CBU Options History — April 2010

In April 2010, CBU traded between $23.15 and $24.48. ATM implied volatility averaged 22.6%, placing in the 2.5% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 25.2% (HV 20d: 47.8%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 3 of 3 trading days. Term structure was in contango for 1 of 3 days. Put/call ratio averaged 0.00.

Notable Days

2010-04-01: Highest Volume — 72 contracts
2010-04-14: Largest IV spike — 28.4% change
2010-04-14: Highest IV Rank — 7.3%
2010-04-14: Largest Expected Move — 9.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.83	$23.15	$24.48	$23.15	$24.48
Max Pain	$20.83	$20.00	$22.50	$22.50	$20.00
ATM IV	22.6%	20.5%	26.4%	21.0%	26.4%
Expected Move	8.4%	6.0%	9.7%	6.0%	9.7%
HV 20d	47.8%	47.5%	48.0%	47.5%	47.9%
HV 60d	38.7%	38.5%	38.7%	38.7%	38.7%
IV Rank	2.5%	0.0%	7.3%	0.3%	7.3%
IV Percentile	2.1%	0.0%	6.0%	0.4%	6.0%
Term Structure	4.1%	-2.1%	15.4%	15.4%	-2.1%
VWIV	18.6%	18.6%	18.6%	18.6%	18.6%
Skew 25d	0.9%	-0.6%	2.2%	2.2%	1.3%
Skew 10d	-3.8%	-8.2%	1.7%	1.7%	-4.9%
Call IV 25d	33.6%	33.0%	34.0%	33.7%	34.0%
Put IV 25d	34.5%	32.3%	35.9%	35.9%	35.3%
Bid-Ask Spread %	46.60	45.82	47.58	46.41	47.58
Gamma HHI	0.57	0.46	0.65	0.60	0.65
Net GEX	30.0K	21.7K	41.2K	41.2K	21.7K
Net DEX	-647.7K	-776.0K	-480.0K	-480.0K	-776.0K
Net VEX	-1.2K	-1.2K	-1.1K	-1.2K	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.00	0.00	0.00	0.00	0.00
Total Volume	24	0	72	72	0
Total OI	532.333	491	553	491	553

Daily Data (3 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	Spread %	Call Vol	Call OI	Put OI
2010-04-01	$23.15	$22.50	21.0%	6.0%	47.5%	0.3%	18.6%	2.2%	15.4%	41.2K	-480.0K	-1.2K	46.41	72	395	96
2010-04-07	$23.86	$20.00	20.5%	9.4%	48.0%	0.0%	0.0%	-0.6%	-1.0%	27.2K	-687.3K	-1.2K	45.82	0	457	96
2010-04-14	$24.48	$20.00	26.4%	9.7%	47.9%	7.3%	0.0%	1.3%	-2.1%	21.7K	-776.0K	-1.1K	47.58	0	457	96