CBU Options History — July 2011

In July 2011, CBU traded between $24.30 and $25.45. ATM implied volatility averaged 25.0%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 7.5% (HV 20d: 17.5%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.13.

Notable Days

2011-07-28: Highest Volume — 135 contracts
2011-07-08: Largest IV spike — 26.1% change
2011-07-26: Highest IV Rank — 46.7%
2011-07-26: Largest Expected Move — 9.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.91	$24.30	$25.45	$25.14	$25.16
Max Pain	$25.00	$25.00	$25.00	$25.00	$25.00
ATM IV	25.0%	17.0%	33.7%	17.0%	25.3%
Expected Move	7.5%	4.9%	9.7%	4.9%	7.3%
HV 20d	17.5%	15.9%	20.5%	15.9%	20.5%
HV 60d	21.0%	20.4%	21.6%	20.9%	21.0%
IV Rank	24.2%	3.4%	46.7%	3.4%	24.9%
IV Percentile	36.5%	3.2%	78.2%	3.2%	36.1%
Term Structure	-0.4%	-6.2%	6.2%	6.2%	0.9%
VWIV	28.6%	23.4%	34.6%	30.3%	23.4%
Skew 25d	4.0%	-8.9%	7.1%	-8.9%	-5.8%
Skew 10d	6.5%	-10.4%	11.8%	-10.4%	-9.0%
Call IV 25d	28.6%	23.0%	39.5%	39.5%	30.2%
Put IV 25d	32.6%	21.8%	40.1%	30.6%	24.4%
Bid-Ask Spread %	91.25	83.43	106.55	106.55	103.38
Gamma HHI	0.51	0.48	0.66	0.48	0.66
Net GEX	2.2K	-14.0K	37.3K	-126	37.3K
Net DEX	-159.5K	-552.6K	14.9K	-127.7K	-552.6K
Net VEX	-1.4K	-1.7K	-1.2K	-1.5K	-1.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.13	0.00	1.00	0.00	0.00
Total Volume	20.3	0	135	0	5
Total OI	603	545	836	560	836

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
2011-07-01	$25.14	$25.00	17.0%	4.9%	15.9%	3.4%	0.0%	-8.9%	6.2%	-126	-127.7K	-1.5K	0.00	106.55	0	0	207	353
2011-07-05	$25.15	$25.00	18.3%	6.8%	15.9%	6.9%	0.0%	-1.7%	1.3%	426	-136.0K	-1.4K	0.00	99.59	0	0	207	353
2011-07-06	$25.21	$25.00	18.5%	6.6%	15.9%	7.4%	0.0%	5.1%	1.9%	-2.2K	-140.7K	-1.3K	0.00	89.44	0	0	207	353
2011-07-07	$25.45	$25.00	18.1%	6.5%	16.0%	6.3%	0.0%	5.6%	2.0%	1.5K	-177.8K	-1.3K	0.00	92.59	5	0	207	353
2011-07-08	$24.97	$25.00	22.8%	6.9%	17.7%	18.5%	0.0%	5.5%	0.0%	-2.3K	-109.3K	-1.4K	0.00	89.29	0	0	212	353
2011-07-11	$24.78	$25.00	22.1%	6.8%	17.1%	16.8%	0.0%	5.1%	0.9%	-2.5K	-95.8K	-1.4K	0.00	90.58	0	0	212	353
2011-07-12	$24.91	$25.00	22.4%	7.1%	16.9%	17.6%	0.0%	5.0%	-0.3%	722	-110.7K	-1.4K	0.00	89.07	0	0	212	353
2011-07-13	$25.18	$25.00	24.4%	7.2%	15.9%	22.7%	0.0%	6.1%	-0.6%	2.8K	-146.0K	-1.3K	0.00	87.94	0	0	212	353
2011-07-14	$24.75	$25.00	27.1%	7.8%	16.9%	29.7%	0.0%	5.0%	-2.2%	-1.1K	-80.7K	-1.4K	0.00	86.61	0	0	212	353
2011-07-15	$24.70	$25.00	26.6%	7.6%	16.1%	28.2%	0.0%	6.5%	-1.2%	-3.1K	-63.4K	-1.4K	1.00	88.28	1	1	212	353
2011-07-18	$24.30	$25.00	29.3%	8.4%	16.9%	35.5%	30.3%	4.4%	-2.5%	-14.0K	14.9K	-1.5K	0.00	85.50	22	0	193	352
2011-07-19	$24.90	$25.00	27.4%	7.9%	18.7%	30.4%	27.4%	7.1%	0.5%	-7.2K	-110.4K	-1.3K	0.00	93.03	7	0	215	352
2011-07-20	$24.89	$25.00	28.4%	8.1%	18.6%	32.9%	0.0%	6.8%	-1.3%	-4.9K	-115.6K	-1.4K	0.00	90.78	0	0	222	352
2011-07-21	$25.22	$25.00	27.2%	7.8%	18.8%	30.0%	0.0%	6.2%	0.2%	-4.1K	-179.3K	-1.2K	0.00	89.54	0	0	222	352
2011-07-22	$24.92	$25.00	28.4%	8.2%	18.3%	33.1%	29.0%	7.0%	-1.8%	-3.9K	-120.2K	-1.3K	0.00	94.01	100	0	222	352
2011-07-25	$24.77	$25.00	31.9%	9.1%	18.3%	42.1%	0.0%	6.9%	-4.5%	5.5K	-214.8K	-1.6K	0.00	85.05	0	0	313	352
2011-07-26	$24.55	$25.00	33.7%	9.7%	18.3%	46.7%	34.6%	5.4%	-6.2%	2.3K	-170.6K	-1.6K	0.00	83.43	90	0	313	352
2011-07-27	$24.76	$25.00	26.8%	7.7%	18.3%	28.8%	26.8%	5.4%	-0.7%	20.3K	-311.1K	-1.6K	0.00	88.41	40	0	377	352
2011-07-28	$24.56	$25.00	24.5%	7.0%	18.5%	22.9%	0.0%	4.0%	-0.1%	17.5K	-241.8K	-1.4K	0.00	91.89	135	0	349	352
2011-07-29	$25.16	$25.00	25.3%	7.3%	20.5%	24.9%	23.4%	-5.8%	0.9%	37.3K	-552.6K	-1.7K	0.00	103.38	0	5	484	352