CBU Options History — June 2010

In June 2010, CBU traded between $21.47 and $23.49. ATM implied volatility averaged 47.8%, placing in the 42.6% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded below realized volatility by 5.1% (HV 20d: 52.9%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.37.

Notable Days

2010-06-17: Highest Volume — 320 contracts
2010-06-04: Largest IV spike — 24.6% change
2010-06-04: Highest IV Rank — 70.2%
2010-06-04: Largest Expected Move — 18.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.62	$21.47	$23.49	$22.06	$22.03
Max Pain	$23.19	$20.00	$25.00	$22.50	$25.00
ATM IV	47.8%	38.8%	63.9%	54.7%	40.7%
Expected Move	13.5%	11.1%	18.8%	15.7%	11.7%
HV 20d	52.9%	36.8%	70.7%	65.6%	36.8%
HV 60d	48.2%	45.9%	49.4%	45.9%	47.1%
IV Rank	42.6%	29.5%	70.2%	42.7%	32.7%
IV Percentile	68.8%	47.6%	96.0%	83.7%	54.4%
Term Structure	-2.3%	-7.8%	1.2%	-3.7%	1.2%
VWIV	45.0%	40.9%	53.0%	53.0%	41.0%
Skew 25d	7.7%	-4.5%	21.8%	21.8%	13.7%
Skew 10d	11.3%	-8.5%	27.3%	27.3%	20.4%
Call IV 25d	41.4%	32.7%	47.8%	38.8%	33.7%
Put IV 25d	49.0%	36.7%	60.6%	60.6%	47.5%
Bid-Ask Spread %	43.70	25.85	102.33	51.09	72.52
Gamma HHI	0.53	0.33	0.77	0.44	0.64
Net GEX	6.9K	84	13.3K	4.6K	9.8K
Net DEX	-139.3K	-333.2K	58.1K	-33.3K	-139.2K
Net VEX	-1.9K	-2.3K	-779	-2.0K	-2.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.37	0.00	3.33	0.00	0.00
Total Volume	28.636	0	320	10	150
Total OI	617.909	356	774	612	633

Daily Data (22 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
2010-06-01	$22.06	$22.50	54.7%	15.7%	65.6%	42.7%	0.0%	21.8%	-3.7%	4.6K	-33.3K	-2.0K	0.00	51.09	0	10	374	238
2010-06-02	$23.03	$22.50	52.2%	15.0%	66.5%	39.5%	0.0%	10.0%	-5.0%	8.2K	-120.8K	-1.5K	0.00	31.43	5	0	329	193
2010-06-03	$23.08	$22.50	51.3%	14.7%	66.5%	38.4%	0.0%	8.0%	-4.7%	8.6K	-128.4K	-2.0K	0.00	35.74	0	0	374	238
2010-06-04	$21.68	$0.00	63.9%	18.8%	70.7%	70.2%	0.0%	0.0%	-7.8%	4.7K	-34.3K	-779	0.00	57.93	0	0	254	102
2010-06-07	$22.07	$0.00	52.0%	13.7%	58.9%	51.0%	0.0%	16.9%	-1.8%	3.1K	-14.3K	-1.8K	0.00	29.42	10	0	374	238
2010-06-08	$21.94	$0.00	54.8%	14.1%	58.8%	55.4%	0.0%	7.1%	-2.3%	2.4K	1.2K	-1.8K	0.00	29.68	0	0	384	238
2010-06-09	$21.47	$0.00	53.4%	13.5%	58.8%	53.3%	53.0%	9.7%	-1.0%	84	58.1K	-1.7K	0.00	37.55	0	20	384	238
2010-06-10	$22.21	$20.00	48.0%	13.7%	60.2%	44.4%	0.0%	6.5%	-0.6%	1.4K	-2.4K	-1.8K	0.00	30.02	0	0	384	258
2010-06-11	$22.63	$20.00	48.1%	13.8%	60.3%	44.6%	0.0%	10.1%	-1.4%	3.7K	-64.5K	-1.8K	3.33	50.77	12	40	384	258
2010-06-14	$22.72	$20.00	49.3%	14.1%	59.2%	46.5%	0.0%	7.1%	-2.2%	3.8K	-94.7K	-1.8K	0.00	48.67	4	0	396	248
2010-06-15	$22.97	$20.00	46.1%	13.2%	58.5%	41.4%	0.0%	6.9%	-1.3%	2.7K	-120.5K	-1.7K	0.00	25.85	0	0	400	248
2010-06-16	$23.17	$20.00	45.1%	12.9%	56.8%	39.7%	40.9%	7.3%	0.3%	1.0K	-154.7K	-1.7K	0.04	27.52	25	1	400	248
2010-06-17	$23.36	$25.00	44.1%	12.6%	53.8%	38.2%	0.0%	6.3%	-1.8%	3.5K	-199.9K	-1.8K	0.00	29.82	320	0	425	249
2010-06-18	$23.41	$25.00	46.0%	13.2%	45.9%	41.3%	0.0%	8.0%	-4.5%	11.8K	-333.2K	-2.3K	0.00	35.08	0	0	525	249
2010-06-21	$23.49	$25.00	44.1%	12.6%	42.0%	38.1%	0.0%	1.6%	-2.9%	13.0K	-318.2K	-2.3K	0.00	36.29	0	3	409	199
2010-06-22	$23.15	$25.00	44.8%	12.8%	41.7%	39.2%	41.0%	-3.4%	-1.1%	12.5K	-294.0K	-2.3K	0.00	52.37	5	0	409	199
2010-06-23	$22.59	$25.00	41.7%	11.9%	42.1%	34.2%	0.0%	3.2%	0.7%	11.3K	-215.1K	-2.1K	0.00	29.24	0	10	414	199
2010-06-24	$22.25	$25.00	46.1%	13.2%	38.6%	41.4%	0.0%	1.3%	-5.9%	10.3K	-163.8K	-2.1K	0.00	38.48	10	0	414	209
2010-06-25	$23.19	$25.00	38.8%	11.1%	41.1%	29.5%	0.0%	0.0%	-1.9%	13.3K	-290.3K	-2.2K	0.00	102.33	0	5	404	209
2010-06-28	$22.91	$25.00	43.3%	12.4%	40.8%	36.9%	0.0%	-4.5%	-1.7%	12.7K	-243.3K	-2.2K	0.00	53.39	0	0	424	209
2010-06-29	$22.29	$25.00	44.2%	12.7%	40.0%	38.3%	0.0%	15.4%	-0.8%	9.7K	-158.4K	-2.0K	0.00	56.17	0	0	424	209
2010-06-30	$22.03	$25.00	40.7%	11.7%	36.8%	32.7%	0.0%	13.7%	1.2%	9.8K	-139.2K	-2.0K	0.00	72.52	150	0	424	209