CBU Options History — August 2016

In August 2016, CBU traded between $43.78 and $47.46. ATM implied volatility averaged 24.5%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 10.1% (HV 20d: 14.4%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.59.

Notable Days

2016-08-10: Highest Volume — 130 contracts
2016-08-03: Largest IV spike — 245.6% change
2016-08-03: Highest IV Rank — 37.4%
2016-08-03: Largest Expected Move — 19.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.44	$43.78	$47.46	$44.06	$47.46
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	24.5%	16.8%	66.1%	43.6%	30.9%
Expected Move	7.7%	4.8%	19.0%	12.5%	8.8%
HV 20d	14.4%	12.7%	16.1%	14.9%	12.7%
HV 60d	21.8%	21.3%	22.2%	21.7%	21.3%
IV Rank	5.9%	0.1%	37.4%	20.4%	10.7%
IV Percentile	20.3%	0.4%	87.7%	68.3%	48.8%
Term Structure	-6.4%	-43.2%	15.2%	-11.1%	-20.6%
VWIV	29.9%	15.0%	89.1%	37.4%	31.6%
Skew 25d	5.8%	-3.9%	31.4%	31.4%	4.6%
Skew 10d	9.1%	-1.3%	36.2%	29.7%	9.1%
Call IV 25d	23.3%	13.9%	91.5%	44.6%	20.1%
Put IV 25d	29.0%	16.2%	96.2%	76.1%	24.7%
Bid-Ask Spread %	114.38	99.32	132.12	125.03	123.19
Gamma HHI	0.75	0.54	0.86	0.57	0.86
Net GEX	33.3K	26.7K	41.1K	35.8K	26.7K
Net DEX	-998.1K	-1.2M	-671.9K	-1.1M	-832.4K
Net VEX	-2.3K	-2.6K	-1.8K	-2.3K	-1.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.59	0.00	0.76	0.38	0.74
Total Volume	101.13	0	130	105	113
Total OI	382.696	296	441	411	296

Daily Data (23 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
2016-08-01	$44.06	$40.00	43.6%	12.5%	14.9%	20.4%	37.4%	31.4%	-11.1%	35.8K	-1.1M	-2.3K	0.38	125.03	76	29	361	50
2016-08-02	$43.78	$40.00	19.1%	5.5%	13.9%	1.9%	20.6%	-0.1%	-0.2%	36.1K	-1.1M	-2.3K	0.38	110.50	76	29	361	50
2016-08-03	$44.11	$40.00	66.1%	19.0%	13.9%	37.4%	89.1%	4.6%	-43.2%	39.6K	-939.6K	-2.6K	0.38	132.12	76	29	361	50
2016-08-04	$44.14	$40.00	19.2%	5.8%	13.8%	1.9%	15.0%	-2.8%	-1.0%	41.1K	-1.1M	-2.4K	0.37	115.53	78	29	361	50
2016-08-05	$45.18	$40.00	22.1%	5.3%	15.2%	4.1%	0.0%	24.2%	-1.4%	38.0K	-1.2M	-2.2K	0.37	116.63	78	29	361	50
2016-08-08	$44.74	$40.00	19.0%	14.8%	15.2%	1.7%	17.0%	3.0%	-31.1%	35.3K	-1.2M	-2.2K	0.51	122.96	77	39	361	50
2016-08-09	$45.09	$40.00	24.7%	14.9%	14.3%	6.1%	65.7%	10.4%	-33.1%	33.3K	-1.2M	-2.3K	0.51	125.24	77	39	363	60
2016-08-10	$44.74	$40.00	48.1%	13.8%	14.8%	23.8%	16.3%	-3.9%	-27.1%	33.2K	-1.1M	-2.3K	0.69	128.65	77	53	363	60
2016-08-11	$45.30	$40.00	18.6%	5.3%	15.1%	1.5%	27.2%	7.1%	1.3%	33.0K	-1.2M	-2.5K	0.69	109.40	77	53	363	74
2016-08-12	$44.70	$40.00	18.9%	5.4%	16.1%	1.7%	25.0%	5.5%	1.0%	33.5K	-1.1M	-2.5K	0.69	109.07	77	53	363	74
2016-08-15	$45.05	$40.00	19.4%	5.6%	15.6%	2.0%	27.6%	6.8%	0.5%	34.8K	-1.1M	-2.5K	0.69	99.32	77	53	363	74
2016-08-16	$45.07	$40.00	18.9%	5.4%	15.6%	1.7%	28.4%	7.1%	1.1%	35.3K	-1.1M	-2.4K	0.76	108.44	70	53	363	74
2016-08-17	$45.12	$40.00	19.5%	5.6%	15.5%	2.1%	0.0%	0.7%	0.6%	37.4K	-1.1M	-2.4K	0.00	113.31	9	0	366	74
2016-08-18	$45.52	$40.00	18.8%	5.4%	15.1%	1.6%	0.0%	2.2%	0.9%	36.6K	-1.2M	-2.4K	0.00	109.40	0	0	367	74
2016-08-19	$45.68	$40.00	18.9%	5.4%	14.4%	1.7%	19.1%	2.6%	1.1%	30.4K	-1.2M	-2.4K	0.74	103.56	72	53	367	74
2016-08-22	$45.68	$40.00	18.9%	5.4%	13.8%	1.7%	20.3%	2.5%	15.2%	30.4K	-671.9K	-2.3K	0.76	107.68	63	48	246	59
2016-08-23	$46.12	$40.00	19.2%	5.5%	13.6%	1.9%	21.8%	3.6%	0.5%	30.4K	-709.7K	-2.2K	0.74	114.40	65	48	244	59
2016-08-24	$46.25	$40.00	19.0%	5.4%	13.5%	1.8%	0.0%	3.5%	0.6%	29.7K	-721.5K	-2.2K	0.00	111.27	0	0	245	59
2016-08-25	$46.58	$40.00	19.6%	5.6%	13.6%	2.2%	24.0%	4.3%	0.2%	29.6K	-766.1K	-2.1K	0.74	112.17	65	48	245	59
2016-08-26	$46.77	$40.00	16.8%	4.8%	13.3%	0.1%	25.1%	7.0%	5.8%	29.1K	-778.2K	-2.1K	0.74	115.38	65	48	245	59
2016-08-29	$46.88	$40.00	22.6%	6.5%	13.2%	4.5%	26.8%	1.0%	-6.0%	29.2K	-801.2K	-2.0K	0.75	101.72	64	48	245	59
2016-08-30	$47.15	$40.00	20.9%	6.0%	12.8%	3.2%	30.2%	7.5%	-2.1%	28.0K	-817.5K	-1.9K	0.74	115.86	65	48	241	59
2016-08-31	$47.46	$40.00	30.9%	8.8%	12.7%	10.7%	31.6%	4.6%	-20.6%	26.7K	-832.4K	-1.8K	0.74	123.19	65	48	237	59