CBU Options History — April 2011

In April 2011, CBU traded between $23.65 and $25.06. ATM implied volatility averaged 25.0%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 8.8% (HV 20d: 16.2%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.00.

Notable Days

2011-04-26: Highest Volume — 153 contracts
2011-04-14: Largest IV drop — 34.4% change
2011-04-13: Highest IV Rank — 49.7%
2011-04-25: Largest Expected Move — 8.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.37	$23.65	$25.06	$24.44	$25.02
Max Pain	$25.00	$25.00	$25.00	$25.00	$25.00
ATM IV	25.0%	15.7%	39.9%	18.7%	17.6%
Expected Move	7.2%	4.5%	8.4%	5.4%	5.0%
HV 20d	16.2%	13.2%	20.6%	20.6%	18.4%
HV 60d	21.5%	20.0%	23.7%	23.7%	20.0%
IV Rank	18.8%	0.0%	49.7%	5.4%	4.0%
IV Percentile	21.5%	0.0%	86.9%	2.0%	1.6%
Term Structure	-0.3%	-10.8%	8.1%	3.6%	4.4%
VWIV	27.0%	25.6%	28.2%	28.2%	25.6%
Skew 25d	0.0%	-19.0%	9.4%	-4.6%	-2.6%
Skew 10d	-4.5%	-36.2%	12.8%	-31.1%	-2.9%
Call IV 25d	28.4%	17.2%	52.5%	24.7%	24.9%
Put IV 25d	28.4%	20.1%	46.0%	20.1%	22.3%
Bid-Ask Spread %	103.52	85.17	127.20	109.03	127.20
Gamma HHI	0.50	0.44	0.66	0.45	0.48
Net GEX	-12.7K	-42.1K	26.3K	2.8K	-29.3K
Net DEX	478.2K	242.9K	694.1K	468.1K	247.4K
Net VEX	-3.1K	-3.5K	-2.7K	-3.5K	-3.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.00	0.00	0.01	0.00	0.01
Total Volume	15.9	0	153	0	0
Total OI	1,020.5	937	1,079	1,041	1,079

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
2011-04-01	$24.44	$25.00	18.7%	5.4%	20.6%	5.4%	0.0%	-4.6%	3.6%	2.8K	468.1K	-3.5K	0.00	109.03	0	0	425	616
2011-04-04	$24.51	$25.00	23.1%	7.6%	20.3%	14.7%	0.0%	-3.4%	0.4%	3.1K	414.5K	-3.4K	0.00	95.86	0	0	425	616
2011-04-05	$24.39	$25.00	24.0%	7.9%	18.0%	16.6%	0.0%	-5.3%	-0.2%	5.1K	421.1K	-3.4K	0.00	94.83	0	0	425	616
2011-04-06	$24.82	$25.00	22.3%	8.0%	18.6%	12.9%	0.0%	-2.0%	-0.7%	13.8K	320.8K	-3.4K	0.00	85.17	0	10	425	616
2011-04-07	$24.76	$25.00	23.9%	8.3%	14.3%	16.4%	0.0%	-19.0%	-2.3%	15.7K	301.5K	-3.5K	0.00	88.90	0	0	425	626
2011-04-08	$24.63	$25.00	26.1%	7.9%	13.2%	20.9%	0.0%	-15.2%	-0.9%	10.5K	366.3K	-3.4K	0.00	88.46	0	0	425	626
2011-04-11	$24.69	$25.00	27.1%	8.3%	13.2%	23.1%	0.0%	7.5%	-1.6%	26.3K	304.8K	-3.3K	0.00	88.71	0	0	425	626
2011-04-12	$24.39	$25.00	31.7%	8.1%	14.1%	32.7%	28.2%	8.0%	-0.3%	6.8K	454.7K	-3.2K	0.00	90.25	0	10	425	626
2011-04-13	$23.97	$25.00	39.9%	7.2%	15.0%	49.7%	0.0%	6.1%	-1.2%	-10.3K	584.5K	-3.1K	0.00	91.19	0	0	425	636
2011-04-14	$24.16	$25.00	26.2%	7.5%	15.1%	21.1%	0.0%	6.6%	0.7%	-11.8K	569.5K	-3.0K	0.00	99.06	0	0	425	636
2011-04-15	$24.28	$25.00	26.8%	7.7%	14.0%	22.4%	27.2%	6.4%	-0.3%	-11.3K	629.4K	-3.0K	0.00	107.62	145	0	425	636
2011-04-18	$23.96	$25.00	26.3%	7.5%	14.6%	21.4%	0.0%	1.3%	-1.6%	-34.4K	641.9K	-3.0K	0.00	108.60	0	0	303	634
2011-04-19	$23.65	$25.00	27.0%	7.7%	15.0%	22.9%	0.0%	1.0%	6.8%	-34.0K	658.6K	-3.0K	0.00	113.23	0	0	303	634
2011-04-20	$23.91	$25.00	27.0%	7.7%	15.3%	22.8%	0.0%	5.1%	-9.5%	-36.0K	694.1K	-2.9K	0.00	111.15	0	0	303	634
2011-04-21	$23.94	$25.00	24.2%	6.9%	15.3%	17.1%	0.0%	9.4%	-4.0%	-34.1K	627.8K	-3.0K	0.00	118.06	0	0	303	634
2011-04-25	$23.82	$25.00	29.3%	8.4%	15.4%	27.7%	0.0%	4.6%	-10.8%	-36.1K	665.3K	-2.7K	0.00	106.06	0	0	303	634
2011-04-26	$24.47	$25.00	25.4%	7.3%	18.0%	19.4%	25.6%	2.0%	0.4%	-42.1K	547.3K	-2.9K	0.01	103.74	152	1	303	634
2011-04-27	$24.57	$25.00	18.8%	5.4%	18.0%	5.7%	0.0%	-3.1%	2.7%	-26.3K	403.7K	-3.1K	0.00	120.34	0	0	444	635
2011-04-28	$25.06	$25.00	15.7%	4.5%	18.4%	0.0%	0.0%	-2.7%	8.1%	-33.0K	242.9K	-2.9K	0.00	122.91	0	0	444	635
2011-04-29	$25.02	$25.00	17.6%	5.0%	18.4%	4.0%	0.0%	-2.6%	4.4%	-29.3K	247.4K	-3.0K	0.00	127.20	0	0	444	635