CBU Options History — September 2016

In September 2016, CBU traded between $46.40 and $48.34. ATM implied volatility averaged 30.8%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 18.6% (HV 20d: 12.2%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 2.05.

Notable Days

2016-09-13: Highest Volume — 338 contracts
2016-09-07: Largest IV spike — 110.4% change
2016-09-08: Highest IV Rank — 54.9%
2016-09-01: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.31	$46.40	$48.34	$47.22	$48.34
Max Pain	$48.57	$40.00	$50.00	$40.00	$50.00
ATM IV	30.8%	15.5%	89.2%	25.2%	16.6%
Expected Move	5.6%	4.5%	7.2%	7.2%	4.8%
HV 20d	12.2%	8.2%	16.4%	13.1%	16.4%
HV 60d	18.4%	13.9%	21.5%	21.4%	14.4%
IV Rank	10.9%	0.0%	54.9%	6.5%	0.8%
IV Percentile	33.0%	0.0%	97.2%	33.3%	1.6%
Term Structure	-0.3%	-9.1%	2.4%	-9.1%	0.2%
VWIV	21.6%	16.7%	33.0%	30.4%	23.0%
Skew 25d	3.5%	1.9%	5.7%	5.7%	4.5%
Skew 10d	-1.4%	-25.6%	11.0%	8.0%	-25.6%
Call IV 25d	18.2%	16.5%	20.2%	19.0%	17.4%
Put IV 25d	21.7%	19.9%	24.7%	24.7%	21.9%
Bid-Ask Spread %	100.64	85.46	132.77	118.40	106.78
Gamma HHI	0.63	0.41	0.91	0.86	0.53
Net GEX	14.0K	235	34.2K	27.5K	21.0K
Net DEX	-780.9K	-1.1M	-521.3K	-816.1K	-1.1M
Net VEX	-2.7K	-3.6K	-1.7K	-1.9K	-3.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.05	0.47	4.04	0.77	1.56
Total Volume	228.429	115	338	115	302
Total OI	462.714	298	619	298	619

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
2016-09-01	$47.22	$40.00	25.2%	7.2%	13.1%	6.5%	30.4%	5.7%	-9.1%	27.5K	-816.1K	-1.9K	0.77	118.40	65	50	239	59
2016-09-02	$47.74	$40.00	21.3%	6.1%	11.2%	3.5%	33.0%	5.5%	2.4%	25.7K	-866.4K	-1.8K	0.77	132.77	65	50	239	61
2016-09-06	$47.26	$45.00	39.9%	5.9%	11.2%	17.6%	20.6%	3.0%	-0.4%	27.6K	-822.2K	-1.8K	0.77	90.38	65	50	239	61
2016-09-07	$47.54	$45.00	84.0%	4.8%	11.1%	51.0%	16.7%	2.5%	-0.0%	26.4K	-846.9K	-1.7K	0.95	99.97	65	62	239	61
2016-09-08	$47.74	$50.00	89.2%	4.9%	10.4%	54.9%	17.5%	3.0%	0.6%	23.1K	-821.5K	-1.7K	0.95	99.69	65	62	239	73
2016-09-09	$47.62	$50.00	42.7%	4.9%	10.0%	19.7%	16.8%	2.6%	0.3%	23.4K	-816.3K	-1.8K	0.95	95.26	65	62	239	73
2016-09-12	$47.67	$50.00	64.1%	5.1%	8.2%	35.9%	18.0%	2.7%	-0.1%	23.6K	-820.3K	-1.7K	0.47	90.32	133	62	239	73
2016-09-13	$46.79	$50.00	27.3%	6.4%	11.1%	8.0%	21.5%	4.4%	-0.5%	34.2K	-780.2K	-2.6K	1.45	85.46	138	200	294	73
2016-09-14	$46.40	$50.00	21.6%	6.2%	11.6%	3.7%	21.1%	4.8%	-0.6%	235	-521.3K	-3.6K	1.45	87.81	138	200	304	236
2016-09-15	$46.72	$50.00	21.2%	6.1%	11.8%	3.5%	20.6%	3.5%	-0.0%	1.1K	-588.7K	-3.4K	2.00	98.53	100	200	304	236
2016-09-16	$46.57	$50.00	21.1%	6.1%	11.6%	3.4%	20.6%	3.1%	-0.2%	664	-578.8K	-3.4K	2.00	97.94	100	200	304	236
2016-09-19	$46.57	$50.00	21.5%	6.2%	11.6%	3.7%	21.3%	3.7%	-0.6%	998	-579.3K	-3.3K	1.90	100.11	100	190	305	226
2016-09-20	$46.86	$50.00	21.6%	6.2%	11.7%	3.8%	21.0%	3.1%	-0.4%	1.2K	-632.5K	-3.3K	4.04	101.00	47	190	305	227
2016-09-21	$47.17	$50.00	21.2%	6.1%	11.5%	3.4%	20.6%	2.2%	0.1%	5.5K	-726.5K	-3.4K	4.04	101.52	47	190	325	227
2016-09-22	$47.77	$50.00	16.5%	4.7%	12.2%	0.0%	21.5%	3.9%	0.2%	7.6K	-877.0K	-3.1K	4.04	100.78	47	190	325	227
2016-09-23	$47.88	$50.00	15.7%	4.5%	12.0%	0.0%	20.6%	3.1%	0.7%	8.2K	-896.7K	-3.0K	3.91	99.44	47	184	325	227
2016-09-26	$46.92	$50.00	22.4%	6.4%	14.2%	5.0%	22.3%	2.1%	-1.1%	4.9K	-719.5K	-3.2K	3.91	104.89	47	184	325	221
2016-09-27	$47.29	$50.00	21.4%	6.1%	14.4%	4.2%	21.3%	1.9%	0.0%	6.7K	-804.9K	-3.0K	3.91	102.02	47	184	325	221
2016-09-28	$47.95	$50.00	16.3%	4.7%	15.1%	0.4%	21.9%	4.5%	1.8%	10.3K	-940.2K	-2.8K	1.56	94.74	118	184	326	221
2016-09-29	$47.51	$50.00	15.5%	4.5%	15.4%	0.0%	22.3%	4.0%	-0.0%	13.7K	-886.7K	-3.3K	1.56	105.55	118	184	398	221
2016-09-30	$48.34	$50.00	16.6%	4.8%	16.4%	0.8%	23.0%	4.5%	0.2%	21.0K	-1.1M	-3.1K	1.56	106.78	118	184	398	221