CBU Options History — January 2011

In January 2011, CBU traded between $25.28 and $28.34. ATM implied volatility averaged 27.1%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 0.8% (HV 20d: 27.9%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.77.

Notable Days

2011-01-28: Highest Volume — 210 contracts
2011-01-06: Largest IV spike — 37.0% change
2011-01-06: Highest IV Rank — 32.2%
2011-01-06: Largest Expected Move — 9.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.07	$25.28	$28.34	$28.25	$25.28
Max Pain	$23.00	$22.50	$25.00	$25.00	$22.50
ATM IV	27.1%	19.8%	31.5%	19.8%	27.0%
Expected Move	7.8%	5.7%	9.0%	5.7%	7.8%
HV 20d	27.9%	22.7%	33.0%	22.7%	29.9%
HV 60d	25.8%	24.1%	27.7%	24.9%	27.2%
IV Rank	23.0%	7.8%	32.2%	7.8%	22.9%
IV Percentile	16.8%	3.2%	33.7%	3.2%	15.1%
Term Structure	3.3%	-14.3%	11.9%	8.5%	1.1%
VWIV	29.8%	24.8%	38.1%	30.3%	25.5%
Skew 25d	4.3%	-0.1%	7.1%	4.6%	5.5%
Skew 10d	7.0%	-4.2%	14.5%	8.2%	7.8%
Call IV 25d	26.6%	22.0%	30.1%	26.3%	26.3%
Put IV 25d	30.9%	29.1%	32.0%	30.9%	31.8%
Bid-Ask Spread %	101.21	88.84	114.84	110.79	97.16
Gamma HHI	0.54	0.42	0.78	0.70	0.44
Net GEX	31.9K	3.2K	49.8K	43.1K	3.2K
Net DEX	-815.7K	-1.1M	-243.2K	-1.1M	-243.2K
Net VEX	-1.9K	-2.5K	-1.1K	-2.2K	-2.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.77	0.00	20.00	0.00	0.02
Total Volume	18.2	0	210	10	42
Total OI	1,426.15	1,378	1,581	1,412	1,581

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
2011-01-03	$28.25	$25.00	19.8%	5.7%	22.7%	7.8%	0.0%	4.6%	8.5%	43.1K	-1.1M	-2.2K	0.00	110.79	10	0	718	694
2011-01-04	$27.43	$25.00	26.7%	7.6%	25.6%	22.1%	0.0%	3.3%	-5.3%	35.0K	-907.3K	-2.2K	0.00	112.44	0	2	728	694
2011-01-05	$27.76	$25.00	23.0%	6.6%	25.8%	14.4%	0.0%	3.9%	5.6%	41.6K	-983.6K	-2.1K	0.00	111.15	10	0	728	696
2011-01-06	$27.37	$25.00	31.5%	9.0%	26.2%	32.2%	0.0%	3.4%	-14.3%	35.3K	-925.7K	-2.5K	0.00	114.84	0	0	728	696
2011-01-07	$26.75	$22.50	22.8%	6.8%	27.5%	14.1%	30.3%	6.8%	10.7%	30.1K	-783.6K	-2.0K	0.00	109.60	2	0	728	696
2011-01-10	$27.05	$22.50	25.8%	9.0%	26.6%	20.3%	0.0%	4.0%	-0.8%	29.8K	-822.3K	-2.0K	0.00	97.34	0	0	728	696
2011-01-11	$27.04	$22.50	27.2%	8.2%	25.9%	23.2%	0.0%	4.0%	4.5%	31.2K	-824.3K	-1.9K	0.00	95.36	0	0	728	696
2011-01-12	$27.10	$22.50	28.8%	7.4%	25.8%	26.6%	0.0%	4.0%	10.1%	31.4K	-857.2K	-2.2K	0.00	93.63	0	0	728	696
2011-01-13	$27.00	$22.50	25.4%	7.3%	25.6%	19.4%	38.1%	4.3%	11.9%	30.3K	-849.2K	-2.3K	0.00	89.29	22	0	728	696
2011-01-14	$28.34	$22.50	28.9%	8.3%	30.6%	26.9%	28.9%	6.2%	-2.3%	47.2K	-1.1M	-2.1K	0.00	94.89	19	0	750	696
2011-01-18	$28.27	$22.50	28.1%	8.1%	30.6%	25.1%	0.0%	3.8%	1.2%	49.8K	-1.1M	-1.8K	0.00	101.28	5	0	755	696
2011-01-19	$27.36	$22.50	31.1%	8.9%	33.0%	31.3%	26.0%	4.5%	5.6%	40.4K	-964.6K	-2.1K	0.00	103.31	10	0	751	696
2011-01-20	$27.15	$22.50	29.3%	8.4%	31.0%	27.6%	0.0%	3.3%	8.9%	32.7K	-867.2K	-2.1K	0.00	88.84	0	0	752	696
2011-01-21	$27.22	$22.50	30.1%	8.6%	29.1%	29.3%	35.7%	3.4%	6.1%	31.4K	-871.7K	-1.8K	0.86	95.64	14	12	752	696
2011-01-24	$26.87	$22.50	27.8%	8.0%	28.1%	24.6%	28.8%	1.2%	8.3%	30.8K	-718.1K	-1.5K	0.33	107.68	3	1	673	705
2011-01-25	$26.73	$22.50	25.1%	7.2%	27.8%	18.8%	0.0%	-0.1%	7.7%	28.6K	-661.5K	-1.3K	0.00	106.45	2	0	673	706
2011-01-26	$26.42	$22.50	28.7%	8.2%	28.0%	26.4%	0.0%	7.1%	-1.0%	24.2K	-620.3K	-1.4K	0.00	105.06	0	0	675	706
2011-01-27	$26.44	$22.50	30.5%	8.7%	27.9%	30.1%	0.0%	7.1%	-2.7%	23.6K	-611.9K	-1.4K	0.00	93.99	0	0	675	706
2011-01-28	$25.62	$22.50	24.3%	7.0%	29.7%	17.3%	24.8%	5.7%	2.9%	18.5K	-523.2K	-1.1K	20.00	95.39	10	200	675	706
2011-01-31	$25.28	$22.50	27.0%	7.8%	29.9%	22.9%	25.5%	5.5%	1.1%	3.2K	-243.2K	-2.2K	0.02	97.16	41	1	675	906