CBU Options History — November 2010

In November 2010, CBU traded between $23.21 and $25.20. ATM implied volatility averaged 31.5%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 4.9% (HV 20d: 26.6%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 5.55.

Notable Days

2010-11-22: Highest Volume — 305 contracts
2010-11-18: Largest IV spike — 25.0% change
2010-11-23: Highest IV Rank — 35.3%
2010-11-23: Largest Expected Move — 10.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.45	$23.21	$25.20	$23.21	$24.08
Max Pain	$24.13	$22.50	$25.00	$25.00	$22.50
ATM IV	31.5%	25.4%	35.8%	33.8%	30.0%
Expected Move	9.1%	7.3%	10.3%	9.7%	8.6%
HV 20d	26.6%	24.4%	28.6%	25.5%	28.5%
HV 60d	27.9%	26.6%	29.4%	27.3%	26.6%
IV Rank	25.5%	11.4%	35.3%	30.7%	22.1%
IV Percentile	26.0%	4.4%	58.3%	33.3%	17.9%
Term Structure	-0.9%	-13.9%	4.1%	4.1%	-2.1%
VWIV	32.3%	29.8%	34.7%	30.3%	29.8%
Bid-Ask Spread %	93.63	54.24	107.46	54.24	86.41
Gamma HHI	0.37	0.31	0.46	0.38	0.38
Net GEX	-3.3K	-30.8K	8.0K	-30.8K	3.2K
Net DEX	-211.9K	-570.5K	382.9K	382.9K	-186.6K
Net VEX	-3.0K	-3.9K	-1.8K	-3.9K	-3.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.55	0.00	60.00	0.00	0.00
Total Volume	32.05	0	305	0	0
Total OI	1,547.15	720	1,775	1,762	1,157

Daily Data (20 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
2010-11-01	$23.21	$25.00	33.8%	9.7%	25.5%	30.7%	0.0%	0.0%	4.1%	-30.8K	382.9K	-3.9K	0.00	54.24	0	0	587	1,175
2010-11-03	$23.92	$25.00	34.1%	9.8%	27.2%	31.5%	30.3%	0.0%	3.4%	-21.4K	81.4K	-3.6K	0.00	107.46	19	0	587	1,175
2010-11-04	$24.99	$25.00	35.6%	10.2%	28.6%	34.9%	0.0%	0.0%	-0.3%	-3.4K	-424.7K	-3.0K	0.00	105.01	37	0	588	1,175
2010-11-05	$24.88	$25.00	31.7%	9.0%	25.3%	26.0%	0.0%	0.0%	-1.2%	-7.1K	-409.0K	-3.0K	0.00	101.19	0	0	590	1,175
2010-11-08	$24.91	$25.00	30.3%	8.9%	25.4%	22.8%	32.6%	0.0%	-1.1%	-4.1K	-415.6K	-3.0K	0.00	102.93	16	0	590	1,175
2010-11-09	$24.66	$25.00	30.2%	8.1%	25.7%	22.5%	0.0%	0.0%	0.8%	-5.7K	-336.8K	-3.1K	0.00	101.94	0	0	600	1,175
2010-11-10	$25.20	$25.00	28.3%	9.7%	26.5%	18.1%	0.0%	0.0%	-3.7%	3.2K	-570.5K	-2.9K	0.50	100.80	6	3	600	1,175
2010-11-11	$25.16	$25.00	34.1%	9.8%	26.5%	31.4%	0.0%	0.0%	-2.4%	115	-543.2K	-2.8K	0.00	101.62	0	0	595	1,172
2010-11-12	$24.63	$25.00	29.9%	8.6%	26.0%	21.9%	0.0%	0.0%	-0.9%	-3.9K	-324.7K	-2.9K	0.00	100.18	5	0	595	1,172
2010-11-15	$24.91	$25.00	33.5%	9.6%	24.4%	30.1%	0.0%	0.0%	-0.5%	808	-469.4K	-2.6K	0.00	99.85	35	0	600	1,172
2010-11-16	$24.37	$25.00	29.6%	8.5%	25.8%	21.0%	0.0%	0.0%	0.1%	-7.4K	-83.3K	-2.5K	0.00	100.32	0	0	565	1,172
2010-11-17	$23.96	$25.00	25.4%	7.3%	26.3%	11.4%	0.0%	0.0%	2.9%	-2.7K	83.0K	-2.4K	0.00	91.33	0	0	565	1,172
2010-11-18	$24.21	$25.00	31.7%	9.1%	26.5%	26.0%	34.7%	0.0%	-0.2%	-2.3K	31.4K	-2.3K	0.00	94.30	63	0	565	1,172
2010-11-19	$24.23	$22.50	31.8%	9.1%	26.2%	26.1%	0.0%	0.0%	2.7%	-2.7K	91.2K	-2.3K	0.00	99.45	0	0	546	1,172
2010-11-22	$23.96	$22.50	31.3%	9.0%	26.6%	24.9%	34.2%	0.0%	-13.9%	8.0K	-296.5K	-1.8K	60.00	91.37	5	300	351	369
2010-11-23	$24.13	$22.50	35.8%	10.3%	26.5%	35.3%	0.0%	0.0%	-2.9%	-9.5K	-42.3K	-3.3K	0.00	86.19	116	0	351	669
2010-11-24	$24.78	$22.50	29.8%	8.6%	27.8%	21.7%	29.8%	0.0%	1.6%	6.8K	-291.8K	-3.8K	0.58	81.31	19	11	467	669
2010-11-26	$24.40	$22.50	32.4%	9.3%	28.5%	27.6%	0.0%	0.0%	-3.0%	7.3K	-268.3K	-3.7K	0.00	81.72	6	0	486	665
2010-11-29	$24.35	$22.50	30.5%	8.7%	28.2%	23.2%	0.0%	0.0%	-1.4%	5.1K	-245.7K	-3.5K	0.00	84.93	0	0	492	665
2010-11-30	$24.08	$22.50	30.0%	8.6%	28.5%	22.1%	0.0%	0.0%	-2.1%	3.2K	-186.6K	-3.5K	0.00	86.41	0	0	492	665