CBU Options History — January 2017

In January 2017, CBU traded between $57.28 and $62.37. ATM implied volatility averaged 26.5%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 2.1% (HV 20d: 24.3%). Max pain ranged from $50.00 to $60.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.44.

Notable Days

2017-01-19: Highest Volume — 657 contracts
2017-01-26: Largest IV spike — 65.6% change
2017-01-26: Highest IV Rank — 36.9%
2017-01-26: Largest Expected Move — 13.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$59.59	$57.28	$62.37	$61.82	$58.67
Max Pain	$51.00	$50.00	$60.00	$60.00	$50.00
ATM IV	26.5%	21.6%	45.7%	25.0%	24.2%
Expected Move	7.7%	6.2%	13.1%	7.2%	6.9%
HV 20d	24.3%	18.0%	31.4%	18.5%	31.3%
HV 60d	24.6%	22.0%	27.1%	22.1%	26.9%
IV Rank	13.2%	6.0%	36.9%	9.0%	11.1%
IV Percentile	49.5%	28.6%	83.3%	48.8%	49.2%
Term Structure	-1.8%	-16.8%	6.3%	-1.5%	-0.4%
VWIV	33.2%	23.2%	46.9%	25.0%	24.6%
Skew 25d	3.0%	-9.5%	10.0%	2.2%	4.2%
Skew 10d	6.8%	-19.3%	34.9%	0.7%	6.3%
Call IV 25d	25.7%	17.8%	57.8%	22.4%	22.4%
Put IV 25d	28.6%	21.9%	48.3%	24.6%	26.6%
Bid-Ask Spread %	90.55	77.02	117.68	101.26	87.88
Gamma HHI	0.38	0.30	0.46	0.35	0.45
Net GEX	165.0K	104.3K	246.8K	131.8K	246.8K
Net DEX	-4.0M	-6.7M	-2.4M	-4.5M	-4.8M
Net VEX	-7.4K	-9.6K	-5.7K	-6.8K	-6.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.44	0.25	0.67	0.39	0.41
Total Volume	397.15	260	657	260	341
Total OI	1,652.55	1,406	1,834	1,406	1,830

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
2017-01-03	$61.82	$60.00	25.0%	7.2%	18.5%	9.0%	25.0%	2.2%	-1.5%	131.8K	-4.5M	-6.8K	0.39	101.26	187	73	1,043	363
2017-01-04	$62.30	$60.00	24.6%	7.0%	18.0%	8.6%	24.6%	2.8%	-0.7%	123.4K	-4.6M	-6.7K	0.65	102.51	195	126	1,042	393
2017-01-05	$60.15	$50.00	22.0%	6.7%	21.9%	6.4%	37.4%	4.0%	-0.4%	108.5K	-3.5M	-8.6K	0.65	77.90	195	126	1,053	447
2017-01-06	$59.99	$50.00	21.6%	6.5%	21.7%	6.0%	33.6%	3.3%	0.5%	108.5K	-3.5M	-8.1K	0.62	83.89	204	126	1,053	447
2017-01-09	$58.91	$50.00	23.0%	7.2%	21.0%	7.3%	37.7%	1.9%	-1.2%	105.3K	-3.1M	-8.2K	0.67	77.02	196	132	1,063	447
2017-01-10	$60.04	$50.00	22.5%	6.9%	21.4%	9.2%	34.3%	4.3%	-0.6%	104.3K	-3.6M	-8.0K	0.45	83.28	291	132	1,063	460
2017-01-11	$60.36	$50.00	23.8%	6.8%	20.5%	10.7%	35.2%	3.4%	-0.5%	174.5K	-4.0M	-8.4K	0.45	82.78	291	132	1,166	460
2017-01-12	$58.49	$50.00	26.0%	7.5%	23.3%	13.3%	36.5%	4.0%	-0.9%	154.6K	-2.9M	-8.4K	0.43	80.90	309	132	1,166	460
2017-01-13	$59.10	$50.00	25.9%	7.4%	23.6%	13.1%	38.8%	4.2%	-1.2%	146.8K	-3.2M	-8.3K	0.43	81.33	309	132	1,147	460
2017-01-17	$57.48	$50.00	29.8%	8.5%	24.3%	17.8%	40.2%	3.4%	-3.3%	136.6K	-2.5M	-7.6K	0.43	87.24	309	132	1,147	460
2017-01-18	$57.31	$50.00	29.0%	8.3%	24.0%	16.9%	32.0%	5.3%	-2.5%	140.2K	-2.4M	-7.2K	0.27	90.21	489	131	1,193	460
2017-01-19	$57.28	$50.00	43.8%	12.6%	24.0%	34.7%	40.6%	10.0%	-16.8%	133.9K	-2.6M	-6.7K	0.25	111.06	526	131	1,262	470
2017-01-20	$57.84	$50.00	22.7%	6.5%	23.6%	9.3%	31.4%	4.5%	-0.6%	165.8K	-2.9M	-6.9K	0.34	84.23	382	128	1,262	447
2017-01-23	$58.63	$50.00	23.0%	6.6%	24.1%	9.7%	23.2%	-0.9%	6.3%	222.1K	-3.8M	-5.7K	0.37	104.60	281	105	1,278	397
2017-01-24	$60.17	$50.00	21.7%	6.2%	26.1%	8.1%	26.6%	6.1%	1.0%	230.8K	-5.3M	-6.8K	0.45	90.16	231	105	1,388	397
2017-01-25	$62.37	$50.00	27.6%	7.9%	29.2%	15.2%	32.0%	2.8%	-5.8%	238.3K	-6.7M	-6.3K	0.41	84.18	242	99	1,438	387
2017-01-26	$61.74	$50.00	45.7%	13.1%	29.0%	36.9%	46.9%	-9.5%	-7.1%	145.0K	-6.0M	-9.6K	0.41	117.68	242	99	1,447	387
2017-01-27	$60.43	$50.00	23.0%	6.6%	29.8%	9.7%	34.6%	2.8%	0.4%	238.1K	-5.7M	-6.5K	0.41	92.53	242	99	1,447	387
2017-01-30	$58.72	$50.00	24.6%	7.0%	31.4%	11.6%	29.6%	0.2%	-0.7%	243.9K	-4.8M	-6.3K	0.41	90.27	242	99	1,447	387
2017-01-31	$58.67	$50.00	24.2%	6.9%	31.3%	11.1%	24.6%	4.2%	-0.4%	246.8K	-4.8M	-6.2K	0.41	87.88	242	99	1,444	386