CBU Options History — November 2009

In November 2009, CBU traded between $17.81 and $19.15. ATM implied volatility averaged 37.4%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 0.1% (HV 20d: 37.5%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.25.

Notable Days

2009-11-20: Highest Volume — 177 contracts
2009-11-17: Largest IV drop — 23.8% change
2009-11-03: Highest IV Rank — 24.2%
2009-11-03: Largest Expected Move — 12.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.40	$17.81	$19.15	$18.35	$18.56
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	37.4%	30.7%	43.5%	37.7%	40.5%
Expected Move	10.7%	8.8%	12.5%	10.8%	11.6%
HV 20d	37.5%	31.3%	41.7%	40.7%	31.3%
HV 60d	34.2%	32.2%	37.4%	37.4%	33.8%
IV Rank	16.1%	7.5%	24.2%	16.5%	20.4%
IV Percentile	18.6%	3.2%	30.2%	18.6%	30.2%
Term Structure	-0.1%	-4.8%	9.1%	0.4%	-2.2%
VWIV	36.5%	27.0%	42.0%	38.6%	27.0%
Skew 25d	9.8%	5.5%	18.5%	13.5%	10.3%
Skew 10d	16.6%	3.2%	32.9%	24.6%	17.6%
Call IV 25d	31.2%	26.0%	37.3%	26.7%	29.8%
Put IV 25d	41.0%	36.5%	51.8%	40.2%	40.0%
Bid-Ask Spread %	61.74	28.61	92.18	80.28	87.49
Gamma HHI	0.63	0.47	0.88	0.59	0.81
Net GEX	-676	-10.3K	11.7K	-5.2K	10.6K
Net DEX	-86.5K	-256.6K	39.2K	-34.9K	-192.0K
Net VEX	-902	-1.4K	-645	-744	-1.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.25	0.00	6.67	6.67	4.13
Total Volume	24.25	0	177	10	0
Total OI	449.45	397	541	397	455

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
2009-11-02	$18.35	$17.50	37.7%	10.8%	40.7%	16.5%	38.6%	13.5%	0.4%	-5.2K	-34.9K	-744	0.00	80.28	0	10	155	242
2009-11-03	$18.48	$17.50	43.5%	12.5%	39.9%	24.2%	0.0%	18.5%	-4.3%	-5.4K	-45.1K	-705	0.00	28.61	0	10	155	242
2009-11-04	$18.10	$17.50	36.6%	10.5%	40.3%	15.1%	36.5%	9.5%	-1.2%	-5.5K	-8.9K	-752	0.00	30.36	0	10	155	251
2009-11-05	$18.23	$17.50	39.9%	11.4%	40.3%	19.4%	0.0%	13.5%	-1.3%	-4.5K	-22.5K	-763	6.67	31.01	3	20	155	251
2009-11-06	$18.08	$17.50	37.1%	10.9%	39.7%	15.8%	0.0%	9.6%	-3.0%	-6.9K	10.6K	-773	0.00	71.93	0	0	152	271
2009-11-09	$18.15	$17.50	41.9%	11.0%	39.7%	22.1%	37.3%	14.4%	-2.1%	-6.3K	-2.9K	-754	0.50	65.55	20	10	152	271
2009-11-10	$18.16	$17.50	38.9%	11.1%	39.4%	18.1%	0.0%	11.1%	-1.5%	-6.9K	-9.2K	-829	0.00	74.76	0	0	172	281
2009-11-11	$18.28	$17.50	35.9%	11.1%	39.3%	14.2%	0.0%	5.5%	-2.3%	-6.1K	-28.5K	-807	0.00	79.16	0	0	172	281
2009-11-12	$17.81	$17.50	37.7%	10.8%	40.4%	16.5%	37.7%	17.4%	-1.0%	-9.9K	39.2K	-790	0.00	83.44	0	2	172	281
2009-11-13	$17.96	$17.50	37.9%	10.9%	39.6%	16.8%	0.0%	9.9%	-0.4%	-10.3K	13.2K	-773	0.00	84.36	0	0	172	281
2009-11-16	$18.65	$17.50	40.5%	11.6%	41.7%	20.2%	0.0%	7.0%	-3.3%	-1.7K	-98.9K	-659	0.00	55.40	1	0	172	281
2009-11-17	$18.94	$17.50	30.9%	8.8%	40.9%	7.6%	0.0%	7.3%	5.8%	1.1K	-122.9K	-645	0.00	50.62	20	0	173	281
2009-11-18	$18.89	$17.50	33.0%	9.5%	36.5%	10.5%	0.0%	6.6%	9.1%	1.3K	-134.4K	-729	0.00	54.07	93	0	193	281
2009-11-19	$18.36	$17.50	38.4%	11.0%	35.7%	17.6%	0.0%	5.8%	1.3%	-2.3K	-134.7K	-947	0.00	92.18	41	0	260	281
2009-11-20	$18.63	$17.50	37.2%	10.7%	34.7%	16.0%	0.0%	5.6%	0.8%	1.8K	-148.4K	-874	0.00	54.15	177	0	241	281
2009-11-23	$19.15	$17.50	30.7%	8.8%	33.1%	7.5%	42.0%	5.8%	4.3%	11.7K	-256.6K	-1.4K	0.00	62.19	27	0	357	118
2009-11-24	$18.84	$17.50	30.8%	8.8%	31.3%	7.6%	27.0%	6.2%	4.3%	11.0K	-220.3K	-1.3K	4.13	52.53	8	33	346	118
2009-11-25	$18.31	$17.50	37.4%	10.7%	32.9%	16.3%	0.0%	10.4%	-0.9%	10.3K	-175.5K	-1.3K	0.00	32.85	0	0	354	101
2009-11-27	$18.00	$17.50	40.5%	11.6%	32.2%	20.4%	0.0%	7.5%	-4.8%	9.8K	-157.4K	-1.1K	0.00	63.81	0	0	354	78
2009-11-30	$18.56	$17.50	40.5%	11.6%	31.3%	20.4%	0.0%	10.3%	-2.2%	10.6K	-192.0K	-1.3K	0.00	87.49	0	0	354	101