CBU Options History — March 2012

In March 2012, CBU traded between $26.36 and $29.13. ATM implied volatility averaged 31.1%, placing in the 42.5% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 8.4% (HV 20d: 22.7%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.00.

Notable Days

2012-03-28: Highest Volume — 23 contracts
2012-03-15: Largest IV drop — 63.5% change
2012-03-12: Highest IV Rank — 100.0%
2012-03-01: Largest Expected Move — 10.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.00	$26.36	$29.13	$27.44	$28.78
Max Pain	$30.00	$30.00	$30.00	$30.00	$30.00
ATM IV	31.1%	18.7%	57.0%	37.4%	19.5%
Expected Move	7.5%	5.4%	10.7%	10.7%	5.6%
HV 20d	22.7%	16.6%	25.5%	20.7%	16.6%
HV 60d	22.0%	20.0%	24.7%	24.2%	20.0%
IV Rank	42.5%	7.3%	100.0%	65.1%	9.2%
IV Percentile	53.1%	7.1%	100.0%	82.1%	9.9%
Term Structure	0.7%	-23.7%	9.8%	-23.7%	5.1%
VWIV	26.5%	26.5%	26.5%	26.5%	26.5%
Skew 25d	3.4%	-2.6%	10.6%	-2.1%	4.7%
Skew 10d	1.6%	-5.2%	9.7%	-1.6%	-0.6%
Call IV 25d	25.3%	21.0%	32.8%	30.6%	22.1%
Put IV 25d	28.7%	22.3%	36.5%	28.5%	26.8%
Bid-Ask Spread %	106.56	101.20	112.66	112.66	107.01
Gamma HHI	0.65	0.58	0.68	0.65	0.68
Net GEX	7.4K	4.2K	11.1K	5.7K	10.9K
Net DEX	-83.4K	-160.3K	-7.3K	-65.4K	-152.2K
Net VEX	-975	-1.1K	-862	-1.0K	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.00	0.00	0.00	0.00	0.00
Total Volume	2.455	0	23	0	0
Total OI	226.091	219	242	224	242

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	Spread %	Call Vol	Put Vol	Call OI	Put OI
2012-03-01	$27.44	$30.00	37.4%	10.7%	20.7%	65.1%	0.0%	-2.1%	-23.7%	5.7K	-65.4K	-1.0K	112.66	0	0	153	71
2012-03-02	$26.55	$30.00	31.1%	8.9%	23.4%	46.3%	0.0%	1.6%	1.2%	4.5K	-16.9K	-908	108.73	0	0	153	71
2012-03-05	$26.73	$30.00	36.0%	8.4%	22.9%	61.0%	0.0%	6.3%	1.0%	4.5K	-19.6K	-895	103.05	0	0	153	71
2012-03-06	$26.36	$30.00	34.8%	8.5%	23.1%	57.5%	0.0%	4.5%	0.3%	4.2K	-7.3K	-862	101.20	0	0	153	71
2012-03-07	$26.71	$30.00	32.2%	8.8%	23.8%	49.6%	0.0%	6.2%	-0.3%	4.8K	-15.7K	-872	102.11	0	0	153	71
2012-03-08	$26.98	$30.00	35.3%	8.4%	24.3%	59.0%	0.0%	6.3%	1.6%	5.0K	-25.4K	-908	106.54	0	0	153	71
2012-03-09	$27.27	$30.00	40.5%	7.1%	24.7%	74.5%	0.0%	7.2%	9.8%	5.4K	-42.1K	-912	108.21	0	0	153	71
2012-03-12	$27.21	$30.00	49.7%	8.4%	23.8%	100.0%	0.0%	6.0%	0.7%	5.4K	-36.0K	-886	107.80	0	0	153	71
2012-03-13	$27.77	$30.00	47.5%	6.8%	24.4%	93.6%	0.0%	10.6%	5.3%	6.1K	-55.0K	-936	103.28	0	0	148	71
2012-03-14	$27.71	$30.00	57.0%	7.8%	24.3%	100.0%	0.0%	2.5%	-1.3%	6.2K	-55.8K	-906	105.79	0	16	148	71
2012-03-15	$28.35	$30.00	20.8%	6.0%	25.5%	12.5%	0.0%	-1.5%	4.2%	6.1K	-73.0K	-1.1K	107.34	0	10	148	86
2012-03-16	$28.34	$30.00	26.9%	7.7%	23.9%	27.2%	0.0%	-2.6%	-0.6%	7.5K	-70.0K	-1.0K	105.58	3	0	148	86
2012-03-19	$28.89	$30.00	24.9%	7.1%	24.7%	22.4%	0.0%	0.3%	1.2%	9.0K	-130.5K	-1.0K	106.44	0	0	148	75
2012-03-20	$28.78	$30.00	18.7%	5.4%	24.7%	7.3%	0.0%	9.2%	6.3%	8.8K	-128.2K	-1.0K	105.01	0	0	148	75
2012-03-21	$28.78	$30.00	26.0%	7.4%	22.4%	24.9%	0.0%	0.5%	0.9%	8.8K	-127.9K	-1.0K	108.55	0	0	148	75
2012-03-22	$28.66	$30.00	25.1%	7.2%	21.3%	22.8%	0.0%	1.1%	1.2%	8.8K	-119.5K	-1.0K	109.27	2	0	148	75
2012-03-23	$28.51	$30.00	21.3%	6.1%	20.6%	13.6%	0.0%	0.9%	1.7%	8.7K	-107.5K	-969	108.42	0	0	150	75
2012-03-26	$29.02	$30.00	25.4%	7.3%	21.4%	23.5%	0.0%	9.6%	1.7%	9.7K	-139.4K	-987	107.50	0	0	150	75
2012-03-27	$29.03	$30.00	25.8%	7.4%	21.3%	24.6%	0.0%	1.3%	-0.6%	10.4K	-141.5K	-973	107.55	0	0	150	75
2012-03-28	$29.13	$30.00	26.0%	7.5%	20.7%	25.1%	26.5%	1.0%	-1.5%	10.8K	-145.7K	-966	104.41	23	0	150	75
2012-03-29	$28.98	$30.00	21.8%	6.3%	20.9%	14.9%	0.0%	0.9%	2.1%	11.1K	-160.3K	-1.1K	107.84	0	0	167	75
2012-03-30	$28.78	$30.00	19.5%	5.6%	16.6%	9.2%	0.0%	4.7%	5.1%	10.9K	-152.2K	-1.1K	107.01	0	0	167	75