CBU Options History — October 2010

In October 2010, CBU traded between $22.15 and $24.24. ATM implied volatility averaged 36.2%, placing in the 36.3% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 6.7% (HV 20d: 29.5%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.61.

Notable Days

2010-10-26: Highest Volume — 99 contracts
2010-10-13: Largest IV spike — 87.7% change
2010-10-18: Highest IV Rank — 77.8%
2010-10-18: Largest Expected Move — 15.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.34	$22.15	$24.24	$22.75	$23.37
Max Pain	$24.87	$22.50	$25.00	$22.50	$25.00
ATM IV	36.2%	26.8%	54.3%	36.7%	33.8%
Expected Move	10.5%	9.6%	15.6%	10.5%	9.7%
HV 20d	29.5%	25.4%	33.5%	26.4%	25.5%
HV 60d	30.5%	27.3%	33.3%	32.8%	27.3%
IV Rank	36.3%	14.8%	77.8%	37.5%	30.7%
IV Percentile	48.0%	7.1%	98.8%	58.3%	33.7%
Term Structure	3.8%	-1.6%	40.1%	-1.1%	-1.1%
VWIV	33.7%	29.2%	36.7%	35.1%	33.5%
Bid-Ask Spread %	65.90	26.18	109.97	69.08	83.84
Gamma HHI	0.51	0.36	0.72	0.58	0.37
Net GEX	-21.0K	-34.4K	-5.2K	-14.2K	-27.4K
Net DEX	207.6K	-282.1K	594.6K	316.2K	314.9K
Net VEX	-4.7K	-5.9K	-4.1K	-5.9K	-4.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.61	0.00	5.00	1.67	0.00
Total Volume	20.158	0	99	8	7
Total OI	1,746	1,618	1,851	1,843	1,761

Daily Data (19 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
2010-10-01	$22.75	$22.50	36.7%	10.5%	26.4%	37.5%	0.0%	0.0%	-1.1%	-14.2K	316.2K	-5.9K	1.67	69.08	3	5	670	1,173
2010-10-04	$22.15	$25.00	34.7%	10.5%	28.0%	32.9%	0.0%	0.0%	-1.6%	-14.7K	594.6K	-5.7K	0.00	26.18	0	0	673	1,178
2010-10-05	$23.11	$25.00	39.1%	10.0%	31.9%	42.9%	0.0%	0.0%	-0.8%	-18.0K	226.4K	-5.5K	5.00	32.46	10	50	673	1,178
2010-10-07	$23.17	$25.00	31.6%	10.0%	31.5%	25.8%	35.1%	0.0%	1.3%	-5.2K	128.3K	-5.5K	0.00	33.22	11	0	672	1,149
2010-10-08	$23.40	$25.00	35.5%	10.8%	31.4%	34.7%	0.0%	0.0%	-1.3%	-5.3K	25.1K	-5.3K	0.00	36.01	0	0	668	1,149
2010-10-11	$23.35	$25.00	28.1%	10.2%	30.9%	17.6%	0.0%	0.0%	-0.3%	-5.7K	-6.8K	-5.0K	0.00	33.03	7	0	668	1,149
2010-10-12	$23.53	$25.00	26.8%	10.2%	30.7%	14.8%	35.1%	0.0%	0.2%	-15.1K	-107.0K	-4.9K	0.01	43.84	84	1	668	1,149
2010-10-13	$24.24	$25.00	50.4%	10.4%	32.2%	69.0%	0.0%	0.0%	-0.9%	-14.2K	-282.1K	-4.7K	0.00	75.36	14	0	650	1,149
2010-10-14	$23.66	$25.00	35.2%	10.1%	33.4%	34.0%	0.0%	0.0%	-1.1%	-22.0K	-95.2K	-4.6K	0.00	61.30	0	0	636	1,149
2010-10-18	$23.86	$25.00	54.3%	15.6%	33.5%	77.8%	0.0%	0.0%	40.1%	-22.5K	110.1K	-4.2K	0.00	102.94	0	0	496	1,122
2010-10-19	$23.62	$25.00	35.4%	10.2%	32.7%	34.6%	33.9%	0.0%	-0.0%	-25.2K	225.6K	-4.4K	0.00	75.81	0	12	496	1,122
2010-10-20	$23.58	$25.00	36.0%	10.3%	32.5%	35.8%	0.0%	0.0%	4.3%	-26.8K	251.7K	-4.3K	0.00	78.30	2	0	496	1,134
2010-10-21	$23.37	$25.00	33.7%	9.6%	29.6%	30.4%	34.9%	0.0%	4.9%	-27.9K	314.1K	-4.2K	0.00	85.94	0	50	495	1,134
2010-10-22	$23.39	$25.00	34.3%	9.8%	27.1%	31.9%	0.0%	0.0%	1.9%	-31.4K	359.1K	-4.3K	0.00	90.83	0	0	495	1,174
2010-10-25	$23.23	$25.00	36.6%	10.5%	27.2%	37.3%	0.0%	0.0%	24.7%	-34.4K	469.5K	-4.2K	0.00	109.97	1	0	495	1,174
2010-10-26	$23.15	$25.00	37.4%	10.7%	25.6%	39.0%	36.7%	0.0%	1.0%	-33.4K	430.2K	-4.1K	0.00	91.07	99	0	495	1,174
2010-10-27	$23.40	$25.00	34.4%	9.9%	25.6%	32.2%	31.3%	0.0%	-1.4%	-25.8K	280.9K	-4.2K	0.00	85.27	10	0	580	1,174
2010-10-28	$23.18	$25.00	34.1%	9.8%	25.4%	31.4%	29.2%	0.0%	2.5%	-29.9K	389.0K	-4.1K	0.00	37.59	17	0	582	1,174
2010-10-29	$23.37	$25.00	33.8%	9.7%	25.5%	30.7%	33.5%	0.0%	-1.1%	-27.4K	314.9K	-4.1K	0.00	83.84	0	7	587	1,174