CBU Options History — April 2012

In April 2012, CBU traded between $27.66 and $29.38. ATM implied volatility averaged 23.5%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 3.3% (HV 20d: 20.2%). 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 13 of 20 days. Put/call ratio averaged 0.15.

Notable Days

2012-04-25: Highest Volume — 50 contracts
2012-04-20: Largest IV spike — 36.3% change
2012-04-11: Highest IV Rank — 33.9%
2012-04-20: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.37	$27.66	$29.38	$29.38	$28.12
Max Pain	$26.00	$25.00	$30.00	$30.00	$25.00
ATM IV	23.5%	19.2%	29.7%	22.9%	21.5%
Expected Move	6.6%	5.5%	7.9%	6.6%	6.2%
HV 20d	20.2%	16.8%	23.6%	17.6%	23.6%
HV 60d	21.4%	20.2%	22.3%	20.2%	21.7%
IV Rank	18.9%	8.5%	33.9%	17.4%	14.0%
IV Percentile	28.3%	8.3%	57.1%	24.6%	18.3%
Term Structure	3.9%	-3.1%	10.4%	4.2%	6.2%
VWIV	21.9%	21.9%	21.9%	21.9%	21.9%
Skew 25d	3.1%	-6.3%	17.7%	14.0%	2.6%
Skew 10d	0.6%	-5.7%	14.6%	14.4%	3.2%
Call IV 25d	24.6%	19.5%	29.6%	26.7%	24.9%
Put IV 25d	27.7%	22.8%	40.7%	40.7%	27.4%
Bid-Ask Spread %	109.16	104.04	112.59	107.27	109.81
Gamma HHI	0.64	0.51	0.70	0.69	0.51
Net GEX	9.8K	7.2K	13.0K	12.2K	9.0K
Net DEX	-112.8K	-181.4K	-77.5K	-181.4K	-93.9K
Net VEX	-929	-1.1K	-755	-1.1K	-860
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.15	0.00	0.75	0.00	0.75
Total Volume	3.75	0	50	10	0
Total OI	246	226	283	242	283

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
2012-04-02	$29.38	$30.00	22.9%	6.6%	17.6%	17.4%	0.0%	14.0%	4.2%	12.2K	-181.4K	-1.1K	0.00	107.27	10	0	167	75
2012-04-03	$29.18	$30.00	20.3%	5.8%	16.8%	11.3%	0.0%	17.7%	4.7%	11.9K	-163.6K	-1.1K	0.00	104.04	6	0	165	75
2012-04-04	$28.72	$30.00	20.8%	6.0%	18.0%	12.5%	0.0%	8.5%	6.4%	11.0K	-142.9K	-1.1K	0.00	112.32	0	0	168	75
2012-04-05	$28.54	$30.00	21.9%	6.3%	18.2%	15.0%	0.0%	7.3%	4.9%	10.5K	-130.3K	-1.0K	0.00	112.59	0	0	168	75
2012-04-09	$28.06	$25.00	26.6%	6.7%	19.2%	26.4%	0.0%	-4.4%	0.7%	9.2K	-107.1K	-981	0.00	106.22	0	0	168	75
2012-04-10	$27.66	$25.00	24.6%	7.8%	20.0%	21.7%	0.0%	-6.3%	-1.8%	7.2K	-83.0K	-965	0.00	109.29	0	0	168	75
2012-04-11	$28.02	$25.00	29.7%	6.8%	19.2%	33.9%	0.0%	5.5%	8.1%	8.6K	-93.8K	-956	0.00	110.86	0	0	168	75
2012-04-12	$28.36	$25.00	27.1%	7.8%	19.6%	27.5%	0.0%	-2.3%	-0.2%	10.1K	-116.1K	-964	0.00	105.03	0	0	168	75
2012-04-13	$27.69	$25.00	27.6%	7.9%	19.8%	29.0%	0.0%	-5.7%	-3.1%	7.5K	-84.4K	-917	0.00	109.10	0	0	168	75
2012-04-16	$28.00	$25.00	24.8%	7.1%	20.2%	22.0%	0.0%	-3.9%	-0.4%	8.9K	-97.0K	-905	0.00	107.69	0	0	168	75
2012-04-17	$28.56	$25.00	27.4%	7.8%	20.3%	28.3%	0.0%	-1.3%	-0.8%	11.2K	-128.1K	-920	0.00	104.88	0	0	168	75
2012-04-18	$28.27	$25.00	24.2%	6.9%	20.6%	20.6%	0.0%	-2.4%	-0.1%	10.0K	-109.7K	-888	0.00	108.32	0	0	168	75
2012-04-19	$28.28	$25.00	20.3%	5.8%	20.6%	11.3%	0.0%	3.4%	7.2%	10.3K	-97.0K	-839	0.00	110.99	0	0	168	75
2012-04-20	$28.58	$25.00	27.7%	7.9%	20.9%	29.2%	0.0%	-0.9%	-1.0%	9.5K	-122.4K	-872	0.00	106.97	0	0	168	75
2012-04-23	$28.22	$25.00	21.2%	6.1%	21.3%	13.3%	21.9%	2.5%	7.8%	8.4K	-89.1K	-804	0.00	111.86	2	0	153	75
2012-04-24	$28.64	$25.00	22.9%	6.6%	21.0%	17.6%	0.0%	9.9%	10.2%	9.5K	-117.5K	-831	0.00	111.73	0	0	151	75
2012-04-25	$28.10	$25.00	20.1%	5.7%	22.0%	10.6%	0.0%	5.0%	10.4%	7.4K	-77.5K	-755	0.00	110.61	50	0	151	75
2012-04-26	$28.29	$25.00	19.3%	5.5%	22.1%	8.7%	0.0%	6.1%	7.2%	10.0K	-99.2K	-882	0.75	111.16	4	3	201	75
2012-04-27	$28.68	$25.00	19.2%	5.5%	22.7%	8.5%	0.0%	7.2%	7.1%	13.0K	-121.7K	-957	0.00	112.54	0	0	205	78
2012-04-30	$28.12	$25.00	21.5%	6.2%	23.6%	14.0%	0.0%	2.6%	6.2%	9.0K	-93.9K	-860	0.00	109.81	0	0	205	78