CBU Options History — September 2011

In September 2011, CBU traded between $22.06 and $24.56. ATM implied volatility averaged 38.5%, placing in the 59.2% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 10.9% (HV 20d: 49.4%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 3.33.

Notable Days

2011-09-16: Highest Volume — 270 contracts
2011-09-22: Largest IV spike — 27.9% change
2011-09-22: Highest IV Rank — 85.5%
2011-09-22: Largest Expected Move — 13.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.21	$22.06	$24.56	$24.19	$22.69
Max Pain	$24.17	$22.50	$25.00	$25.00	$22.50
ATM IV	38.5%	27.5%	48.7%	27.5%	41.3%
Expected Move	11.0%	7.9%	13.9%	7.9%	11.9%
HV 20d	49.4%	43.9%	69.1%	68.4%	45.4%
HV 60d	46.4%	43.3%	49.4%	43.3%	49.4%
IV Rank	59.2%	30.8%	85.5%	30.8%	66.5%
IV Percentile	86.8%	51.6%	99.2%	51.6%	94.0%
Term Structure	0.2%	-5.1%	2.9%	1.8%	2.3%
VWIV	36.3%	23.5%	49.3%	23.5%	49.3%
Skew 25d	2.9%	-8.8%	12.3%	-8.8%	-4.2%
Skew 10d	-0.7%	-10.2%	8.1%	-9.3%	-10.2%
Call IV 25d	35.1%	26.4%	44.1%	33.4%	42.2%
Put IV 25d	38.0%	24.7%	49.8%	24.7%	37.9%
Bid-Ask Spread %	91.37	75.71	108.37	108.29	97.58
Gamma HHI	0.59	0.49	0.85	0.73	0.50
Net GEX	4.4K	-2.6K	19.0K	13.8K	-1.2K
Net DEX	146.2K	-25.2K	255.3K	21.8K	238.2K
Net VEX	-1.7K	-2.3K	-1.2K	-1.8K	-2.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.33	0.00	16.67	0.00	0.00
Total Volume	20.19	0	270	5	0
Total OI	525.143	472	611	494	611

Daily Data (21 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
2011-09-01	$24.19	$25.00	27.5%	7.9%	68.4%	30.8%	23.5%	-8.8%	1.8%	13.8K	21.8K	-1.8K	0.00	108.29	0	5	282	212
2011-09-02	$23.48	$25.00	34.0%	9.7%	69.1%	47.4%	0.0%	7.8%	0.3%	9.2K	102.8K	-1.7K	0.00	108.37	0	0	282	212
2011-09-06	$23.47	$25.00	40.2%	10.6%	60.7%	63.7%	0.0%	5.7%	1.4%	8.0K	126.4K	-1.6K	0.00	85.83	0	0	282	212
2011-09-07	$24.56	$25.00	30.0%	10.1%	54.7%	37.3%	0.0%	4.7%	-0.4%	19.0K	-25.2K	-1.8K	0.00	87.66	0	0	282	212
2011-09-08	$23.45	$25.00	36.0%	10.4%	50.8%	52.6%	0.0%	-3.4%	2.4%	8.3K	121.3K	-1.6K	0.00	90.68	0	0	282	212
2011-09-09	$22.69	$25.00	34.5%	10.2%	49.4%	48.8%	0.0%	1.0%	2.8%	-429	220.8K	-1.3K	0.00	92.88	0	0	282	212
2011-09-12	$22.54	$25.00	33.8%	10.9%	47.8%	47.1%	0.0%	12.3%	0.6%	-2.6K	248.4K	-1.2K	0.00	95.16	0	0	282	212
2011-09-13	$22.87	$25.00	38.7%	10.7%	46.9%	59.8%	0.0%	4.2%	1.6%	-788	203.9K	-1.3K	0.00	91.42	0	0	282	212
2011-09-14	$23.35	$25.00	41.8%	10.4%	47.1%	67.7%	0.0%	-0.6%	1.8%	2.0K	164.3K	-1.4K	0.00	89.36	0	0	282	212
2011-09-15	$23.89	$25.00	33.0%	9.5%	47.7%	44.9%	0.0%	3.2%	0.8%	13.0K	106.9K	-1.5K	0.00	87.68	0	0	282	212
2011-09-16	$23.99	$25.00	31.1%	8.9%	44.1%	39.9%	0.0%	5.6%	0.2%	15.5K	88.9K	-1.4K	0.00	86.22	270	0	282	212
2011-09-19	$23.47	$25.00	37.5%	10.7%	44.7%	56.5%	0.0%	2.3%	0.1%	4.3K	45.3K	-1.8K	0.00	92.29	1	0	265	207
2011-09-20	$23.33	$25.00	35.4%	10.1%	44.4%	51.2%	35.0%	-1.2%	2.4%	4.3K	61.1K	-1.7K	0.00	94.92	15	0	266	207
2011-09-21	$22.06	$25.00	38.1%	10.9%	45.4%	58.0%	37.4%	8.4%	1.4%	2.9K	166.6K	-1.5K	0.00	94.41	0	22	281	207
2011-09-22	$22.39	$22.50	48.7%	13.9%	44.9%	85.5%	49.3%	5.7%	-5.1%	2.1K	153.4K	-1.6K	16.67	75.71	6	100	281	229
2011-09-23	$22.45	$22.50	47.0%	13.5%	44.9%	81.2%	0.0%	4.5%	-2.5%	-1.5K	255.3K	-2.2K	0.00	81.97	0	0	277	329
2011-09-26	$23.31	$22.50	48.6%	13.9%	46.9%	85.3%	0.0%	4.3%	-3.4%	-525	168.4K	-2.3K	0.00	83.38	0	0	277	329
2011-09-27	$23.40	$22.50	44.6%	12.8%	43.9%	75.1%	0.0%	-2.0%	-2.7%	-368	161.7K	-2.3K	0.00	86.43	5	0	277	329
2011-09-28	$22.52	$22.50	45.5%	13.1%	45.2%	77.4%	0.0%	5.1%	-3.5%	-1.3K	241.1K	-2.1K	0.00	92.37	0	0	282	329
2011-09-29	$23.24	$22.50	41.4%	11.9%	46.1%	66.6%	0.0%	5.8%	2.9%	-587	198.3K	-2.2K	0.00	96.23	0	0	282	329
2011-09-30	$22.69	$22.50	41.3%	11.9%	45.4%	66.5%	0.0%	-4.2%	2.3%	-1.2K	238.2K	-2.1K	0.00	97.58	0	0	282	329