CBU Options History — January 2012

In January 2012, CBU traded between $27.23 and $28.73. ATM implied volatility averaged 25.4%, placing in the 29.2% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 3.2% (HV 20d: 22.2%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.71.

Notable Days

2012-01-26: Highest Volume — 1,735 contracts
2012-01-26: Largest IV spike — 67.7% change
2012-01-31: Highest IV Rank — 56.5%
2012-01-31: Largest Expected Move — 9.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.16	$27.23	$28.73	$28.28	$27.36
Max Pain	$25.75	$25.00	$30.00	$25.00	$25.00
ATM IV	25.4%	19.0%	34.5%	22.3%	34.5%
Expected Move	7.5%	5.4%	9.9%	6.4%	9.9%
HV 20d	22.2%	15.1%	31.7%	31.7%	15.1%
HV 60d	37.4%	33.1%	41.6%	41.6%	33.1%
IV Rank	29.2%	9.9%	56.5%	19.9%	56.5%
IV Percentile	35.6%	7.9%	74.6%	17.1%	74.6%
Term Structure	1.2%	-14.3%	11.2%	6.9%	-14.3%
VWIV	26.6%	17.1%	34.6%	25.7%	33.4%
Skew 25d	0.3%	-6.7%	7.7%	5.3%	0.8%
Skew 10d	0.9%	-5.7%	13.3%	2.7%	-0.7%
Call IV 25d	27.2%	19.3%	34.5%	23.9%	29.1%
Put IV 25d	27.6%	23.3%	35.3%	29.1%	29.9%
Bid-Ask Spread %	105.65	92.93	111.93	111.02	102.71
Gamma HHI	0.46	0.34	0.90	0.36	0.90
Net GEX	8.8K	-837	63.2K	-662	55.4K
Net DEX	-209.6K	-424.4K	-52.9K	-199.4K	-319.1K
Net VEX	-892	-2.2K	-622	-651	-1.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.00	6.00	0.00	0.00
Total Volume	98.85	0	1,735	2	0
Total OI	454.75	321	1,108	326	1,082

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
2012-01-03	$28.28	$25.00	22.3%	6.4%	31.7%	19.9%	0.0%	5.3%	6.9%	-662	-199.4K	-651	0.00	111.02	2	0	126	200
2012-01-04	$28.30	$25.00	23.1%	6.6%	30.9%	22.2%	0.0%	5.1%	5.8%	-336	-204.2K	-659	0.00	111.93	0	0	128	200
2012-01-05	$28.73	$25.00	22.1%	6.3%	30.6%	19.3%	0.0%	7.7%	7.4%	-827	-221.2K	-636	0.00	111.30	0	0	128	200
2012-01-06	$28.41	$25.00	22.6%	8.6%	30.9%	20.7%	25.7%	-4.2%	-0.3%	-567	-211.5K	-622	6.00	100.43	2	12	128	200
2012-01-09	$28.43	$25.00	24.7%	8.5%	26.4%	27.0%	0.0%	5.5%	-0.7%	-837	-203.2K	-675	0.00	97.97	2	0	128	210
2012-01-10	$28.43	$25.00	24.2%	8.4%	23.3%	25.7%	28.2%	-3.4%	-1.8%	-692	-209.4K	-670	0.00	101.70	4	0	130	210
2012-01-11	$28.22	$25.00	27.1%	7.8%	23.2%	34.2%	0.0%	-2.8%	1.7%	-433	-199.7K	-671	0.00	105.86	10	0	130	210
2012-01-12	$28.38	$25.00	26.8%	7.7%	21.2%	33.3%	0.0%	-1.4%	2.0%	-759	-207.3K	-647	0.00	106.21	20	0	130	210
2012-01-13	$28.24	$25.00	22.8%	6.5%	21.1%	21.4%	0.0%	-2.8%	2.6%	490	-216.7K	-731	0.00	109.57	0	0	145	210
2012-01-17	$28.41	$25.00	28.2%	8.1%	20.9%	37.8%	0.0%	-1.9%	0.2%	204	-227.1K	-713	0.00	105.10	0	0	145	210
2012-01-18	$28.67	$25.00	25.7%	7.4%	20.6%	30.2%	0.0%	0.7%	3.4%	-455	-235.5K	-662	0.00	109.24	2	0	145	210
2012-01-19	$28.70	$25.00	26.6%	7.6%	19.1%	32.7%	0.0%	0.3%	1.7%	-244	-235.7K	-688	0.00	107.09	0	1	145	210
2012-01-20	$28.35	$25.00	20.4%	5.9%	18.7%	14.3%	0.0%	0.4%	4.5%	-379	-222.7K	-636	0.00	105.83	21	0	145	211
2012-01-23	$28.36	$25.00	23.3%	6.7%	18.3%	23.0%	20.6%	0.1%	1.1%	955	-118.9K	-820	2.92	108.18	12	35	120	201
2012-01-24	$28.15	$30.00	20.8%	6.0%	18.1%	15.5%	0.0%	2.8%	5.2%	-247	-75.9K	-816	0.00	109.46	5	0	120	214
2012-01-25	$27.71	$30.00	19.0%	5.4%	18.8%	9.9%	17.1%	5.6%	11.2%	1.8K	-66.5K	-797	0.26	110.48	39	10	125	214
2012-01-26	$27.23	$30.00	31.8%	9.1%	19.7%	48.4%	34.6%	1.1%	4.7%	4.6K	-52.9K	-1.0K	0.00	92.93	1,735	0	161	224
2012-01-27	$27.46	$25.00	28.3%	8.1%	19.7%	38.0%	33.4%	-6.1%	-4.6%	63.2K	-424.4K	-2.2K	0.00	101.05	65	0	909	199
2012-01-30	$27.32	$25.00	33.8%	9.7%	15.9%	54.3%	0.0%	-6.7%	-13.5%	55.9K	-341.8K	-1.8K	0.00	104.93	0	0	883	199
2012-01-31	$27.36	$25.00	34.5%	9.9%	15.1%	56.5%	0.0%	0.8%	-14.3%	55.4K	-319.1K	-1.7K	0.00	102.71	0	0	883	199