CBU Options History — December 2016

In December 2016, CBU traded between $56.94 and $62.26. ATM implied volatility averaged 22.2%, placing in the 6.5% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 1.6% (HV 20d: 20.7%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.22.

Notable Days

2016-12-22: Highest Volume — 558 contracts
2016-12-08: Largest IV spike — 39.9% change
2016-12-12: Highest IV Rank — 11.3%
2016-12-29: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$60.45	$56.94	$62.26	$57.45	$61.69
Max Pain	$59.33	$55.00	$60.00	$55.00	$60.00
ATM IV	22.2%	15.4%	27.5%	21.0%	23.5%
Expected Move	6.3%	5.5%	6.8%	6.0%	6.7%
HV 20d	20.7%	17.8%	26.2%	25.9%	19.1%
HV 60d	22.5%	21.9%	23.2%	21.9%	22.1%
IV Rank	6.5%	0.5%	11.3%	5.5%	7.7%
IV Percentile	32.7%	0.8%	52.8%	23.8%	42.5%
Term Structure	0.4%	-1.0%	4.7%	4.7%	-1.0%
VWIV	22.5%	21.1%	24.2%	24.2%	23.4%
Skew 25d	3.4%	2.6%	4.8%	4.8%	4.0%
Skew 10d	7.4%	1.3%	11.5%	3.5%	9.1%
Call IV 25d	20.5%	18.5%	21.8%	18.5%	20.8%
Put IV 25d	23.9%	22.1%	25.6%	23.3%	24.8%
Bid-Ask Spread %	95.86	89.81	107.56	106.92	99.77
Gamma HHI	0.40	0.34	0.50	0.38	0.34
Net GEX	103.7K	44.1K	150.5K	46.8K	134.7K
Net DEX	-3.5M	-4.6M	-1.8M	-1.9M	-4.4M
Net VEX	-6.2K	-7.4K	-4.2K	-5.5K	-7.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.22	0.08	0.55	0.27	0.52
Total Volume	360.857	202	558	208	284
Total OI	1,103.143	813	1,402	813	1,402

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
2016-12-01	$57.45	$55.00	21.0%	6.0%	25.9%	5.5%	24.2%	4.8%	4.7%	46.8K	-1.9M	-5.5K	0.27	106.92	164	44	517	296
2016-12-02	$56.94	$55.00	20.8%	6.0%	26.2%	5.3%	23.9%	2.8%	3.8%	44.1K	-1.8M	-5.6K	0.23	107.56	166	39	517	296
2016-12-05	$57.89	$0.00	15.4%	5.7%	26.2%	0.5%	0.0%	3.5%	0.7%	49.1K	-2.0M	-5.3K	0.24	96.92	164	39	522	296
2016-12-06	$58.94	$0.00	15.7%	5.5%	26.0%	0.8%	0.0%	2.7%	0.9%	54.6K	-2.2M	-4.7K	0.24	93.37	163	39	523	296
2016-12-07	$59.45	$0.00	18.0%	5.7%	25.1%	2.8%	0.0%	3.1%	0.3%	57.1K	-2.2M	-5.0K	0.24	93.02	163	39	527	296
2016-12-08	$60.80	$0.00	25.2%	6.5%	23.7%	9.2%	0.0%	3.4%	-0.8%	52.7K	-2.4M	-4.6K	0.25	89.81	177	44	527	296
2016-12-09	$61.78	$0.00	25.6%	6.5%	20.4%	9.6%	0.0%	2.6%	0.3%	56.9K	-2.7M	-4.2K	0.11	93.40	392	44	545	301
2016-12-12	$60.62	$0.00	27.5%	6.5%	18.0%	11.3%	22.5%	3.0%	-0.2%	116.4K	-3.2M	-6.5K	0.11	91.60	399	44	756	301
2016-12-13	$60.57	$60.00	27.1%	6.3%	17.8%	10.9%	21.9%	3.5%	-0.2%	128.9K	-3.9M	-6.5K	0.11	92.70	399	42	873	301
2016-12-14	$60.14	$60.00	22.6%	6.5%	18.4%	6.9%	22.6%	3.8%	0.2%	126.6K	-3.7M	-7.1K	0.13	90.33	398	50	873	304
2016-12-15	$61.26	$60.00	22.6%	6.5%	18.4%	6.9%	22.5%	3.2%	-0.8%	120.6K	-4.1M	-6.5K	0.12	92.47	402	50	885	315
2016-12-16	$60.49	$60.00	21.7%	6.2%	18.9%	6.1%	21.7%	3.8%	-0.4%	121.8K	-4.0M	-6.7K	0.12	91.04	402	48	897	312
2016-12-19	$60.34	$60.00	21.4%	6.1%	18.4%	5.8%	21.1%	3.4%	-0.2%	123.6K	-3.9M	-6.4K	0.10	94.51	390	38	884	282
2016-12-20	$61.26	$60.00	21.9%	6.3%	18.5%	6.2%	21.6%	2.9%	-0.2%	119.6K	-4.1M	-6.0K	0.10	92.36	390	38	885	282
2016-12-21	$61.58	$60.00	22.0%	6.3%	18.5%	6.4%	21.6%	3.1%	0.5%	114.1K	-4.2M	-6.2K	0.08	98.40	500	38	885	282
2016-12-22	$61.45	$60.00	21.9%	6.3%	18.6%	6.2%	21.6%	2.9%	0.4%	146.2K	-4.4M	-7.0K	0.08	97.13	516	42	1,007	282
2016-12-23	$61.36	$60.00	21.9%	6.3%	18.7%	6.3%	21.4%	3.3%	0.5%	146.8K	-4.4M	-7.0K	0.08	98.08	512	42	1,023	286
2016-12-27	$62.26	$60.00	23.6%	6.8%	18.5%	7.8%	23.5%	3.0%	-0.5%	150.5K	-4.6M	-6.8K	0.52	97.07	194	100	1,025	286
2016-12-28	$61.65	$60.00	23.3%	6.7%	19.2%	7.5%	23.4%	3.8%	-0.1%	130.6K	-4.5M	-7.1K	0.52	98.40	194	100	1,042	349
2016-12-29	$61.56	$60.00	23.7%	6.8%	19.3%	7.8%	23.8%	4.3%	-0.4%	136.6K	-4.3M	-7.3K	0.55	98.18	187	102	1,042	350
2016-12-30	$61.69	$60.00	23.5%	6.7%	19.1%	7.7%	23.4%	4.0%	-1.0%	134.7K	-4.4M	-7.4K	0.52	99.77	187	97	1,043	359