CBU Options History — October 2009

In October 2009, CBU traded between $16.47 and $19.39. ATM implied volatility averaged 34.5%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 2.0% (HV 20d: 32.5%). Max pain ranged from $17.50 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 5.01.

Notable Days

2009-10-16: Highest Volume — 246 contracts
2009-10-30: Largest IV spike — 35.3% change
2009-10-01: Highest IV Rank — 21.8%
2009-10-06: Largest Expected Move — 12.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.92	$16.47	$19.39	$17.52	$18.61
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	34.5%	25.5%	41.8%	41.8%	40.3%
Expected Move	10.5%	7.5%	12.0%	12.0%	11.6%
HV 20d	32.5%	25.6%	40.9%	32.4%	40.2%
HV 60d	40.3%	35.0%	45.9%	45.9%	38.3%
IV Rank	12.4%	0.5%	21.8%	21.8%	20.0%
IV Percentile	8.4%	0.4%	23.2%	19.6%	23.2%
Term Structure	1.3%	-2.1%	11.1%	1.2%	-2.1%
VWIV	36.9%	29.1%	43.4%	40.6%	39.1%
Skew 25d	6.1%	0.7%	10.7%	6.7%	9.3%
Skew 10d	11.7%	-0.6%	19.1%	15.3%	10.1%
Call IV 25d	33.4%	24.4%	40.9%	40.9%	32.2%
Put IV 25d	39.5%	28.6%	48.1%	47.7%	41.5%
Bid-Ask Spread %	48.54	28.07	103.20	51.94	63.66
Gamma HHI	0.63	0.33	0.85	0.33	0.45
Net GEX	-9.4K	-29.5K	-570	-1.2K	-2.2K
Net DEX	24.9K	-130.9K	211.5K	-10.6K	-60.3K
Net VEX	-784	-1.0K	-642	-737	-776
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.01	0.00	40.00	0.00	0.00
Total Volume	31.409	0	246	60	6
Total OI	367.636	253	464	253	397

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
2009-10-01	$17.52	$17.50	41.8%	12.0%	32.4%	21.8%	40.6%	6.7%	1.2%	-1.2K	-10.6K	-737	0.00	51.94	0	60	116	137
2009-10-02	$17.39	$17.50	37.6%	10.8%	30.4%	16.4%	0.0%	3.5%	3.3%	-7.7K	67.6K	-777	0.00	103.20	0	7	116	197
2009-10-05	$17.52	$17.50	37.5%	11.9%	29.7%	16.2%	0.0%	8.2%	0.6%	-8.3K	47.4K	-783	0.00	32.98	0	0	116	199
2009-10-06	$17.96	$17.50	34.8%	12.0%	31.1%	12.7%	0.0%	5.9%	0.1%	-8.0K	9.5K	-770	0.00	37.86	8	0	116	199
2009-10-07	$17.71	$17.50	35.2%	11.7%	31.3%	13.3%	43.4%	3.4%	0.4%	-8.9K	24.7K	-761	0.00	28.07	0	24	118	199
2009-10-08	$17.78	$17.50	35.5%	11.9%	31.1%	13.6%	0.0%	8.4%	-0.9%	-9.4K	18.5K	-775	0.00	40.58	0	0	118	214
2009-10-09	$18.16	$17.50	25.5%	11.6%	32.1%	0.5%	0.0%	5.8%	-0.3%	-8.8K	-25.6K	-727	0.00	42.18	0	0	118	214
2009-10-12	$18.02	$17.50	33.8%	11.3%	32.2%	11.4%	0.0%	6.1%	0.5%	-10.7K	-11.2K	-701	0.00	66.48	0	0	118	214
2009-10-13	$17.79	$17.50	39.8%	11.6%	31.6%	19.3%	38.7%	3.4%	-0.3%	-12.2K	18.9K	-713	3.33	60.94	3	10	118	214
2009-10-14	$17.98	$17.50	35.8%	11.7%	27.9%	14.1%	31.1%	4.4%	0.4%	-12.8K	-9.7K	-699	0.00	40.02	3	0	120	224
2009-10-15	$18.00	$17.50	38.9%	11.2%	25.6%	18.1%	0.0%	6.7%	0.3%	-11.1K	-25.0K	-657	0.00	36.96	0	0	118	224
2009-10-16	$17.59	$17.50	34.4%	9.9%	26.6%	12.3%	34.5%	2.2%	1.8%	-29.5K	37.0K	-642	40.00	48.77	6	240	118	224
2009-10-19	$17.61	$17.50	34.8%	10.0%	26.5%	12.7%	0.0%	4.4%	2.4%	-10.2K	103.8K	-923	0.00	46.12	10	0	108	294
2009-10-20	$17.24	$17.50	33.8%	9.7%	26.7%	11.4%	0.0%	7.8%	2.7%	-11.8K	158.6K	-860	0.00	70.13	0	0	98	294
2009-10-21	$16.47	$17.50	35.8%	10.3%	30.4%	14.1%	36.8%	7.6%	-0.2%	-9.9K	211.5K	-813	1.77	35.00	30	53	98	294
2009-10-22	$17.22	$17.50	35.2%	10.1%	35.1%	13.3%	0.0%	0.7%	-0.1%	-12.6K	171.1K	-1.0K	0.00	49.29	0	0	128	336
2009-10-23	$17.71	$17.50	31.3%	9.0%	36.8%	8.2%	31.3%	6.4%	3.2%	-14.4K	113.4K	-996	0.00	46.64	5	0	128	336
2009-10-26	$18.45	$17.50	33.0%	9.5%	39.0%	10.3%	39.2%	8.5%	11.1%	-12.1K	32.3K	-886	5.00	43.63	20	100	128	336
2009-10-27	$19.09	$17.50	28.6%	8.2%	40.9%	4.5%	29.1%	6.5%	0.6%	-2.0K	-96.1K	-776	0.00	34.43	36	0	148	262
2009-10-28	$19.01	$17.50	26.3%	7.5%	40.1%	1.6%	0.0%	7.7%	2.4%	-1.7K	-96.4K	-771	0.00	44.73	0	0	155	262
2009-10-29	$19.39	$17.50	29.8%	8.5%	37.0%	6.2%	41.9%	10.7%	0.9%	-570	-130.9K	-703	0.00	44.29	0	70	155	262
2009-10-30	$18.61	$17.50	40.3%	11.6%	40.2%	20.0%	39.1%	9.3%	-2.1%	-2.2K	-60.3K	-776	0.00	63.66	6	0	155	242