CBU Options History — September 2009

In September 2009, CBU traded between $17.02 and $19.52. ATM implied volatility averaged 36.6%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 2.3% (HV 20d: 34.3%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.00.

Notable Days

2009-09-24: Highest Volume — 40 contracts
2009-09-21: Largest IV spike — 30.1% change
2009-09-10: Highest IV Rank — 23.2%
2009-09-08: Largest Expected Move — 12.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.37	$17.02	$19.52	$17.52	$18.27
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	36.6%	30.1%	42.8%	40.9%	35.8%
Expected Move	10.6%	8.6%	12.4%	11.7%	10.3%
HV 20d	34.3%	25.3%	44.0%	41.6%	30.3%
HV 60d	46.0%	44.9%	46.6%	46.0%	45.0%
IV Rank	15.1%	6.6%	23.2%	20.7%	14.0%
IV Percentile	7.3%	0.9%	16.7%	10.3%	7.6%
Term Structure	4.7%	-1.2%	17.5%	0.9%	11.7%
VWIV	39.0%	35.1%	41.0%	40.9%	35.1%
Skew 25d	8.5%	-6.0%	15.8%	3.0%	10.4%
Skew 10d	17.3%	-1.5%	31.1%	6.5%	23.7%
Call IV 25d	34.4%	29.4%	37.8%	33.7%	34.7%
Put IV 25d	42.9%	27.1%	48.2%	36.8%	45.0%
Bid-Ask Spread %	74.14	50.23	105.43	60.00	86.64
Gamma HHI	0.34	0.24	0.45	0.36	0.34
Net GEX	496	-1.8K	2.1K	839	-479
Net DEX	-52.7K	-103.2K	-15.7K	-21.9K	-41.4K
Net VEX	-569	-744	-477	-605	-732
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.00	0.00	4.00	0.00	0.00
Total Volume	6.095	0	40	10	2
Total OI	206.476	182	251	200	251

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
2009-09-01	$17.52	$17.50	40.9%	11.7%	41.6%	20.7%	40.9%	3.0%	0.9%	839	-21.9K	-605	0.00	60.00	0	10	95	105
2009-09-02	$17.02	$17.50	34.6%	9.9%	42.3%	12.5%	0.0%	-5.1%	2.5%	1.2K	-22.0K	-579	0.00	68.99	0	0	95	99
2009-09-03	$17.57	$17.50	40.1%	11.5%	44.0%	19.7%	0.0%	2.5%	0.3%	1.4K	-28.4K	-584	0.00	58.22	0	0	95	99
2009-09-04	$17.90	$0.00	38.0%	11.9%	41.8%	16.9%	0.0%	5.1%	2.4%	1.7K	-42.8K	-585	0.00	55.93	0	0	95	99
2009-09-08	$18.00	$0.00	39.5%	12.4%	40.5%	18.8%	0.0%	11.8%	1.3%	1.9K	-47.9K	-561	0.00	50.23	0	0	95	99
2009-09-09	$18.15	$0.00	38.3%	12.2%	38.6%	17.4%	0.0%	12.6%	0.8%	2.1K	-54.6K	-557	0.00	78.78	0	0	95	99
2009-09-10	$18.30	$0.00	42.8%	12.3%	38.3%	23.2%	0.0%	12.0%	2.6%	2.1K	-57.1K	-549	0.00	63.64	0	0	95	99
2009-09-11	$18.33	$0.00	42.1%	12.1%	38.3%	22.3%	41.0%	-6.0%	-1.2%	1.9K	-71.0K	-527	0.00	71.87	0	12	95	99
2009-09-14	$18.42	$17.50	40.1%	11.5%	37.1%	19.6%	0.0%	8.2%	4.1%	1.1K	-68.4K	-535	0.00	71.23	5	0	95	111
2009-09-15	$18.76	$17.50	34.8%	10.0%	25.3%	12.7%	0.0%	7.2%	0.4%	368	-81.1K	-510	0.00	97.59	0	0	95	111
2009-09-16	$19.52	$17.50	36.8%	10.6%	28.4%	15.4%	0.0%	7.7%	3.2%	267	-103.2K	-496	0.00	53.69	0	0	95	111
2009-09-17	$18.87	$17.50	33.2%	9.5%	30.9%	10.6%	0.0%	8.6%	2.9%	449	-88.7K	-502	0.00	98.66	0	0	95	111
2009-09-18	$18.83	$17.50	30.3%	8.7%	30.9%	6.8%	0.0%	9.7%	5.8%	139	-85.2K	-494	0.00	80.69	0	0	95	111
2009-09-21	$18.64	$17.50	39.4%	11.3%	30.6%	18.8%	0.0%	9.8%	4.0%	-10	-44.7K	-494	0.00	73.17	0	0	75	107
2009-09-22	$18.86	$17.50	34.2%	9.8%	29.9%	11.9%	35.1%	15.8%	2.4%	-73	-50.3K	-477	4.00	75.23	5	20	75	107
2009-09-23	$18.61	$17.50	38.6%	11.1%	30.3%	17.7%	0.0%	13.3%	4.9%	-806	-38.6K	-527	0.00	61.35	0	0	80	127
2009-09-24	$18.35	$17.50	32.3%	9.3%	30.4%	9.5%	0.0%	11.3%	12.9%	-1.3K	-29.9K	-528	0.00	105.43	0	40	80	127
2009-09-25	$18.39	$17.50	30.1%	8.6%	29.7%	6.6%	0.0%	13.0%	17.5%	-1.8K	-15.7K	-620	0.00	72.71	34	0	80	137
2009-09-28	$18.78	$17.50	32.0%	9.2%	30.4%	9.1%	0.0%	13.9%	4.5%	-367	-58.7K	-744	0.00	92.61	0	0	114	137
2009-09-29	$18.67	$17.50	34.8%	10.0%	29.9%	12.7%	0.0%	14.3%	13.9%	-171	-55.7K	-744	0.00	80.36	0	0	114	137
2009-09-30	$18.27	$17.50	35.8%	10.3%	30.3%	14.0%	0.0%	10.4%	11.7%	-479	-41.4K	-732	0.00	86.64	2	0	114	137