CBU Options History — August 2009

In August 2009, CBU traded between $17.56 and $20.19. ATM implied volatility averaged 38.1%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 14.4% (HV 20d: 52.5%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 3.42.

Notable Days

2009-08-07: Highest Volume — 120 contracts
2009-08-04: Largest IV drop — 32.9% change
2009-08-19: Highest IV Rank — 22.3%
2009-08-19: Largest Expected Move — 12.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.70	$17.56	$20.19	$18.52	$17.83
Max Pain	$17.02	$15.00	$17.50	$15.00	$17.50
ATM IV	38.1%	25.1%	42.1%	37.4%	40.5%
Expected Move	10.9%	7.2%	12.1%	10.7%	11.6%
HV 20d	52.5%	43.9%	60.5%	55.8%	43.9%
HV 60d	49.1%	46.0%	52.1%	52.1%	46.0%
IV Rank	16.8%	0.0%	22.3%	10.3%	20.2%
IV Percentile	6.9%	0.0%	10.7%	4.4%	9.4%
Term Structure	2.4%	-3.1%	5.5%	1.6%	2.0%
VWIV	36.3%	27.0%	42.2%	28.6%	41.1%
Skew 25d	8.6%	-2.7%	22.1%	14.5%	7.0%
Skew 10d	9.5%	-1.3%	28.8%	12.8%	8.1%
Call IV 25d	29.6%	22.7%	37.9%	22.7%	30.3%
Put IV 25d	38.2%	25.8%	48.4%	37.2%	37.3%
Bid-Ask Spread %	57.50	21.02	86.08	49.60	57.38
Gamma HHI	0.41	0.28	0.58	0.29	0.35
Net GEX	1.5K	-2.2K	5.1K	-89	965
Net DEX	-269.8K	-495.7K	-40.8K	-364.2K	-40.8K
Net VEX	-645	-772	-581	-671	-608
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.42	0.00	30.50	0.07	0.00
Total Volume	20.952	0	120	5	0
Total OI	615.19	185	825	706	200

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
2009-08-03	$18.52	$15.00	37.4%	10.7%	55.8%	10.3%	0.0%	14.5%	1.6%	-89	-364.2K	-671	0.00	49.60	0	5	299	407
2009-08-04	$19.24	$15.00	25.1%	7.2%	56.4%	0.0%	28.6%	-2.7%	5.5%	624	-421.0K	-581	0.07	55.51	15	1	299	407
2009-08-05	$19.32	$15.00	31.1%	8.9%	56.5%	7.9%	27.0%	-2.7%	0.9%	2.2K	-429.6K	-601	30.50	52.76	2	61	313	408
2009-08-06	$18.92	$15.00	33.7%	9.7%	57.0%	11.2%	36.7%	4.1%	2.8%	910	-395.3K	-661	0.48	45.80	44	21	311	399
2009-08-07	$19.69	$17.50	36.7%	10.2%	56.9%	15.2%	0.0%	1.8%	4.5%	4.6K	-462.4K	-601	1.40	75.66	50	70	318	390
2009-08-10	$20.19	$17.50	38.3%	10.8%	55.5%	17.4%	0.0%	8.1%	4.6%	4.9K	-495.7K	-762	5.00	51.69	2	10	367	450
2009-08-11	$19.39	$17.50	36.0%	10.7%	57.9%	14.2%	0.0%	14.5%	3.8%	4.4K	-401.5K	-772	0.20	75.81	10	2	369	450
2009-08-12	$19.67	$17.50	35.7%	10.8%	56.3%	13.9%	0.0%	11.5%	2.8%	5.1K	-433.3K	-750	0.00	66.32	0	0	369	452
2009-08-13	$19.49	$17.50	36.2%	10.4%	55.2%	14.6%	0.0%	12.9%	4.9%	5.1K	-411.3K	-742	0.00	66.25	0	0	369	452
2009-08-14	$18.94	$17.50	36.1%	10.4%	53.9%	14.5%	0.0%	9.1%	4.6%	2.9K	-318.8K	-650	0.00	50.17	0	1	369	452
2009-08-17	$17.56	$17.50	41.3%	11.8%	60.5%	21.2%	0.0%	14.6%	2.3%	-2.2K	-191.4K	-667	0.00	86.08	0	0	369	453
2009-08-18	$17.75	$17.50	40.7%	11.7%	58.7%	20.5%	0.0%	3.5%	1.4%	-2.2K	-206.5K	-637	0.00	66.75	3	0	369	453
2009-08-19	$18.09	$17.50	42.1%	12.1%	58.8%	22.3%	42.1%	22.1%	2.0%	-1.7K	-256.0K	-623	0.00	48.56	5	0	372	453
2009-08-20	$18.23	$17.50	41.9%	12.0%	46.2%	22.0%	42.2%	1.1%	2.4%	-304	-272.3K	-589	0.00	58.98	10	0	372	438
2009-08-21	$18.55	$17.50	42.0%	12.1%	46.2%	22.2%	0.0%	10.5%	1.4%	901	-297.4K	-594	0.00	55.40	113	0	377	438
2009-08-24	$18.19	$17.50	42.0%	12.0%	46.0%	22.2%	0.0%	11.2%	2.4%	1.4K	-53.4K	-598	0.00	65.24	5	0	90	95
2009-08-25	$18.31	$17.50	41.3%	11.8%	45.6%	21.2%	41.1%	14.2%	0.7%	1.6K	-60.6K	-599	0.00	67.92	0	10	95	95
2009-08-26	$18.54	$17.50	41.1%	11.8%	45.5%	21.0%	0.0%	4.2%	0.0%	968	-60.8K	-619	0.00	41.76	0	0	95	105
2009-08-27	$18.20	$17.50	41.0%	11.8%	44.6%	20.9%	0.0%	11.8%	-3.1%	954	-48.8K	-616	0.00	48.84	0	0	95	105
2009-08-28	$18.10	$17.50	39.6%	11.3%	44.4%	19.0%	0.0%	9.8%	2.4%	1.0K	-45.1K	-611	0.00	21.02	0	0	95	105
2009-08-31	$17.83	$17.50	40.5%	11.6%	43.9%	20.2%	0.0%	7.0%	2.0%	965	-40.8K	-608	0.00	57.38	0	0	95	105