CBU Options History — December 2011

In December 2011, CBU traded between $25.98 and $28.22. ATM implied volatility averaged 31.8%, placing in the 48.3% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 11.6% (HV 20d: 43.3%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.00.

Notable Days

2011-12-14: Highest Volume — 27 contracts
2011-12-23: Largest IV spike — 86.4% change
2011-12-09: Highest IV Rank — 85.2%
2011-12-02: Largest Expected Move — 10.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.89	$25.98	$28.22	$25.99	$27.80
Max Pain	$25.00	$25.00	$25.00	$25.00	$25.00
ATM IV	31.8%	18.3%	44.1%	33.5%	22.7%
Expected Move	8.1%	5.3%	10.2%	9.6%	6.5%
HV 20d	43.3%	31.9%	46.8%	46.1%	31.9%
HV 60d	45.4%	41.4%	47.2%	47.2%	41.6%
IV Rank	48.3%	8.0%	85.2%	53.7%	21.2%
IV Percentile	61.4%	6.0%	97.2%	72.6%	21.0%
Term Structure	3.3%	-8.5%	14.2%	-2.8%	6.3%
VWIV	32.5%	29.1%	36.3%	31.9%	36.3%
Skew 25d	4.4%	-2.1%	11.6%	-2.1%	0.5%
Skew 10d	3.5%	-1.3%	11.0%	0.1%	0.1%
Call IV 25d	24.8%	18.0%	35.9%	35.9%	25.0%
Put IV 25d	29.2%	22.4%	36.0%	33.8%	25.4%
Bid-Ask Spread %	107.43	100.88	113.30	110.80	111.24
Gamma HHI	0.53	0.39	0.69	0.67	0.40
Net GEX	8.0K	-32	25.1K	21.2K	143
Net DEX	-247.8K	-495.0K	-66.4K	-336.5K	-175.7K
Net VEX	-927	-1.3K	-607	-1.3K	-756
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.00	0.00	6.00	0.00	6.00
Total Volume	3	0	27	0	0
Total OI	356.667	284	449	446	326

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
2011-12-01	$25.99	$25.00	33.5%	9.6%	46.1%	53.7%	0.0%	-2.1%	-2.8%	21.2K	-336.5K	-1.3K	0.00	110.80	0	0	272	174
2011-12-02	$26.51	$25.00	35.5%	10.2%	46.0%	59.6%	0.0%	0.8%	-4.2%	18.7K	-399.9K	-1.3K	0.00	107.87	0	0	272	174
2011-12-05	$27.12	$25.00	39.1%	8.7%	46.6%	70.5%	0.0%	8.2%	2.4%	15.9K	-464.1K	-1.1K	0.00	104.85	0	0	272	174
2011-12-06	$26.76	$25.00	32.3%	8.3%	46.8%	50.0%	0.0%	5.6%	2.2%	18.6K	-458.1K	-1.1K	0.00	105.97	0	0	272	174
2011-12-07	$27.07	$25.00	35.3%	8.9%	46.8%	59.0%	0.0%	8.8%	3.7%	14.3K	-495.0K	-1.0K	0.00	104.70	2	0	272	174
2011-12-08	$25.99	$25.00	33.0%	8.6%	43.9%	52.1%	0.0%	2.9%	3.1%	25.1K	-331.5K	-1.2K	0.00	103.71	0	0	274	174
2011-12-09	$26.99	$25.00	44.1%	9.2%	45.4%	85.2%	31.9%	8.9%	3.2%	16.2K	-460.9K	-1.1K	0.00	100.88	1	0	274	174
2011-12-12	$26.75	$25.00	42.9%	8.6%	45.4%	81.6%	0.0%	5.2%	4.1%	17.9K	-484.7K	-964	0.00	103.60	0	0	275	174
2011-12-13	$26.15	$25.00	41.3%	8.3%	45.6%	77.0%	29.1%	3.1%	4.2%	1.5K	-68.9K	-893	0.00	103.94	1	0	110	174
2011-12-14	$25.98	$25.00	43.7%	8.4%	45.4%	84.2%	0.0%	2.5%	2.9%	1.8K	-66.4K	-886	0.00	105.11	27	0	111	174
2011-12-15	$26.32	$25.00	28.6%	8.2%	45.2%	39.0%	0.0%	4.6%	3.9%	2.3K	-101.2K	-984	0.00	106.68	0	0	133	174
2011-12-16	$26.71	$25.00	29.2%	8.4%	45.1%	40.6%	0.0%	4.4%	3.3%	2.0K	-131.0K	-933	0.00	107.06	0	0	133	174
2011-12-19	$26.26	$25.00	27.2%	7.8%	44.8%	34.8%	0.0%	1.4%	5.4%	2.4K	-83.7K	-935	0.00	109.31	0	0	125	172
2011-12-20	$26.88	$25.00	26.0%	7.5%	43.9%	31.1%	0.0%	5.2%	10.4%	2.5K	-129.1K	-830	0.00	108.06	0	0	125	172
2011-12-21	$27.21	$25.00	28.0%	8.0%	43.9%	36.9%	0.0%	8.3%	-0.7%	1.9K	-141.8K	-792	0.00	108.19	0	0	125	172
2011-12-22	$27.59	$25.00	18.3%	5.3%	41.8%	8.0%	0.0%	4.4%	14.2%	1.2K	-177.0K	-713	0.00	111.29	0	0	125	172
2011-12-23	$27.40	$25.00	34.1%	9.8%	41.8%	55.5%	36.3%	11.6%	-8.5%	1.9K	-158.8K	-686	0.00	106.98	0	10	125	172
2011-12-27	$27.58	$25.00	26.9%	7.7%	40.7%	33.7%	0.0%	1.8%	6.9%	1.2K	-171.8K	-691	0.00	113.30	0	0	125	182
2011-12-28	$27.34	$25.00	24.4%	7.0%	40.7%	26.2%	0.0%	1.1%	-0.9%	1.2K	-163.4K	-689	0.00	111.23	1	0	125	182
2011-12-29	$28.22	$25.00	20.5%	5.9%	32.0%	14.5%	0.0%	5.7%	9.7%	-32	-204.6K	-607	6.00	111.34	3	18	125	182
2011-12-30	$27.80	$25.00	22.7%	6.5%	31.9%	21.2%	0.0%	0.5%	6.3%	143	-175.7K	-756	0.00	111.24	0	0	126	200