CBU Options History — November 2016

In November 2016, CBU traded between $46.00 and $56.77. ATM implied volatility averaged 27.2%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 2.4% (HV 20d: 24.8%). Max pain ranged from $40.00 to $55.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.70.

Notable Days

2016-11-17: Highest Volume — 402 contracts
2016-11-16: Largest IV spike — 74.8% change
2016-11-10: Highest IV Rank — 30.6%
2016-11-10: Largest Expected Move — 14.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$52.29	$46.00	$56.77	$46.83	$56.77
Max Pain	$51.67	$40.00	$55.00	$40.00	$55.00
ATM IV	27.2%	19.1%	49.2%	24.3%	22.6%
Expected Move	7.9%	5.5%	14.1%	7.0%	6.5%
HV 20d	24.8%	16.3%	30.0%	16.5%	27.1%
HV 60d	19.6%	15.1%	22.1%	15.2%	21.8%
IV Rank	11.0%	3.7%	30.6%	8.4%	6.8%
IV Percentile	39.9%	13.5%	81.7%	40.5%	35.3%
Term Structure	-8.3%	-37.5%	7.6%	7.0%	-0.5%
VWIV	20.9%	19.0%	24.3%	24.3%	22.8%
Skew 25d	6.0%	-7.3%	17.9%	8.1%	7.7%
Skew 10d	11.7%	-43.3%	60.3%	60.3%	8.6%
Call IV 25d	23.1%	13.9%	61.0%	17.2%	15.2%
Put IV 25d	29.1%	18.4%	72.1%	25.3%	22.9%
Bid-Ask Spread %	115.76	100.27	128.43	112.49	111.81
Gamma HHI	0.44	0.29	0.74	0.51	0.30
Net GEX	73.5K	56.1K	90.4K	78.6K	56.1K
Net DEX	-2.2M	-3.5M	-906.7K	-1.1M	-2.2M
Net VEX	-5.8K	-6.9K	-4.4K	-4.9K	-6.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.70	0.27	3.37	1.47	0.27
Total Volume	226.762	67	402	215	208
Total OI	920.333	834	1,152	835	928

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
2016-11-01	$46.83	$40.00	24.3%	7.0%	16.5%	8.4%	24.3%	8.1%	7.0%	78.6K	-1.1M	-4.9K	1.47	112.49	87	128	670	165
2016-11-02	$46.26	$40.00	23.7%	6.8%	16.3%	7.9%	23.7%	4.5%	7.6%	78.1K	-989.4K	-4.7K	3.37	113.41	38	128	670	165
2016-11-03	$46.00	$0.00	24.0%	6.7%	16.3%	8.1%	0.0%	3.2%	-5.5%	78.2K	-906.7K	-4.5K	3.37	100.27	38	128	671	165
2016-11-04	$46.21	$0.00	23.8%	7.7%	16.4%	7.9%	0.0%	7.5%	-9.8%	80.2K	-946.7K	-4.4K	3.37	121.63	38	128	671	165
2016-11-07	$47.18	$0.00	21.2%	6.2%	17.4%	5.6%	0.0%	5.5%	-2.3%	79.6K	-1.3M	-4.8K	3.28	121.36	39	128	671	165
2016-11-08	$46.81	$0.00	25.6%	8.3%	17.4%	9.6%	0.0%	6.1%	-11.8%	81.1K	-1.2M	-4.6K	3.05	119.80	42	128	669	165
2016-11-09	$48.57	$0.00	39.5%	11.3%	22.0%	22.0%	0.0%	-7.3%	-28.0%	69.0K	-1.7M	-4.9K	3.05	124.29	42	128	670	165
2016-11-10	$50.76	$0.00	49.2%	14.1%	25.9%	30.6%	0.0%	-0.0%	-29.5%	74.6K	-2.2M	-5.3K	1.22	121.00	106	129	671	165
2016-11-11	$53.15	$0.00	46.8%	13.4%	30.0%	28.5%	0.0%	16.4%	-29.1%	90.4K	-2.9M	-5.6K	1.22	121.71	106	129	746	167
2016-11-14	$53.98	$0.00	43.9%	12.6%	29.3%	25.9%	0.0%	6.1%	-37.5%	83.8K	-3.0M	-5.4K	1.03	123.63	151	156	746	167
2016-11-15	$54.08	$0.00	24.8%	7.1%	29.4%	8.8%	0.0%	15.8%	0.3%	87.8K	-3.1M	-6.3K	1.33	127.91	161	214	791	196
2016-11-16	$53.74	$0.00	43.3%	12.4%	29.6%	25.3%	0.0%	-5.0%	-34.2%	78.8K	-3.0M	-6.9K	1.75	128.43	122	214	801	275
2016-11-17	$54.80	$0.00	20.6%	5.9%	29.6%	5.1%	0.0%	5.9%	-0.2%	71.4K	-3.2M	-6.7K	1.14	107.53	188	214	801	275
2016-11-18	$55.82	$0.00	20.3%	5.8%	29.6%	4.9%	20.3%	7.5%	-0.4%	80.0K	-3.5M	-6.8K	1.68	109.41	148	249	877	275
2016-11-21	$55.54	$55.00	19.8%	5.7%	28.4%	4.3%	19.3%	7.3%	-0.8%	65.0K	-2.2M	-6.8K	1.31	110.07	128	168	659	246
2016-11-22	$55.98	$55.00	19.2%	5.5%	28.4%	3.8%	19.2%	3.3%	-0.5%	64.0K	-2.3M	-6.6K	0.84	114.15	128	108	661	268
2016-11-23	$56.32	$55.00	19.1%	5.5%	28.3%	3.7%	19.0%	5.1%	-0.0%	62.2K	-2.4M	-6.5K	0.45	111.88	93	42	661	268
2016-11-25	$56.66	$55.00	19.3%	5.5%	27.8%	3.9%	19.4%	17.9%	0.4%	61.6K	-2.5M	-6.4K	0.45	111.13	93	42	663	281
2016-11-28	$56.19	$55.00	19.6%	5.6%	27.8%	4.2%	19.7%	4.5%	0.3%	62.0K	-2.4M	-6.4K	1.68	109.03	25	42	663	281
2016-11-29	$56.44	$55.00	20.8%	6.0%	27.7%	5.3%	21.2%	5.9%	1.2%	60.9K	-2.4M	-6.8K	0.33	110.12	134	44	667	281
2016-11-30	$56.77	$55.00	22.6%	6.5%	27.1%	6.8%	22.8%	7.7%	-0.5%	56.1K	-2.2M	-6.8K	0.27	111.81	164	44	632	296