CBU Options History — February 2011

In February 2011, CBU traded between $24.66 and $25.96. ATM implied volatility averaged 26.5%, placing in the 21.8% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 0.8% (HV 20d: 25.7%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.34.

Notable Days

2011-02-22: Highest Volume — 300 contracts
2011-02-08: Largest IV spike — 20.9% change
2011-02-24: Highest IV Rank — 28.0%
2011-02-07: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.36	$24.66	$25.96	$25.88	$25.16
Max Pain	$24.61	$22.50	$25.00	$22.50	$25.00
ATM IV	26.5%	22.4%	29.5%	24.7%	26.6%
Expected Move	7.9%	7.1%	8.6%	7.1%	7.6%
HV 20d	25.7%	21.3%	30.5%	30.5%	21.3%
HV 60d	25.9%	25.2%	26.3%	26.1%	25.2%
IV Rank	21.8%	13.2%	28.0%	18.0%	22.0%
IV Percentile	16.5%	6.3%	31.3%	8.7%	15.1%
Term Structure	0.3%	-3.0%	7.6%	7.6%	-3.0%
VWIV	26.0%	25.3%	26.7%	25.3%	26.7%
Skew 25d	2.1%	-4.4%	11.6%	11.6%	-1.3%
Skew 10d	3.5%	-7.0%	19.3%	17.4%	-1.8%
Call IV 25d	25.9%	20.8%	31.3%	21.1%	30.3%
Put IV 25d	27.9%	23.5%	32.7%	32.7%	29.0%
Bid-Ask Spread %	98.55	86.39	105.32	98.52	105.00
Gamma HHI	0.51	0.36	0.81	0.81	0.39
Net GEX	1.4K	-25.3K	17.4K	8.4K	-25.3K
Net DEX	-93.5K	-356.5K	475.3K	-315.4K	400.9K
Net VEX	-2.3K	-3.5K	-1.8K	-2.1K	-3.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.34	0.00	3.00	0.00	0.00
Total Volume	41.842	0	300	0	135
Total OI	1,348.789	428	1,627	1,582	735

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
2011-02-01	$25.88	$22.50	24.7%	7.1%	30.5%	18.0%	0.0%	11.6%	7.6%	8.4K	-315.4K	-2.1K	0.00	98.52	0	0	675	907
2011-02-02	$25.64	$22.50	27.1%	7.8%	29.2%	23.1%	0.0%	10.4%	1.0%	4.7K	-295.4K	-2.1K	0.00	95.80	10	0	675	907
2011-02-03	$25.34	$22.50	26.7%	7.7%	28.7%	22.3%	0.0%	9.8%	1.4%	4.4K	-239.6K	-2.2K	0.00	95.96	0	0	685	907
2011-02-04	$25.38	$25.00	22.7%	8.2%	28.6%	13.9%	0.0%	3.7%	-0.1%	7.3K	-236.9K	-2.1K	3.00	91.10	4	12	685	907
2011-02-07	$25.74	$25.00	22.4%	8.6%	28.3%	13.2%	0.0%	6.4%	-1.2%	8.4K	-319.8K	-2.1K	0.09	89.32	11	1	685	919
2011-02-08	$25.73	$25.00	27.1%	8.0%	27.9%	22.9%	0.0%	11.5%	-0.4%	10.1K	-293.1K	-2.1K	0.00	88.73	0	0	694	920
2011-02-09	$25.37	$25.00	24.8%	8.0%	28.2%	18.2%	0.0%	8.7%	0.3%	9.8K	-263.7K	-2.1K	0.00	86.39	5	0	694	920
2011-02-10	$25.25	$25.00	25.5%	7.3%	28.1%	19.7%	25.3%	-1.3%	2.1%	6.9K	-206.1K	-2.1K	0.00	99.35	0	8	699	920
2011-02-11	$25.96	$25.00	28.4%	8.2%	30.2%	25.8%	0.0%	1.1%	0.8%	5.7K	-356.5K	-2.1K	0.00	102.70	5	0	699	928
2011-02-14	$25.49	$25.00	25.7%	7.4%	24.1%	20.1%	0.0%	-1.4%	1.2%	5.4K	-249.5K	-2.0K	0.00	100.35	0	0	694	928
2011-02-15	$25.23	$25.00	27.5%	7.9%	24.2%	23.8%	0.0%	-3.9%	-0.9%	17.4K	-204.8K	-2.0K	0.00	100.78	43	0	694	928
2011-02-16	$25.35	$25.00	28.5%	8.2%	22.2%	25.9%	0.0%	-2.3%	-0.7%	13.6K	-195.6K	-1.9K	0.00	101.06	0	0	671	928
2011-02-17	$25.21	$25.00	27.6%	7.9%	22.1%	24.1%	0.0%	-2.4%	0.2%	12.7K	-158.5K	-1.8K	0.00	103.26	10	0	671	928
2011-02-18	$25.44	$25.00	28.0%	8.0%	22.5%	24.9%	0.0%	-2.6%	-0.1%	11.5K	-230.8K	-1.8K	0.00	103.62	44	0	677	928
2011-02-22	$25.07	$25.00	28.0%	8.0%	22.6%	24.9%	0.0%	-4.1%	-0.2%	-9.9K	196.5K	-1.8K	0.00	104.28	0	300	196	232
2011-02-23	$24.82	$25.00	26.7%	7.6%	22.7%	22.1%	26.7%	-4.4%	0.3%	-14.6K	275.6K	-2.3K	0.00	105.32	0	201	196	332
2011-02-24	$24.66	$25.00	29.5%	8.4%	22.5%	28.0%	0.0%	-3.2%	-2.0%	-24.2K	475.3K	-3.5K	0.00	104.72	0	5	196	533
2011-02-25	$25.14	$25.00	26.7%	7.6%	23.9%	22.1%	0.0%	2.7%	-0.0%	-25.0K	441.1K	-3.5K	0.00	96.26	0	1	196	538
2011-02-28	$25.16	$25.00	26.6%	7.6%	21.3%	22.0%	0.0%	-1.3%	-3.0%	-25.3K	400.9K	-3.4K	0.00	105.00	135	0	196	539