CBU Options History — May 2009

In May 2009, CBU traded between $14.82 and $18.00. ATM implied volatility averaged 54.6%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded below realized volatility by 25.8% (HV 20d: 80.4%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.82.

Notable Days

2009-05-15: Highest Volume — 51 contracts
2009-05-14: Largest IV drop — 31.3% change
2009-05-13: Highest IV Rank — 66.7%
2009-05-13: Largest Expected Move — 18.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.23	$14.82	$18.00	$16.22	$15.50
Max Pain	$16.50	$15.00	$20.00	$20.00	$15.00
ATM IV	54.6%	44.0%	82.3%	51.6%	55.6%
Expected Move	15.8%	14.0%	18.2%	14.8%	15.9%
HV 20d	80.4%	67.0%	90.1%	83.1%	67.0%
HV 60d	72.8%	70.7%	74.7%	70.7%	74.4%
IV Rank	24.2%	8.5%	66.7%	33.4%	20.2%
IV Percentile	31.1%	6.9%	90.6%	58.7%	23.2%
Term Structure	1.2%	-3.5%	13.9%	13.9%	-2.2%
VWIV	52.6%	46.0%	59.2%	59.2%	46.0%
Skew 25d	11.7%	-5.0%	22.5%	6.1%	11.6%
Skew 10d	21.4%	0.3%	41.4%	11.2%	24.4%
Call IV 25d	48.3%	39.6%	52.8%	46.4%	50.4%
Put IV 25d	60.0%	41.8%	68.4%	52.5%	61.9%
Bid-Ask Spread %	65.90	43.81	107.58	107.58	90.77
Gamma HHI	0.67	0.42	0.79	0.79	0.74
Net GEX	-5.9K	-7.9K	-2.8K	-6.9K	-7.6K
Net DEX	173.6K	95.6K	233.1K	186.1K	215.3K
Net VEX	-1.1K	-1.2K	-1.0K	-1.2K	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.82	0.00	5.00	0.29	0.00
Total Volume	9.2	0	51	0	0
Total OI	550.8	447	633	604	502

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
2009-05-01	$16.22	$20.00	51.6%	14.8%	83.1%	0.0%	0.0%	6.1%	13.9%	-6.9K	186.1K	-1.2K	0.00	107.58	0	0	224	380
2009-05-04	$17.61	$17.50	47.2%	15.8%	88.4%	0.0%	0.0%	17.4%	-0.1%	-4.2K	131.0K	-1.1K	0.00	82.03	0	0	224	380
2009-05-05	$16.91	$17.50	49.8%	15.6%	89.2%	0.0%	0.0%	-5.0%	1.5%	-6.4K	156.6K	-1.1K	0.00	56.77	0	5	224	380
2009-05-06	$17.55	$17.50	51.7%	15.6%	89.8%	0.0%	0.0%	5.5%	1.7%	-4.6K	114.8K	-1.1K	0.00	46.88	0	0	224	380
2009-05-07	$17.08	$17.50	44.2%	15.7%	90.1%	0.0%	0.0%	-2.7%	2.5%	-6.8K	142.6K	-1.1K	0.00	61.12	0	0	224	380
2009-05-08	$18.00	$17.50	44.0%	15.2%	85.7%	0.0%	0.0%	22.5%	2.6%	-2.8K	95.6K	-1.1K	0.00	43.81	0	0	224	380
2009-05-11	$17.07	$17.50	51.1%	15.8%	86.0%	0.0%	0.0%	18.4%	2.1%	-4.5K	118.4K	-1.0K	0.00	59.01	0	0	224	380
2009-05-12	$16.83	$17.50	63.2%	15.7%	82.8%	33.4%	0.0%	13.2%	1.7%	-6.5K	172.2K	-1.1K	0.29	70.26	28	8	224	380
2009-05-13	$16.02	$17.50	82.3%	18.2%	84.3%	66.7%	0.0%	15.8%	2.6%	-7.9K	180.4K	-1.1K	0.00	73.26	0	13	232	388
2009-05-14	$16.27	$17.50	56.5%	16.2%	84.2%	21.7%	0.0%	12.7%	-1.9%	-5.5K	181.9K	-1.1K	0.00	55.66	0	0	232	401
2009-05-15	$16.03	$17.50	59.8%	17.1%	82.7%	27.5%	59.2%	14.8%	-0.6%	-4.6K	193.6K	-1.0K	0.00	60.90	0	51	232	401
2009-05-18	$16.73	$15.00	48.9%	14.0%	78.5%	8.5%	0.0%	14.6%	4.9%	-3.7K	121.3K	-1.1K	0.00	51.96	0	0	135	312
2009-05-19	$15.84	$15.00	58.7%	16.8%	77.0%	25.6%	0.0%	14.4%	-0.8%	-4.5K	161.2K	-1.1K	0.00	58.37	0	0	135	312
2009-05-20	$15.10	$15.00	52.4%	15.0%	76.5%	14.5%	49.9%	12.7%	1.0%	-5.4K	195.1K	-1.0K	5.00	54.61	4	20	135	312
2009-05-21	$14.82	$15.00	56.5%	16.2%	76.5%	21.8%	56.5%	12.7%	-1.5%	-6.4K	230.8K	-1.0K	0.00	82.43	0	20	135	332
2009-05-22	$15.00	$15.00	51.3%	14.7%	75.9%	12.6%	51.3%	12.5%	2.2%	-7.4K	231.8K	-1.1K	2.00	83.20	10	20	135	352
2009-05-26	$15.88	$15.00	58.0%	16.6%	70.5%	24.4%	46.0%	10.6%	-3.1%	-6.7K	181.7K	-1.1K	0.00	53.47	5	0	145	352
2009-05-27	$15.05	$15.00	53.4%	15.3%	72.9%	16.2%	0.0%	12.0%	0.4%	-7.8K	228.4K	-1.0K	0.00	81.05	0	0	150	352
2009-05-28	$15.05	$15.00	56.5%	16.2%	67.3%	21.7%	0.0%	14.2%	-3.5%	-7.5K	233.1K	-1.0K	0.00	44.92	0	0	150	352
2009-05-29	$15.50	$15.00	55.6%	15.9%	67.0%	20.2%	0.0%	11.6%	-2.2%	-7.6K	215.3K	-1.1K	0.00	90.77	0	0	150	352