CBU Options History — January 2009

Name: CBU Options Analytics - January 2009
Creator: Options Analysis Suite

In January 2009, CBU traded between $17.95 and $23.86. ATM implied volatility averaged 63.1%. The 30-day expected move averaged 17.7%. IV traded above realized volatility by 13.8% (HV 20d: 49.3%). Max pain ranged from $17.50 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.11.

Notable Days

2009-01-20: Highest Volume — 501 contracts
2009-01-15: Largest IV spike — 29.3% change
2009-01-15: Largest Expected Move — 21.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.70	$17.95	$23.86	$23.86	$17.95
Max Pain	$23.50	$17.50	$30.00	$25.00	$17.50
ATM IV	63.1%	44.7%	76.3%	58.0%	57.5%
Expected Move	17.7%	12.8%	21.9%	16.6%	16.5%
HV 20d	49.3%	31.9%	61.0%	55.2%	59.0%
HV 60d	74.2%	73.1%	75.0%	74.2%	74.3%
Term Structure	0.1%	-12.8%	10.6%	2.9%	-0.3%
VWIV	61.7%	38.5%	78.7%	78.7%	38.5%
Bid-Ask Spread %	70.44	28.39	110.14	84.14	97.15
Gamma HHI	0.68	0.34	0.99	0.94	0.57
Net GEX	25.8K	1.1K	39.5K	39.5K	33.3K
Net DEX	-429.9K	-1.0M	-33.2K	-474.0K	-655.7K
Net VEX	-1.1K	-1.8K	-470	-1.3K	-1.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.11	0.00	1.20	0.00	0.00
Total Volume	41.4	0	501	10	0
Total OI	682.65	326	859	570	859

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
2009-01-02	$23.86	$25.00	58.0%	16.6%	55.2%	0.0%	0.0%	0.0%	2.9%	39.5K	-474.0K	-1.3K	0.00	84.14	10	0	550	20
2009-01-05	$23.42	$30.00	73.9%	18.4%	55.4%	0.0%	0.0%	0.0%	-6.8%	37.3K	-386.2K	-1.1K	0.00	57.35	2	0	560	20
2009-01-06	$23.18	$30.00	64.9%	17.2%	53.0%	0.0%	0.0%	0.0%	0.4%	37.8K	-298.0K	-966	0.00	44.16	1	0	560	20
2009-01-07	$23.14	$30.00	70.4%	17.5%	52.9%	0.0%	0.0%	0.0%	0.6%	34.0K	-259.6K	-868	0.00	52.02	0	0	560	20
2009-01-08	$22.93	$30.00	62.2%	17.0%	50.0%	0.0%	0.0%	0.0%	0.8%	38.6K	-247.0K	-796	0.00	58.30	20	0	560	20
2009-01-09	$22.13	$30.00	75.6%	21.5%	50.4%	0.0%	0.0%	0.0%	5.8%	23.8K	-179.4K	-515	0.00	61.59	0	0	535	0
2009-01-12	$21.60	$30.00	66.8%	19.5%	42.7%	0.0%	0.0%	0.0%	-6.0%	17.2K	-100.5K	-568	0.00	45.37	10	0	580	20
2009-01-13	$22.28	$30.00	75.4%	18.4%	41.2%	0.0%	0.0%	0.0%	-3.5%	19.0K	-108.9K	-594	0.00	53.75	10	0	590	20
2009-01-14	$21.49	$30.00	59.0%	18.9%	40.7%	0.0%	0.0%	0.0%	-2.1%	3.2K	-44.0K	-479	0.00	63.74	0	0	600	20
2009-01-15	$21.37	$30.00	76.3%	21.9%	31.9%	0.0%	78.7%	0.0%	-12.8%	1.9K	-41.4K	-485	1.20	84.48	10	12	600	20
2009-01-16	$20.56	$17.50	61.8%	17.7%	34.2%	0.0%	62.4%	0.0%	0.0%	1.1K	-33.2K	-470	0.00	89.02	210	0	610	32
2009-01-20	$18.76	$17.50	57.1%	16.4%	45.8%	0.0%	73.7%	0.0%	2.8%	8.9K	-183.7K	-833	0.00	75.17	500	1	294	32
2009-01-21	$19.45	$17.50	59.1%	17.0%	48.4%	0.0%	59.4%	0.0%	0.0%	29.1K	-867.3K	-1.7K	0.00	80.81	22	0	794	33
2009-01-22	$18.45	$17.50	69.4%	19.9%	50.8%	0.0%	0.0%	0.0%	1.2%	26.0K	-735.7K	-1.8K	0.00	28.39	0	0	816	33
2009-01-23	$18.88	$17.50	54.0%	15.5%	52.2%	0.0%	57.4%	0.0%	-4.1%	32.6K	-759.0K	-1.7K	0.00	102.87	10	0	816	33
2009-01-26	$18.37	$17.50	61.1%	17.5%	52.3%	0.0%	38.5%	0.0%	10.6%	30.3K	-755.0K	-1.7K	0.00	88.09	0	10	816	33
2009-01-27	$18.53	$17.50	59.8%	17.2%	52.1%	0.0%	0.0%	0.0%	-2.6%	33.6K	-706.9K	-1.6K	0.00	90.73	0	0	816	43
2009-01-28	$19.65	$17.50	44.7%	12.8%	57.7%	0.0%	0.0%	0.0%	7.3%	34.4K	-1.0M	-1.5K	0.00	41.47	0	0	816	43
2009-01-29	$18.08	$17.50	55.2%	15.8%	61.0%	0.0%	0.0%	0.0%	7.5%	33.4K	-753.5K	-1.5K	0.00	110.14	0	0	816	43
2009-01-30	$17.95	$17.50	57.5%	16.5%	59.0%	0.0%	0.0%	0.0%	-0.3%	33.3K	-655.7K	-1.5K	0.00	97.15	0	0	816	43