CBU Options History — February 2010

In February 2010, CBU traded between $20.20 and $21.07. ATM implied volatility averaged 30.2%, placing in the 11.6% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 5.0% (HV 20d: 35.3%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 7 of 7 trading days. Term structure was in contango for 5 of 7 days. Put/call ratio averaged 2.29.

Notable Days

2010-02-01: Highest Volume — 63 contracts
2010-02-16: Largest IV spike — 41.8% change
2010-02-16: Highest IV Rank — 17.7%
2010-02-16: Largest Expected Move — 10.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.77	$20.20	$21.07	$20.97	$20.98
Max Pain	$18.57	$17.50	$20.00	$17.50	$20.00
ATM IV	30.2%	24.7%	35.1%	30.2%	34.7%
Expected Move	9.0%	8.2%	10.1%	8.7%	9.9%
HV 20d	35.3%	30.9%	40.8%	40.8%	30.9%
HV 60d	32.4%	31.7%	32.8%	32.0%	32.8%
IV Rank	11.6%	4.7%	17.7%	11.6%	17.2%
IV Percentile	12.9%	2.0%	26.6%	11.1%	25.0%
Term Structure	1.4%	-1.3%	3.9%	2.2%	-0.9%
VWIV	29.6%	28.6%	30.6%	30.6%	28.6%
Skew 25d	9.2%	2.2%	16.4%	8.9%	2.2%
Skew 10d	16.8%	2.8%	35.6%	12.0%	2.8%
Call IV 25d	23.2%	19.6%	26.0%	19.6%	26.0%
Put IV 25d	32.3%	28.2%	40.2%	28.6%	28.2%
Bid-Ask Spread %	58.80	29.06	89.71	60.39	64.39
Gamma HHI	0.70	0.55	0.75	0.75	0.55
Net GEX	24.1K	13.6K	30.8K	24.4K	13.6K
Net DEX	-516.8K	-651.2K	-338.2K	-551.7K	-651.2K
Net VEX	-1.4K	-1.6K	-1.2K	-1.3K	-1.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.29	0.00	6.88	6.88	0.00
Total Volume	13.286	0	63	63	0
Total OI	673.286	604	709	604	704

Daily Data (7 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
2010-02-01	$20.97	$17.50	30.2%	8.7%	40.8%	11.6%	30.6%	0.0%	2.2%	24.4K	-551.7K	-1.3K	6.88	60.39	8	55	394	210
2010-02-02	$21.07	$17.50	29.0%	8.3%	40.7%	10.0%	28.6%	8.9%	2.3%	21.2K	-535.8K	-1.4K	0.00	59.55	25	0	394	265
2010-02-03	$20.49	$17.50	28.6%	8.2%	36.9%	9.6%	0.0%	16.4%	3.9%	30.8K	-401.7K	-1.6K	0.00	37.72	0	0	414	265
2010-02-04	$20.20	$17.50	29.3%	8.4%	34.0%	10.5%	0.0%	2.2%	3.8%	30.8K	-338.2K	-1.6K	0.00	29.06	0	0	414	265
2010-02-05	$20.78	$20.00	24.7%	9.1%	31.8%	4.7%	0.0%	0.0%	0.0%	25.9K	-507.4K	-1.5K	0.00	70.75	0	0	414	265
2010-02-16	$20.87	$20.00	35.1%	10.1%	31.8%	17.7%	0.0%	0.0%	-1.3%	21.7K	-631.6K	-1.3K	0.00	89.71	5	0	444	265
2010-02-17	$20.98	$20.00	34.7%	9.9%	30.9%	17.2%	0.0%	0.0%	-0.9%	13.6K	-651.2K	-1.2K	0.00	64.39	0	0	439	265