CBU Options History — May 2010

Name: CBU Options Analytics - May 2010
Creator: Options Analysis Suite

In May 2010, CBU traded between $22.34 and $25.34. ATM implied volatility averaged 42.9%, placing in the 27.9% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded below realized volatility by 17.5% (HV 20d: 60.4%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 9 of 9 trading days. Term structure was in contango for 5 of 9 days. Put/call ratio averaged 0.61.

Notable Days

2010-05-07: Highest Volume — 121 contracts
2010-05-27: Largest IV spike — 33.7% change
2010-05-28: Highest IV Rank — 39.5%
2010-05-28: Largest Expected Move — 14.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.90	$22.34	$25.34	$23.47	$22.85
Max Pain	$22.19	$20.00	$22.50	$20.00	$22.50
ATM IV	42.9%	37.0%	52.1%	37.0%	52.1%
Expected Move	12.3%	10.6%	14.9%	10.6%	14.9%
HV 20d	60.4%	51.3%	64.9%	51.3%	64.4%
HV 60d	43.4%	39.6%	45.3%	39.6%	45.2%
IV Rank	27.9%	20.6%	39.5%	20.6%	39.5%
IV Percentile	56.7%	39.3%	77.8%	39.3%	77.8%
Term Structure	0.1%	-3.7%	3.2%	-0.6%	-3.7%
Skew 25d	13.9%	3.7%	43.8%	5.5%	7.8%
Skew 10d	14.3%	-1.0%	49.4%	-0.7%	15.7%
Call IV 25d	36.5%	25.4%	46.8%	31.9%	46.8%
Put IV 25d	50.5%	37.4%	87.2%	37.4%	54.6%
Bid-Ask Spread %	70.92	31.43	90.32	46.09	31.43
Gamma HHI	0.78	0.51	1.00	0.76	0.51
Net GEX	31.8K	7.6K	57.7K	38.4K	7.6K
Net DEX	-435.8K	-846.9K	-123.5K	-473.5K	-123.5K
Net VEX	-2.0K	-2.7K	-311	-1.7K	-2.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.61	0.00	2.46	0.00	0.00
Total Volume	18.222	0	121	20	5
Total OI	687.444	258	842	651	612

Daily Data (9 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
2010-05-04	$23.47	$20.00	37.0%	10.6%	51.3%	20.6%	0.0%	5.5%	-0.6%	38.4K	-473.5K	-1.7K	0.00	46.09	20	0	554	97
2010-05-07	$22.34	$22.50	44.6%	12.3%	55.2%	30.1%	0.0%	20.9%	-1.2%	22.1K	-277.9K	-1.7K	2.46	81.64	35	86	573	137
2010-05-10	$24.14	$0.00	38.9%	11.6%	60.8%	22.9%	0.0%	43.8%	-1.4%	23.8K	-200.9K	-311	0.00	76.23	0	0	222	36
2010-05-13	$25.34	$22.50	40.9%	11.7%	61.1%	25.4%	0.0%	13.2%	0.2%	44.2K	-846.9K	-2.7K	0.00	90.13	6	0	611	223
2010-05-14	$24.81	$22.50	42.1%	12.1%	61.2%	26.9%	0.0%	10.5%	0.3%	44.7K	-723.6K	-2.7K	0.00	90.32	0	0	611	223
2010-05-17	$25.04	$22.50	41.0%	11.7%	60.5%	25.5%	0.0%	9.7%	3.2%	57.7K	-706.1K	-2.4K	0.00	88.18	0	10	611	223
2010-05-19	$23.79	$22.50	38.1%	10.9%	64.1%	22.0%	0.0%	3.7%	3.2%	39.1K	-420.8K	-2.3K	0.00	89.06	0	0	609	233
2010-05-27	$23.29	$22.50	51.0%	14.6%	64.9%	38.1%	0.0%	10.2%	0.9%	8.4K	-149.4K	-2.2K	0.00	45.22	0	2	374	238
2010-05-28	$22.85	$22.50	52.1%	14.9%	64.4%	39.5%	0.0%	7.8%	-3.7%	7.6K	-123.5K	-2.2K	0.00	31.43	5	0	374	238