CBU Options History — July 2010

In July 2010, CBU traded between $22.20 and $25.53. ATM implied volatility averaged 35.0%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 2.3% (HV 20d: 37.3%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 18 of 18 trading days. Term structure was in contango for 12 of 18 days. Put/call ratio averaged 1.06.

Notable Days

2010-07-26: Highest Volume — 226 contracts
2010-07-13: Largest IV spike — 31.8% change
2010-07-07: Highest IV Rank — 39.3%
2010-07-06: Largest Expected Move — 12.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.10	$22.20	$25.53	$22.30	$24.75
Max Pain	$22.64	$22.50	$25.00	$25.00	$22.50
ATM IV	35.0%	26.2%	44.8%	41.1%	30.5%
Expected Move	10.4%	8.7%	12.8%	11.8%	8.7%
HV 20d	37.3%	29.5%	44.2%	37.2%	41.0%
HV 60d	48.5%	47.0%	49.5%	47.2%	49.2%
IV Rank	23.4%	9.1%	39.3%	33.4%	16.1%
IV Percentile	32.9%	5.2%	67.5%	56.7%	17.5%
Term Structure	1.0%	-0.9%	3.5%	-0.9%	1.3%
VWIV	36.3%	34.2%	39.8%	39.8%	34.2%
Skew 25d	6.9%	0.0%	12.7%	9.3%	6.2%
Skew 10d	7.3%	-3.8%	14.8%	14.8%	8.2%
Call IV 25d	30.6%	25.4%	38.2%	31.9%	28.4%
Put IV 25d	37.5%	27.8%	45.1%	41.1%	34.6%
Bid-Ask Spread %	27.84	13.67	44.13	14.67	32.43
Gamma HHI	0.72	0.53	0.88	0.73	0.75
Net GEX	33.1K	15.5K	53.5K	16.0K	53.5K
Net DEX	-465.8K	-871.1K	-54.6K	-212.5K	-489.1K
Net VEX	-3.4K	-4.9K	-2.3K	-2.3K	-4.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.06	0.00	8.04	0.00	0.00
Total Volume	41.333	0	226	0	12
Total OI	1,015.111	708	1,393	708	1,393

Daily Data (18 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
2010-07-02	$22.30	$25.00	41.1%	11.8%	37.2%	33.4%	0.0%	9.3%	-0.9%	16.0K	-212.5K	-2.3K	0.00	14.67	0	0	534	174
2010-07-06	$22.20	$22.50	39.7%	12.8%	29.5%	31.0%	0.0%	6.9%	-0.9%	15.5K	-220.4K	-2.3K	0.00	44.13	5	0	534	224
2010-07-07	$23.20	$22.50	44.8%	11.9%	32.7%	39.3%	0.0%	8.9%	-0.2%	21.8K	-317.7K	-2.3K	0.00	43.05	1	0	539	224
2010-07-08	$23.59	$22.50	41.7%	12.0%	32.9%	34.2%	39.8%	7.6%	-0.6%	22.9K	-408.3K	-2.4K	0.00	16.39	22	0	540	224
2010-07-09	$24.13	$22.50	30.2%	10.5%	32.2%	15.7%	36.4%	10.4%	2.1%	26.9K	-493.9K	-2.4K	0.00	27.43	13	0	540	224
2010-07-12	$24.01	$22.50	26.2%	11.1%	30.6%	9.1%	0.0%	4.9%	-0.1%	27.5K	-510.1K	-2.4K	0.00	34.95	0	0	550	224
2010-07-13	$25.06	$22.50	34.5%	10.5%	33.2%	22.6%	0.0%	12.7%	1.1%	32.4K	-705.1K	-2.4K	0.00	22.32	0	200	550	224
2010-07-15	$24.61	$22.50	34.1%	9.8%	34.2%	22.0%	0.0%	9.6%	2.3%	30.3K	-497.2K	-3.5K	0.00	13.67	0	0	590	392
2010-07-16	$23.77	$22.50	34.4%	9.8%	36.8%	22.4%	0.0%	3.6%	3.5%	24.7K	-304.9K	-3.5K	0.00	40.45	0	40	590	392
2010-07-19	$23.52	$22.50	37.6%	10.8%	36.9%	27.6%	0.0%	0.0%	1.8%	22.4K	-201.5K	-3.5K	0.00	36.45	0	1	585	421
2010-07-21	$22.79	$22.50	37.2%	10.7%	38.5%	26.9%	34.8%	5.1%	2.2%	16.6K	-54.6K	-3.3K	0.00	29.67	133	0	590	422
2010-07-22	$23.67	$22.50	36.5%	10.5%	40.9%	25.8%	0.0%	1.4%	1.7%	35.9K	-311.6K	-3.7K	1.46	14.31	24	35	723	422
2010-07-23	$24.75	$22.50	30.5%	8.7%	43.8%	16.1%	0.0%	12.0%	3.0%	51.1K	-650.7K	-3.9K	0.00	27.96	0	0	723	422
2010-07-26	$25.45	$22.50	34.9%	10.0%	44.2%	23.2%	0.0%	8.7%	-0.1%	52.1K	-871.1K	-3.6K	8.04	32.93	25	201	723	422
2010-07-27	$25.53	$22.50	32.8%	9.4%	42.8%	19.8%	0.0%	2.4%	1.0%	43.5K	-790.8K	-4.8K	0.00	14.05	22	0	748	623
2010-07-28	$25.22	$22.50	31.4%	9.0%	42.7%	17.6%	34.2%	6.3%	0.9%	50.1K	-695.2K	-4.9K	0.00	24.68	0	10	770	623
2010-07-29	$25.21	$22.50	32.1%	9.2%	40.6%	18.8%	0.0%	8.4%	0.1%	51.8K	-649.2K	-4.9K	0.00	31.58	0	0	770	623
2010-07-30	$24.75	$22.50	30.5%	8.7%	41.0%	16.1%	0.0%	6.2%	1.3%	53.5K	-489.1K	-4.8K	0.00	32.43	12	0	770	623