32.6%	9.4%	25.5%	4.5%	22.7%	38.4K	-857.5K	-2.1K	0.22	127.91	88	19	312	29
2016-07-19	$42.72	$40.00	21.7%	6.2%	32.4%	3.8%	21.3%	3.2%	0.6%	40.6K	-826.2K	-2.1K	0.33	118.00	88	29	315	29
2016-07-20	$42.65	$40.00	29.2%	8.4%	32.5%	9.5%	22.8%	-3.6%	-5.1%	48.2K	-807.9K	-2.1K	0.33	108.53	88	29	315	39
2016-07-21	$43.27	$40.00	28.8%	8.3%	32.7%	9.2%	19.5%	31.8%	2.6%	23.8K	-897.7K	-1.7K	0.33	125.99	88	29	315	39
2016-07-22	$43.90	$40.00	50.6%	14.5%	30.6%	25.7%	43.6%	8.0%	-32.6%	29.5K	-867.0K	-2.3K	0.38	125.53	76	29	315	39
2016-07-25	$43.49	$40.00	27.1%	7.8%	23.3%	7.9%	28.8%	-7.1%	0.2%	50.5K	-1.1M	-2.4K	0.38	118.82	76	29	361	39
2016-07-26	$44.02	$40.00	33.3%	9.5%	18.0%	12.6%	23.3%	41.8%	-2.7%	29.1K	-1.1M	-2.4K	0.38	123.48	76	29	361	50
2016-07-27	$44.27	$40.00	20.4%	5.8%	17.6%	2.8%	21.5%	16.7%	0.2%	36.1K	-1.1M	-2.3K	0.38	109.45	76	29	361	50
2016-07-28	$44.36	$40.00	17.2%	4.9%	16.8%	0.4%	17.6%	39.5%	3.1%	31.7K	-1.1M	-2.3K	0.38	119.61	76	29	361	50
2016-07-29	$44.12	$40.00	57.0%	16.4%	15.6%	30.6%	71.9%	1.6%	-13.9%	42.1K	-976.2K	-2.7K	0.38	130.66	76	29	361	50