CBU Options History — February 2012

In February 2012, CBU traded between $27.32 and $28.80. ATM implied volatility averaged 25.8%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 4.8% (HV 20d: 21.0%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.05.

Notable Days

2012-02-02: Highest Volume — 122 contracts
2012-02-09: Largest IV spike — 51.2% change
2012-02-09: Highest IV Rank — 44.0%
2012-02-07: Largest Expected Move — 8.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.10	$27.32	$28.80	$28.32	$27.32
Max Pain	$29.25	$25.00	$30.00	$25.00	$30.00
ATM IV	25.8%	20.1%	30.3%	25.6%	29.4%
Expected Move	7.8%	6.1%	8.8%	7.3%	8.4%
HV 20d	21.0%	18.3%	24.4%	18.7%	24.3%
HV 60d	30.4%	24.5%	33.5%	33.5%	24.5%
IV Rank	30.3%	13.2%	44.0%	29.9%	41.2%
IV Percentile	40.1%	10.3%	63.1%	39.3%	59.9%
Term Structure	-0.9%	-7.2%	5.7%	0.8%	-7.2%
VWIV	26.7%	20.9%	30.2%	27.9%	25.0%
Skew 25d	1.3%	-5.4%	33.0%	33.0%	-2.9%
Skew 10d	1.5%	-6.1%	51.7%	51.7%	-3.1%
Call IV 25d	28.5%	22.5%	35.1%	35.1%	30.4%
Put IV 25d	29.8%	23.6%	68.1%	68.1%	27.5%
Bid-Ask Spread %	106.68	97.92	112.78	97.92	111.22
Gamma HHI	0.82	0.55	0.98	0.97	0.66
Net GEX	43.9K	4.3K	105.3K	89.3K	5.5K
Net DEX	-260.3K	-662.8K	-49.4K	-507.5K	-49.4K
Net VEX	-1.4K	-2.4K	-975	-2.1K	-984
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.05	0.00	0.17	0.17	0.00
Total Volume	14.55	0	122	61	0
Total OI	736.5	197	1,103	1,082	224

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
2012-02-01	$28.32	$25.00	25.6%	7.3%	18.7%	29.9%	27.9%	33.0%	0.8%	89.3K	-507.5K	-2.1K	0.17	97.92	52	9	883	199
2012-02-02	$28.43	$25.00	26.3%	7.5%	18.7%	31.9%	30.2%	0.8%	0.5%	100.1K	-662.8K	-2.4K	0.00	98.56	122	0	895	208
2012-02-03	$28.80	$25.00	22.6%	8.5%	18.5%	20.8%	29.7%	-3.5%	-2.4%	105.3K	-604.9K	-2.2K	0.00	100.35	0	10	794	208
2012-02-06	$28.51	$30.00	26.5%	8.7%	18.4%	32.4%	0.0%	4.0%	-4.8%	85.4K	-472.6K	-1.9K	0.00	101.07	0	0	794	218
2012-02-07	$28.42	$30.00	24.8%	8.8%	18.5%	27.5%	0.0%	-5.1%	-3.4%	80.4K	-400.4K	-1.7K	0.14	101.17	14	2	794	218
2012-02-08	$28.41	$30.00	20.1%	8.7%	18.5%	13.2%	0.0%	-4.9%	-2.3%	65.6K	-303.7K	-1.5K	0.00	102.37	0	0	784	220
2012-02-09	$28.30	$30.00	30.3%	8.7%	18.3%	44.0%	0.0%	-5.4%	-2.5%	55.5K	-274.0K	-1.4K	0.00	104.72	2	0	784	220
2012-02-10	$27.74	$30.00	28.1%	8.1%	19.5%	37.3%	0.0%	3.2%	-1.6%	47.6K	-273.9K	-1.4K	0.00	105.70	0	0	784	220
2012-02-13	$28.15	$30.00	25.7%	7.4%	20.3%	30.0%	0.0%	-4.8%	-2.0%	50.9K	-259.7K	-1.3K	0.00	108.79	0	0	784	220
2012-02-14	$27.97	$30.00	29.3%	8.4%	20.2%	40.9%	0.0%	2.9%	-4.2%	49.8K	-263.5K	-1.3K	0.00	106.05	0	9	784	220
2012-02-15	$27.77	$30.00	25.4%	7.3%	20.0%	29.2%	0.0%	11.0%	4.8%	51.3K	-307.8K	-1.3K	0.00	108.75	0	0	784	215
2012-02-16	$28.46	$30.00	24.2%	6.9%	22.0%	25.6%	20.9%	-2.7%	0.9%	54.2K	-271.7K	-1.2K	0.05	108.47	20	1	784	215
2012-02-17	$28.23	$30.00	23.4%	6.7%	21.8%	23.1%	0.0%	-2.1%	-0.1%	4.5K	-146.6K	-989	0.00	105.78	0	0	764	216
2012-02-21	$28.32	$30.00	21.3%	6.1%	21.8%	17.0%	0.0%	3.1%	5.7%	4.3K	-73.2K	-975	0.00	111.34	18	0	128	69
2012-02-22	$27.55	$30.00	23.8%	6.8%	23.8%	24.3%	25.0%	-3.5%	-0.5%	4.9K	-61.1K	-1.0K	0.08	112.33	25	2	143	69
2012-02-23	$28.13	$30.00	22.4%	6.4%	24.4%	20.2%	0.0%	2.6%	3.4%	5.4K	-79.9K	-1.1K	0.00	111.11	2	0	148	71
2012-02-24	$27.71	$30.00	26.9%	7.7%	24.1%	33.6%	0.0%	-0.6%	1.1%	5.8K	-70.7K	-1.1K	0.00	112.67	3	0	150	71
2012-02-27	$27.74	$30.00	29.5%	8.5%	24.0%	41.7%	0.0%	1.7%	0.2%	5.8K	-62.2K	-1.0K	0.00	112.41	0	0	153	71
2012-02-28	$27.62	$30.00	29.8%	8.5%	23.9%	42.3%	0.0%	-0.8%	-5.2%	5.8K	-60.2K	-1.0K	0.00	112.78	0	0	153	71
2012-02-29	$27.32	$30.00	29.4%	8.4%	24.3%	41.2%	0.0%	-2.9%	-7.2%	5.5K	-49.4K	-984	0.00	111.22	0	0	153	71