CBU Options History — February 2017

In February 2017, CBU traded between $57.65 and $60.98. ATM implied volatility averaged 23.8%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 2.7% (HV 20d: 26.5%). Max pain ranged from $50.00 to $60.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.77.

Notable Days

2017-02-16: Highest Volume — 535 contracts
2017-02-27: Largest IV spike — 5.9% change
2017-02-28: Highest IV Rank — 12.3%
2017-02-28: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$59.54	$57.65	$60.98	$58.33	$59.47
Max Pain	$59.47	$50.00	$60.00	$50.00	$60.00
ATM IV	23.8%	22.6%	25.2%	24.3%	25.2%
Expected Move	6.8%	6.5%	7.2%	7.0%	7.2%
HV 20d	26.5%	16.6%	31.4%	31.3%	16.6%
HV 60d	24.4%	23.1%	27.6%	26.9%	23.3%
IV Rank	10.6%	9.2%	12.3%	11.3%	12.3%
IV Percentile	49.0%	40.1%	59.9%	50.0%	59.9%
Term Structure	-0.2%	-1.5%	0.8%	-0.4%	-1.4%
VWIV	23.4%	21.8%	35.4%	35.4%	24.8%
Skew 25d	3.7%	2.0%	8.3%	3.2%	6.4%
Skew 10d	6.5%	-1.7%	13.1%	5.9%	10.4%
Call IV 25d	22.3%	19.0%	24.0%	23.5%	21.8%
Put IV 25d	26.1%	24.8%	28.2%	26.7%	28.2%
Bid-Ask Spread %	95.66	85.43	106.86	88.73	104.70
Gamma HHI	0.66	0.45	0.96	0.45	0.58
Net GEX	249.7K	36.2K	820.1K	246.6K	36.2K
Net DEX	-3.7M	-6.5M	-235.1K	-4.6M	-235.1K
Net VEX	-4.6K	-6.0K	-3.3K	-6.0K	-4.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.77	0.23	2.04	0.51	2.04
Total Volume	293.211	120	535	293	143
Total OI	1,436.421	517	1,992	1,830	542

Daily Data (19 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
2017-02-01	$58.33	$50.00	24.3%	7.0%	31.3%	11.3%	35.4%	3.2%	-0.4%	246.6K	-4.6M	-6.0K	0.51	88.73	194	99	1,444	386
2017-02-02	$57.65	$60.00	23.2%	7.1%	31.2%	9.9%	23.4%	3.2%	-0.6%	246.8K	-4.2M	-5.7K	0.51	91.00	194	99	1,445	386
2017-02-03	$59.45	$60.00	23.4%	6.8%	31.2%	10.1%	22.2%	3.9%	0.1%	262.1K	-5.2M	-5.4K	0.51	85.43	195	99	1,445	386
2017-02-06	$58.78	$60.00	24.3%	6.9%	31.4%	11.2%	22.8%	2.7%	-0.4%	258.4K	-4.9M	-5.0K	0.51	90.03	195	99	1,447	386
2017-02-07	$58.65	$60.00	24.2%	6.8%	30.8%	11.1%	22.5%	4.1%	0.4%	260.6K	-4.8M	-5.0K	0.51	93.55	195	99	1,447	386
2017-02-08	$58.24	$60.00	23.4%	6.7%	30.0%	10.2%	23.3%	2.7%	0.6%	256.2K	-4.6M	-4.5K	0.46	91.39	215	99	1,447	386
2017-02-09	$58.68	$60.00	23.4%	6.7%	30.1%	10.1%	22.6%	3.1%	0.2%	270.8K	-4.9M	-4.6K	0.42	94.96	234	99	1,465	386
2017-02-10	$58.76	$60.00	22.6%	6.5%	27.9%	9.2%	22.4%	2.8%	0.8%	270.2K	-5.1M	-4.0K	0.48	86.92	205	99	1,485	386
2017-02-13	$59.42	$60.00	23.4%	6.7%	28.0%	10.2%	22.0%	2.9%	0.5%	304.4K	-5.4M	-3.7K	0.48	95.15	205	99	1,485	386
2017-02-14	$60.19	$60.00	23.4%	6.7%	26.2%	10.1%	22.1%	3.4%	0.0%	380.6K	-6.0M	-3.7K	0.46	95.74	214	99	1,485	386
2017-02-15	$60.39	$60.00	24.1%	6.9%	26.1%	11.0%	22.4%	3.8%	-0.7%	414.5K	-6.5M	-3.5K	0.24	96.45	418	99	1,515	386
2017-02-16	$60.22	$60.00	23.4%	6.7%	26.2%	10.2%	21.8%	3.7%	0.2%	466.5K	-6.0M	-3.3K	0.23	99.69	436	99	1,426	386
2017-02-17	$60.05	$60.00	23.4%	6.7%	26.1%	10.2%	22.4%	2.7%	0.3%	820.1K	-6.1M	-4.9K	0.25	97.89	421	104	1,606	386
2017-02-21	$60.52	$60.00	24.1%	6.9%	25.8%	11.0%	22.5%	4.1%	-1.0%	49.6K	-426.7K	-4.8K	0.30	99.84	242	73	357	160
2017-02-22	$60.98	$60.00	24.1%	6.9%	24.3%	11.0%	22.5%	3.7%	-0.8%	52.0K	-489.8K	-5.0K	1.55	100.06	47	73	357	160
2017-02-23	$60.86	$60.00	23.6%	6.8%	20.5%	10.5%	22.4%	4.4%	-0.4%	50.8K	-459.3K	-4.8K	1.55	96.61	47	73	357	160
2017-02-24	$60.26	$60.00	23.6%	6.8%	20.4%	10.4%	23.8%	2.0%	-0.5%	47.1K	-384.7K	-4.6K	1.55	102.50	47	73	357	160
2017-02-27	$60.31	$60.00	25.0%	7.2%	19.0%	12.1%	23.8%	8.3%	-1.5%	49.9K	-407.8K	-4.7K	1.98	106.86	47	93	362	160
2017-02-28	$59.47	$60.00	25.2%	7.2%	16.6%	12.3%	24.8%	6.4%	-1.4%	36.2K	-235.1K	-4.4K	2.04	104.70	47	96	362	180