CBU Options History — January 2010

In January 2010, CBU traded between $17.87 and $21.69. ATM implied volatility averaged 30.6%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 5.1% (HV 20d: 35.7%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 1.10.

Notable Days

2010-01-06: Highest Volume — 97 contracts
2010-01-11: Largest IV spike — 30.5% change
2010-01-22: Highest IV Rank — 20.6%
2010-01-22: Largest Expected Move — 10.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.59	$17.87	$21.69	$19.57	$20.91
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	30.6%	23.4%	37.4%	25.2%	27.0%
Expected Move	9.2%	6.7%	10.7%	9.4%	7.7%
HV 20d	35.7%	22.8%	41.5%	22.8%	41.5%
HV 60d	33.7%	31.5%	35.5%	31.5%	32.1%
IV Rank	12.0%	3.0%	20.6%	5.3%	7.5%
IV Percentile	11.5%	0.8%	34.1%	1.6%	4.4%
Term Structure	0.1%	-2.2%	5.0%	-0.8%	5.0%
VWIV	30.8%	19.0%	35.3%	32.9%	19.0%
Skew 25d	4.0%	-6.5%	11.2%	11.2%	7.5%
Skew 10d	8.1%	-5.2%	30.8%	13.6%	30.8%
Call IV 25d	27.8%	19.7%	33.5%	24.4%	19.7%
Put IV 25d	31.9%	21.5%	36.8%	35.6%	27.1%
Bid-Ask Spread %	51.71	33.93	67.91	53.24	55.53
Gamma HHI	0.70	0.61	0.80	0.80	0.77
Net GEX	16.0K	8.8K	27.5K	15.1K	27.5K
Net DEX	-246.0K	-646.0K	-39.6K	-230.0K	-528.9K
Net VEX	-1.4K	-1.6K	-926	-1.2K	-1.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.10	0.00	8.00	8.00	0.00
Total Volume	14.947	0	97	0	0
Total OI	539.526	424	604	424	604

Daily Data (19 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
2010-01-04	$19.57	$17.50	25.2%	9.4%	22.8%	5.3%	0.0%	11.2%	-0.8%	15.1K	-230.0K	-1.2K	0.00	53.24	0	0	309	115
2010-01-05	$18.57	$17.50	24.2%	9.8%	28.0%	4.0%	32.9%	2.4%	1.1%	12.6K	-114.5K	-1.1K	8.00	63.59	1	8	309	115
2010-01-06	$17.87	$17.50	30.1%	9.9%	31.0%	11.5%	34.6%	-2.8%	-1.0%	8.8K	-39.6K	-926	7.08	56.52	12	85	309	123
2010-01-07	$18.71	$17.50	28.8%	9.7%	35.5%	9.9%	0.0%	4.2%	0.7%	10.3K	-66.3K	-1.5K	0.00	46.90	0	0	316	208
2010-01-08	$18.78	$17.50	26.9%	8.8%	35.4%	7.4%	0.0%	5.7%	-0.6%	10.8K	-78.1K	-1.5K	0.00	52.32	5	0	316	208
2010-01-11	$18.51	$17.50	35.1%	9.8%	35.8%	17.7%	30.9%	3.1%	-1.8%	10.0K	-52.3K	-1.4K	0.00	57.19	2	0	321	208
2010-01-12	$18.69	$17.50	34.5%	10.0%	35.9%	17.0%	0.0%	3.8%	-1.2%	10.5K	-65.5K	-1.4K	0.00	51.52	1	0	319	208
2010-01-13	$18.91	$17.50	35.1%	9.1%	34.9%	17.7%	0.0%	5.9%	-0.9%	12.1K	-99.1K	-1.5K	0.00	34.58	11	0	318	208
2010-01-14	$19.44	$17.50	32.1%	9.2%	35.9%	13.9%	32.0%	0.0%	-0.9%	14.8K	-178.7K	-1.5K	0.00	38.63	28	0	327	208
2010-01-15	$19.01	$17.50	31.9%	9.1%	36.9%	13.6%	0.0%	4.6%	0.1%	13.6K	-114.5K	-1.5K	0.00	33.93	0	0	335	208
2010-01-19	$19.50	$17.50	32.9%	9.4%	37.8%	14.9%	0.0%	7.3%	-0.2%	16.0K	-179.7K	-1.5K	0.00	38.25	31	0	330	208
2010-01-20	$19.48	$17.50	33.1%	9.5%	35.8%	15.2%	0.0%	8.2%	2.7%	17.5K	-182.2K	-1.5K	0.00	59.16	0	0	361	208
2010-01-21	$20.04	$17.50	33.3%	9.5%	37.2%	15.4%	0.0%	3.6%	1.5%	19.9K	-302.7K	-1.6K	0.00	67.91	20	0	361	208
2010-01-22	$20.13	$17.50	37.4%	10.7%	37.2%	20.6%	35.3%	4.9%	-2.2%	19.0K	-347.8K	-1.6K	0.33	62.17	9	3	381	208
2010-01-25	$20.33	$17.50	30.9%	8.8%	37.3%	12.4%	30.9%	5.5%	1.5%	25.3K	-384.9K	-1.5K	0.00	65.03	1	0	387	210
2010-01-26	$20.74	$17.50	30.7%	8.8%	37.6%	12.1%	30.7%	0.0%	0.7%	23.5K	-480.2K	-1.4K	0.00	49.74	55	0	386	210
2010-01-27	$21.69	$17.50	28.0%	8.0%	40.2%	8.8%	19.0%	-6.5%	-0.5%	16.9K	-646.0K	-1.1K	0.00	49.35	7	0	392	210
2010-01-28	$21.28	$17.50	23.4%	6.7%	41.1%	3.0%	0.0%	0.1%	-1.1%	20.0K	-582.5K	-1.3K	0.00	47.02	5	0	389	210
2010-01-29	$20.91	$17.50	27.0%	7.7%	41.5%	7.5%	0.0%	7.5%	5.0%	27.5K	-528.9K	-1.3K	0.00	55.53	0	0	394	210