CBU Options History — November 2011

In November 2011, CBU traded between $23.88 and $26.54. ATM implied volatility averaged 33.9%, placing in the 54.7% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 9.8% (HV 20d: 43.7%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.00.

Notable Days

2011-11-18: Highest Volume — 271 contracts
2011-11-09: Largest IV spike — 20.9% change
2011-11-30: Highest IV Rank — 64.7%
2011-11-30: Largest Expected Move — 10.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.32	$23.88	$26.54	$24.66	$26.42
Max Pain	$25.00	$25.00	$25.00	$25.00	$25.00
ATM IV	33.9%	29.4%	37.2%	35.2%	37.2%
Expected Move	9.9%	8.7%	10.7%	10.1%	10.7%
HV 20d	43.7%	38.7%	47.3%	45.4%	47.3%
HV 60d	46.9%	45.1%	52.5%	52.5%	47.9%
IV Rank	54.7%	41.2%	64.7%	58.5%	64.7%
IV Percentile	76.1%	61.9%	83.3%	80.2%	83.3%
Term Structure	-1.8%	-7.7%	8.5%	-0.4%	-7.7%
VWIV	35.9%	33.7%	39.1%	35.1%	39.1%
Skew 25d	1.3%	-7.0%	7.4%	-7.0%	0.1%
Skew 10d	2.2%	-9.2%	27.1%	-9.2%	2.9%
Call IV 25d	32.9%	25.7%	39.5%	38.5%	35.6%
Put IV 25d	34.2%	29.8%	41.4%	31.5%	35.6%
Bid-Ask Spread %	101.55	95.83	110.84	104.25	110.53
Gamma HHI	0.61	0.51	0.72	0.51	0.63
Net GEX	15.1K	6.5K	30.8K	6.5K	16.9K
Net DEX	-217.4K	-508.6K	25.7K	25.7K	-342.0K
Net VEX	-1.5K	-2.0K	-1.1K	-2.0K	-1.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.00	0.00	0.02	0.00	0.00
Total Volume	16.857	0	271	0	12
Total OI	587.286	379	679	665	434

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
2011-11-01	$24.66	$25.00	35.2%	10.1%	45.4%	58.5%	0.0%	-7.0%	-0.4%	6.5K	25.7K	-2.0K	0.00	104.25	0	0	315	350
2011-11-02	$25.57	$25.00	34.0%	9.7%	47.0%	54.9%	0.0%	-2.1%	0.4%	8.8K	-187.2K	-1.9K	0.00	106.04	0	0	315	350
2011-11-03	$26.14	$25.00	30.3%	8.7%	47.3%	44.0%	0.0%	2.8%	8.5%	9.3K	-331.6K	-1.7K	0.00	110.84	0	0	315	350
2011-11-04	$26.01	$0.00	30.2%	9.7%	44.2%	43.6%	0.0%	4.1%	-1.2%	9.1K	-311.6K	-1.7K	0.00	101.33	0	0	315	350
2011-11-07	$26.28	$0.00	30.8%	10.1%	41.9%	45.3%	0.0%	5.8%	-2.3%	14.9K	-420.8K	-1.5K	0.00	100.52	0	0	315	350
2011-11-08	$26.54	$0.00	29.4%	9.8%	41.8%	41.2%	0.0%	7.4%	1.3%	6.8K	-508.6K	-1.3K	0.00	103.58	0	0	315	350
2011-11-09	$25.00	$0.00	35.5%	10.1%	47.1%	59.7%	35.1%	4.7%	-2.9%	12.3K	-58.3K	-1.7K	0.00	98.30	0	1	315	350
2011-11-10	$25.48	$25.00	35.8%	10.3%	47.0%	60.4%	36.0%	1.4%	-3.8%	14.8K	-197.2K	-1.6K	0.00	99.14	14	0	315	351
2011-11-11	$25.82	$25.00	32.5%	9.3%	47.1%	50.5%	0.0%	1.1%	-0.8%	16.2K	-393.5K	-1.4K	0.00	102.63	0	0	328	351
2011-11-14	$25.32	$25.00	35.6%	10.2%	44.6%	60.0%	0.0%	-1.2%	-3.4%	21.1K	-195.1K	-1.5K	0.00	96.67	0	0	328	351
2011-11-15	$25.72	$25.00	34.9%	10.0%	42.3%	57.6%	0.0%	1.1%	-2.1%	18.2K	-373.8K	-1.3K	0.00	101.46	0	0	328	351
2011-11-16	$25.32	$25.00	34.5%	9.9%	42.7%	56.4%	0.0%	-1.4%	-2.8%	27.6K	-239.3K	-1.3K	0.00	100.27	1	0	328	351
2011-11-17	$25.03	$25.00	35.1%	10.1%	41.9%	58.3%	0.0%	3.9%	-2.6%	30.8K	-122.5K	-1.3K	0.00	95.83	0	0	328	351
2011-11-18	$25.69	$25.00	34.7%	9.9%	42.9%	57.0%	34.7%	0.3%	-1.9%	20.4K	-448.8K	-1.1K	0.00	100.93	271	0	328	351
2011-11-21	$24.93	$25.00	33.9%	9.7%	43.3%	54.7%	33.7%	3.5%	0.1%	11.7K	-84.4K	-1.4K	0.02	96.45	45	1	206	173
2011-11-22	$24.83	$25.00	34.4%	9.8%	41.9%	56.1%	0.0%	4.7%	-1.5%	15.0K	-141.0K	-1.6K	0.00	98.51	0	0	251	174
2011-11-23	$24.06	$25.00	35.1%	10.1%	43.3%	58.2%	0.0%	-4.3%	-5.5%	13.1K	-45.5K	-1.5K	0.00	100.20	0	0	251	174
2011-11-25	$23.88	$25.00	32.4%	9.3%	38.7%	50.2%	0.0%	-3.0%	-2.5%	12.3K	-26.9K	-1.4K	0.00	101.91	0	0	251	174
2011-11-28	$24.65	$25.00	34.2%	9.8%	40.4%	55.7%	0.0%	3.5%	-1.9%	15.8K	-88.3K	-1.4K	0.00	102.72	0	0	251	174
2011-11-29	$24.42	$25.00	36.2%	10.4%	40.0%	61.8%	36.8%	1.9%	-4.3%	15.7K	-74.2K	-1.4K	0.00	100.43	9	0	251	174
2011-11-30	$26.42	$25.00	37.2%	10.7%	47.3%	64.7%	39.1%	0.1%	-7.7%	16.9K	-342.0K	-1.3K	0.00	110.53	12	0	260	174