CBU Options History — July 2009

In July 2009, CBU traded between $14.21 and $18.36. ATM implied volatility averaged 43.1%, placing in the 7.9% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded below realized volatility by 1.7% (HV 20d: 44.8%). 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 16 of 22 days. Put/call ratio averaged 0.39.

Notable Days

2009-07-23: Highest Volume — 180 contracts
2009-07-16: Largest IV spike — 39.0% change
2009-07-16: Highest IV Rank — 22.1%
2009-07-15: Largest Expected Move — 15.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.75	$14.21	$18.36	$14.81	$18.13
Max Pain	$15.23	$15.00	$17.50	$15.00	$15.00
ATM IV	43.1%	30.0%	51.0%	49.3%	34.4%
Expected Move	12.9%	8.6%	15.0%	14.1%	9.9%
HV 20d	44.8%	32.1%	59.8%	38.9%	55.9%
HV 60d	58.1%	52.2%	64.6%	64.2%	52.2%
IV Rank	7.9%	0.0%	22.1%	9.4%	6.0%
IV Percentile	5.3%	0.0%	19.3%	8.1%	1.1%
Term Structure	1.6%	-1.8%	6.8%	2.9%	4.0%
VWIV	41.4%	28.2%	50.8%	45.1%	36.3%
Skew 25d	11.1%	-2.0%	21.1%	13.0%	10.2%
Skew 10d	17.7%	-4.4%	29.9%	7.0%	13.1%
Call IV 25d	36.9%	23.4%	48.3%	25.1%	24.6%
Put IV 25d	48.0%	32.5%	58.1%	38.1%	34.7%
Bid-Ask Spread %	48.73	16.64	86.05	86.05	59.28
Gamma HHI	0.69	0.33	0.85	0.80	0.36
Net GEX	-8.1K	-15.0K	-119	-9.5K	-764
Net DEX	63.4K	-345.5K	285.4K	228.4K	-331.5K
Net VEX	-883	-1.0K	-680	-950	-738
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.39	0.00	1.79	0.00	0.33
Total Volume	21.864	0	180	7	4
Total OI	568.818	481	704	506	702

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
2009-07-01	$14.81	$15.00	49.3%	14.1%	38.9%	9.4%	45.1%	13.0%	2.9%	-9.5K	228.4K	-950	0.00	86.05	7	0	124	382
2009-07-02	$14.21	$15.00	49.6%	14.2%	35.0%	10.0%	0.0%	8.7%	2.6%	-9.0K	251.6K	-916	0.00	69.52	0	10	131	382
2009-07-06	$14.22	$17.50	49.8%	14.5%	32.3%	10.2%	0.0%	21.1%	3.8%	-9.7K	285.4K	-888	0.00	36.82	2	0	131	392
2009-07-07	$14.58	$17.50	48.7%	14.6%	33.0%	8.4%	50.8%	12.3%	2.1%	-10.4K	250.0K	-922	0.00	50.79	23	0	131	392
2009-07-08	$14.81	$15.00	46.3%	14.9%	32.7%	4.2%	0.0%	8.2%	0.6%	-10.3K	218.0K	-976	0.83	51.44	6	5	153	392
2009-07-09	$14.61	$15.00	43.7%	14.5%	32.4%	0.0%	0.0%	6.1%	-1.1%	-10.6K	236.4K	-949	0.83	56.43	12	10	153	392
2009-07-10	$14.42	$15.00	43.8%	14.3%	32.1%	0.2%	0.0%	19.5%	-0.8%	-10.4K	259.6K	-1.0K	0.00	41.89	0	0	163	402
2009-07-13	$15.17	$15.00	46.9%	14.6%	37.6%	5.4%	0.0%	9.5%	-0.4%	-12.4K	187.1K	-1.0K	0.00	32.29	0	0	163	402
2009-07-14	$14.94	$15.00	45.7%	14.3%	36.5%	3.4%	0.0%	9.8%	0.2%	-12.9K	207.7K	-986	0.00	55.05	0	0	163	402
2009-07-15	$15.70	$15.00	36.7%	15.0%	40.9%	0.0%	0.0%	8.8%	-1.8%	-10.3K	111.6K	-966	0.00	54.04	0	0	163	402
2009-07-16	$15.30	$15.00	51.0%	14.6%	41.0%	22.1%	0.0%	11.0%	-0.4%	-15.0K	152.8K	-955	0.00	51.62	0	20	163	402
2009-07-17	$14.70	$15.00	47.3%	13.6%	43.5%	16.4%	47.3%	14.7%	0.9%	-14.9K	239.2K	-856	0.00	66.24	0	101	138	378
2009-07-20	$15.43	$15.00	50.4%	14.4%	46.2%	21.1%	49.6%	-2.0%	0.6%	-9.3K	150.6K	-894	0.00	48.31	16	0	124	357
2009-07-21	$14.93	$15.00	47.3%	13.6%	47.5%	16.4%	0.0%	18.5%	-0.2%	-9.4K	184.6K	-897	0.00	50.71	0	0	137	357
2009-07-22	$15.10	$15.00	49.2%	14.1%	47.1%	19.4%	0.0%	19.5%	0.1%	-9.4K	172.3K	-891	0.00	49.38	1	0	137	357
2009-07-23	$16.80	$15.00	36.7%	10.5%	59.8%	0.0%	28.2%	8.0%	1.2%	-7.0K	9.4K	-752	0.16	33.72	155	25	138	357
2009-07-24	$17.09	$15.00	36.2%	10.4%	59.1%	0.0%	0.0%	11.1%	1.7%	-2.3K	-198.0K	-969	0.00	34.14	0	5	279	377
2009-07-27	$17.57	$15.00	30.0%	8.6%	59.4%	0.0%	0.0%	16.6%	6.1%	-955	-285.4K	-693	0.00	27.51	0	0	279	377
2009-07-28	$17.93	$15.00	32.7%	9.4%	58.9%	3.7%	32.6%	9.1%	6.8%	-119	-308.2K	-680	1.79	47.71	19	34	279	377
2009-07-29	$17.76	$15.00	36.3%	10.4%	57.9%	8.8%	36.3%	7.5%	1.1%	-1.8K	-280.5K	-802	0.71	16.64	14	10	284	396
2009-07-30	$18.36	$15.00	35.7%	10.2%	58.5%	7.9%	0.0%	2.8%	4.2%	-550	-345.5K	-745	0.00	52.41	2	0	298	406
2009-07-31	$18.13	$15.00	34.4%	9.9%	55.9%	6.0%	0.0%	10.2%	4.0%	-764	-331.5K	-738	0.33	59.28	3	1	296	406