CBU Options History — October 2011

In October 2011, CBU traded between $22.04 and $26.59. ATM implied volatility averaged 36.8%, placing in the 58.1% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 13.8% (HV 20d: 50.6%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.69.

Notable Days

2011-10-24: Highest Volume — 41 contracts
2011-10-10: Largest IV drop — 33.8% change
2011-10-04: Highest IV Rank — 86.3%
2011-10-04: Largest Expected Move — 14.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.66	$22.04	$26.59	$22.04	$25.56
Max Pain	$24.52	$22.50	$25.00	$22.50	$25.00
ATM IV	36.8%	25.5%	49.0%	41.1%	32.8%
Expected Move	10.9%	8.3%	14.0%	11.8%	9.4%
HV 20d	50.6%	45.3%	55.1%	45.3%	49.9%
HV 60d	53.8%	49.6%	55.7%	49.6%	55.3%
IV Rank	58.1%	25.5%	86.3%	65.9%	51.3%
IV Percentile	81.7%	39.3%	99.2%	93.7%	73.8%
Term Structure	0.3%	-4.4%	10.4%	1.5%	1.6%
VWIV	39.0%	29.5%	49.2%	49.2%	32.9%
Skew 25d	3.8%	-4.9%	9.7%	-2.5%	-1.5%
Skew 10d	4.2%	-4.9%	27.9%	4.7%	-1.6%
Call IV 25d	34.7%	24.9%	41.5%	36.0%	34.5%
Put IV 25d	38.5%	28.9%	47.5%	33.5%	33.0%
Bid-Ask Spread %	97.56	87.39	108.16	102.74	106.18
Gamma HHI	0.52	0.49	0.56	0.51	0.52
Net GEX	4.2K	-2.6K	9.2K	-2.6K	6.9K
Net DEX	-38.3K	-362.9K	308.8K	308.8K	-202.1K
Net VEX	-2.1K	-2.3K	-1.8K	-1.9K	-1.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.69	0.00	5.00	0.00	0.00
Total Volume	5.667	0	41	0	12
Total OI	629.048	611	654	611	654

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
2011-10-03	$22.04	$22.50	41.1%	11.8%	45.3%	65.9%	0.0%	-2.5%	1.5%	-2.6K	308.8K	-1.9K	0.00	102.74	0	0	282	329
2011-10-04	$23.74	$22.50	49.0%	14.0%	53.0%	86.3%	49.2%	6.0%	-4.4%	649	112.8K	-2.3K	0.00	87.39	1	0	282	329
2011-10-05	$23.70	$22.50	44.8%	12.8%	50.3%	75.5%	45.2%	7.7%	1.1%	785	122.5K	-2.2K	0.00	100.97	0	3	283	329
2011-10-06	$24.06	$22.50	37.4%	10.7%	47.8%	56.3%	0.0%	5.1%	3.1%	2.4K	54.1K	-2.3K	0.00	102.10	5	0	293	326
2011-10-07	$23.07	$25.00	38.5%	12.2%	48.7%	59.3%	0.0%	-4.9%	0.5%	136	197.8K	-2.2K	0.00	94.04	0	0	298	326
2011-10-10	$24.12	$25.00	25.5%	11.2%	51.0%	25.5%	0.0%	4.5%	0.1%	4.1K	65.8K	-2.3K	0.00	90.37	2	0	298	326
2011-10-11	$24.40	$25.00	33.7%	11.4%	51.0%	46.7%	0.0%	5.6%	-1.9%	4.5K	6.5K	-2.3K	5.00	93.03	1	5	300	326
2011-10-12	$24.87	$25.00	36.2%	10.8%	50.9%	53.2%	0.0%	7.1%	-1.4%	6.1K	-74.3K	-2.3K	0.00	90.11	18	0	301	331
2011-10-13	$24.39	$25.00	38.6%	11.1%	50.9%	59.5%	0.0%	6.8%	-2.2%	3.2K	23.1K	-2.2K	0.00	91.36	1	0	289	331
2011-10-14	$24.56	$25.00	37.7%	10.8%	51.0%	57.1%	0.0%	5.8%	0.6%	4.5K	4.5K	-2.2K	0.00	94.84	1	0	290	331
2011-10-17	$23.50	$25.00	38.7%	11.1%	52.9%	59.7%	0.0%	-1.9%	1.6%	-601	167.2K	-2.0K	0.00	96.12	0	0	290	331
2011-10-18	$24.56	$25.00	37.5%	10.7%	55.1%	56.5%	38.1%	5.8%	-1.1%	6.1K	-1.7K	-2.1K	0.50	97.56	2	1	290	331
2011-10-19	$24.76	$25.00	35.9%	10.3%	50.5%	60.9%	0.0%	4.0%	0.9%	7.5K	-29.8K	-2.1K	0.00	94.84	0	0	291	332
2011-10-20	$25.42	$25.00	40.0%	11.5%	51.0%	73.0%	40.0%	6.7%	-2.4%	8.3K	-148.2K	-2.1K	0.00	91.67	15	0	291	332
2011-10-21	$25.58	$25.00	37.9%	10.9%	50.9%	66.8%	37.9%	9.7%	-2.5%	9.2K	-218.1K	-2.1K	0.00	96.58	11	0	306	332
2011-10-24	$26.16	$25.00	39.1%	11.2%	50.0%	70.2%	29.5%	5.3%	-1.4%	4.9K	-297.8K	-1.9K	2.73	100.71	11	30	294	320
2011-10-25	$25.35	$25.00	36.1%	10.3%	51.7%	61.3%	0.0%	2.2%	-1.4%	4.4K	-112.9K	-2.2K	0.00	102.28	0	0	304	350
2011-10-26	$25.30	$25.00	33.7%	9.6%	49.3%	54.0%	0.0%	-2.1%	0.1%	5.1K	-102.0K	-2.1K	0.00	102.43	0	0	304	350
2011-10-27	$26.59	$25.00	29.2%	8.4%	51.0%	40.5%	0.0%	8.9%	10.4%	6.0K	-362.9K	-1.8K	0.00	105.18	0	0	304	350
2011-10-28	$26.08	$25.00	28.9%	8.3%	50.6%	39.9%	0.0%	1.9%	3.4%	6.9K	-316.8K	-1.9K	0.00	108.16	0	0	304	350
2011-10-31	$25.56	$25.00	32.8%	9.4%	49.9%	51.3%	32.9%	-1.5%	1.6%	6.9K	-202.1K	-1.9K	0.00	106.18	12	0	304	350