CBU Options History — March 2009

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

In March 2009, CBU traded between $13.74 and $18.04. ATM implied volatility averaged 65.5%. The 30-day expected move averaged 18.4%. IV traded above realized volatility by 1.3% (HV 20d: 64.2%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.07.

Notable Days

2009-03-06: Highest Volume — 150 contracts
2009-03-09: Largest IV spike — 74.3% change
2009-03-09: Largest Expected Move — 21.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.97	$13.74	$18.04	$16.39	$16.75
Max Pain	$15.83	$15.00	$17.50	$17.50	$15.00
ATM IV	65.5%	51.1%	100.6%	51.1%	58.7%
Expected Move	18.4%	14.6%	21.6%	14.6%	16.8%
HV 20d	64.2%	50.9%	75.7%	50.9%	74.7%
HV 60d	58.9%	55.4%	62.7%	55.4%	62.7%
Term Structure	-2.8%	-10.5%	7.9%	0.7%	-2.8%
VWIV	56.8%	53.1%	59.3%	59.3%	58.5%
Skew 25d	12.0%	-17.4%	26.9%	22.6%	11.5%
Skew 10d	23.4%	-8.4%	39.8%	32.8%	26.7%
Call IV 25d	56.5%	47.3%	85.4%	49.0%	52.5%
Put IV 25d	68.5%	50.5%	86.5%	71.6%	64.0%
Bid-Ask Spread %	74.31	57.44	91.70	91.34	91.70
Gamma HHI	0.37	0.25	0.51	0.51	0.32
Net GEX	-2.6K	-6.1K	-780	-2.0K	-1.6K
Net DEX	132.9K	21.9K	242.5K	71.9K	55.7K
Net VEX	-728	-958	-187	-369	-882
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.07	0.00	0.36	0.00	0.00
Total Volume	14.273	0	150	0	0
Total OI	355.409	227	443	227	388

Daily Data (22 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
2009-03-02	$16.39	$17.50	51.1%	14.6%	50.9%	0.0%	0.0%	22.6%	0.7%	-2.0K	71.9K	-369	0.00	91.34	0	0	131	96
2009-03-03	$15.76	$17.50	67.5%	19.4%	51.5%	0.0%	0.0%	10.5%	0.8%	-1.9K	93.3K	-296	0.00	76.27	0	0	131	96
2009-03-04	$15.52	$17.50	68.1%	19.5%	51.5%	0.0%	0.0%	6.8%	-4.3%	-1.8K	96.2K	-283	0.00	65.41	0	0	131	96
2009-03-05	$14.19	$17.50	62.9%	18.0%	58.5%	0.0%	0.0%	-7.9%	-7.2%	-1.1K	103.9K	-209	0.00	73.13	0	0	131	96
2009-03-06	$13.93	$0.00	57.7%	17.7%	57.1%	0.0%	0.0%	-14.2%	-2.1%	-780	109.3K	-187	0.00	87.74	0	150	131	96
2009-03-09	$13.74	$0.00	100.6%	21.6%	51.6%	0.0%	0.0%	-17.4%	-2.9%	-2.6K	196.9K	-740	0.00	75.59	0	0	131	246
2009-03-10	$14.92	$0.00	72.7%	19.5%	62.7%	0.0%	0.0%	21.2%	-2.9%	-3.5K	213.5K	-776	0.00	66.07	0	0	131	246
2009-03-11	$14.88	$0.00	72.8%	19.7%	56.4%	0.0%	0.0%	24.8%	-3.8%	-3.6K	203.1K	-780	0.00	69.09	0	29	131	246
2009-03-12	$15.86	$0.00	68.1%	19.5%	61.1%	0.0%	0.0%	26.9%	-2.5%	-4.5K	242.5K	-862	0.00	75.63	0	0	131	275
2009-03-13	$15.72	$0.00	69.7%	20.0%	61.1%	0.0%	0.0%	25.8%	-2.6%	-4.4K	233.6K	-849	0.00	61.25	0	0	131	275
2009-03-16	$15.12	$0.00	72.4%	20.7%	61.2%	0.0%	0.0%	14.1%	-7.5%	-3.9K	237.4K	-787	0.00	79.49	0	0	131	275
2009-03-17	$16.17	$0.00	67.8%	19.4%	66.1%	0.0%	0.0%	11.7%	-2.1%	-5.2K	237.4K	-846	0.00	74.42	2	0	131	275
2009-03-18	$16.63	$0.00	59.8%	17.1%	67.0%	0.0%	0.0%	14.0%	-2.9%	-6.1K	226.8K	-870	0.00	63.18	3	0	133	275
2009-03-19	$15.93	$0.00	63.1%	18.1%	68.0%	0.0%	59.3%	15.5%	7.9%	-3.7K	201.1K	-814	0.36	66.40	55	20	133	255
2009-03-20	$15.99	$15.00	64.5%	18.5%	68.0%	0.0%	56.3%	12.0%	-1.0%	-1.6K	152.9K	-896	0.00	70.98	0	40	188	255
2009-03-23	$17.41	$15.00	60.2%	17.3%	74.7%	0.0%	0.0%	13.9%	-1.5%	-1.8K	49.2K	-948	0.00	57.44	0	0	165	210
2009-03-24	$17.20	$15.00	66.1%	18.9%	73.3%	0.0%	53.1%	17.4%	-10.5%	-1.8K	34.9K	-924	0.00	70.40	13	0	165	210
2009-03-25	$17.55	$15.00	61.4%	17.6%	73.5%	0.0%	0.0%	12.4%	-3.9%	-1.5K	40.7K	-958	0.00	75.09	0	0	178	210
2009-03-26	$18.04	$15.00	55.9%	16.0%	73.6%	0.0%	0.0%	13.3%	-2.4%	-1.5K	21.9K	-914	0.00	85.76	0	0	178	210
2009-03-27	$17.20	$15.00	59.2%	17.0%	75.2%	0.0%	58.5%	14.1%	-3.9%	-1.6K	30.3K	-935	0.00	77.36	2	0	178	210
2009-03-30	$16.37	$15.00	61.4%	17.6%	75.7%	0.0%	0.0%	15.6%	-4.3%	-1.4K	70.8K	-889	0.00	80.99	0	0	178	210
2009-03-31	$16.75	$15.00	58.7%	16.8%	74.7%	0.0%	0.0%	11.5%	-2.8%	-1.6K	55.7K	-882	0.00	91.70	0	0	178	210