CBU Options History — April 2009

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

In April 2009, CBU traded between $15.99 and $19.86. ATM implied volatility averaged 55.4%. The 30-day expected move averaged 15.9%. IV traded below realized volatility by 15.5% (HV 20d: 70.9%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 2.44.

Notable Days

2009-04-23: Highest Volume — 113 contracts
2009-04-27: Largest IV spike — 22.1% change
2009-04-27: Largest Expected Move — 21.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.85	$15.99	$19.86	$17.30	$16.45
Max Pain	$19.52	$15.00	$20.00	$15.00	$20.00
ATM IV	55.4%	44.1%	73.2%	59.1%	44.1%
Expected Move	15.9%	12.7%	21.0%	16.9%	12.7%
HV 20d	70.9%	61.6%	83.6%	75.0%	83.6%
HV 60d	66.3%	63.1%	70.7%	63.1%	70.7%
Term Structure	1.2%	-27.4%	23.6%	-3.1%	4.2%
VWIV	55.1%	47.9%	61.9%	51.8%	51.5%
Skew 25d	12.7%	5.5%	18.4%	12.2%	14.1%
Skew 10d	22.2%	6.5%	34.4%	24.6%	23.2%
Call IV 25d	47.3%	40.0%	52.6%	50.8%	43.2%
Put IV 25d	60.0%	52.0%	65.0%	62.9%	57.3%
Bid-Ask Spread %	84.58	64.52	123.53	102.14	107.16
Gamma HHI	0.45	0.31	0.79	0.38	0.72
Net GEX	-3.3K	-7.2K	-1.2K	-1.4K	-5.5K
Net DEX	64.9K	-39.2K	211.3K	49.8K	151.8K
Net VEX	-1.0K	-1.2K	-866	-876	-1.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.44	0.00	10.30	0.00	0.00
Total Volume	16	0	113	1	0
Total OI	456.619	382	607	388	604

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
2009-04-01	$17.30	$15.00	59.1%	16.9%	75.0%	0.0%	0.0%	12.2%	-3.1%	-1.4K	49.8K	-876	0.00	102.14	1	0	178	210
2009-04-02	$17.68	$15.00	59.3%	17.0%	66.2%	0.0%	0.0%	13.9%	-3.4%	-2.1K	25.8K	-899	0.00	88.35	0	0	179	210
2009-04-03	$17.97	$20.00	53.4%	15.7%	65.3%	0.0%	0.0%	11.8%	1.9%	-3.3K	14.4K	-866	10.00	73.16	2	20	179	210
2009-04-06	$17.52	$20.00	58.0%	16.1%	66.0%	0.0%	0.0%	13.9%	1.8%	-2.5K	45.6K	-921	0.00	70.64	6	0	177	230
2009-04-07	$17.12	$20.00	55.0%	16.1%	61.6%	0.0%	0.0%	10.8%	1.8%	-2.6K	47.8K	-918	0.00	67.20	0	0	183	230
2009-04-08	$17.44	$20.00	52.7%	15.7%	61.6%	0.0%	0.0%	12.5%	2.3%	-4.1K	43.7K	-892	0.00	69.06	0	0	183	230
2009-04-09	$19.12	$20.00	48.3%	13.8%	65.7%	0.0%	51.8%	11.3%	5.6%	-3.2K	-9.6K	-914	1.30	85.62	23	30	183	230
2009-04-13	$19.86	$20.00	50.2%	14.4%	66.1%	0.0%	0.0%	17.6%	5.6%	-1.2K	-39.2K	-1.1K	0.00	84.51	0	0	186	260
2009-04-14	$18.51	$20.00	59.5%	17.1%	70.1%	0.0%	0.0%	17.4%	-1.9%	-3.2K	-3.1K	-1.0K	0.00	71.50	0	0	186	260
2009-04-15	$18.50	$20.00	56.6%	16.2%	66.9%	0.0%	0.0%	11.0%	2.2%	-4.2K	11.9K	-1.0K	0.00	81.02	0	0	186	260
2009-04-16	$18.84	$20.00	48.0%	13.8%	66.5%	0.0%	0.0%	14.7%	8.2%	-3.5K	2.7K	-1.0K	0.00	66.02	0	0	185	260
2009-04-17	$19.50	$20.00	49.1%	14.1%	64.6%	0.0%	47.9%	11.8%	8.1%	-1.2K	-29.3K	-993	0.00	64.52	20	0	185	260
2009-04-20	$17.76	$20.00	58.8%	16.8%	74.3%	0.0%	61.9%	10.2%	23.6%	-2.5K	101.2K	-963	0.00	66.57	0	20	142	240
2009-04-21	$18.82	$20.00	50.4%	14.5%	71.0%	0.0%	54.5%	5.5%	-6.1%	-2.7K	104.2K	-979	0.00	75.10	10	0	142	260
2009-04-22	$17.82	$20.00	60.2%	17.3%	73.8%	0.0%	0.0%	14.6%	-1.4%	-2.1K	87.2K	-994	0.00	100.40	0	0	152	260
2009-04-23	$17.43	$20.00	52.8%	15.1%	74.0%	0.0%	61.9%	9.4%	2.5%	-3.2K	129.3K	-962	10.30	86.89	10	103	152	260
2009-04-24	$17.86	$20.00	60.0%	17.2%	73.8%	0.0%	56.1%	12.1%	-2.1%	-4.7K	140.4K	-1.2K	0.39	97.96	59	23	162	363
2009-04-27	$16.10	$20.00	73.2%	21.0%	80.9%	0.0%	51.5%	18.4%	-27.4%	-4.8K	133.4K	-1.2K	0.00	123.53	0	6	221	386
2009-04-28	$15.99	$20.00	60.8%	17.4%	79.1%	0.0%	0.0%	7.2%	2.0%	-7.2K	211.3K	-1.2K	0.00	99.47	3	0	221	380
2009-04-29	$17.19	$20.00	53.3%	15.3%	82.9%	0.0%	0.0%	16.5%	0.5%	-5.2K	143.6K	-1.2K	0.00	95.31	0	0	224	380
2009-04-30	$16.45	$20.00	44.1%	12.7%	83.6%	0.0%	0.0%	14.1%	4.2%	-5.5K	151.8K	-1.2K	0.00	107.16	0	0	224	380