CBU Options History — May 2012

In May 2012, CBU traded between $26.38 and $28.32. ATM implied volatility averaged 28.4%, placing in the 30.7% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 7.3% (HV 20d: 21.1%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.60.

Notable Days

2012-05-23: Highest Volume — 606 contracts
2012-05-11: Largest IV spike — 31.9% change
2012-05-30: Highest IV Rank — 42.2%
2012-05-30: Largest Expected Move — 9.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.17	$26.38	$28.32	$27.96	$26.61
Max Pain	$29.32	$25.00	$30.00	$25.00	$30.00
ATM IV	28.4%	23.1%	33.3%	23.6%	27.3%
Expected Move	7.8%	6.0%	9.5%	6.8%	7.8%
HV 20d	21.1%	18.5%	23.2%	22.2%	19.3%
HV 60d	21.3%	19.9%	22.4%	21.5%	20.0%
IV Rank	30.7%	17.9%	42.2%	19.2%	27.6%
IV Percentile	49.3%	24.6%	65.5%	30.2%	43.3%
Term Structure	1.2%	-6.4%	10.0%	4.1%	0.9%
Skew 25d	4.2%	-6.3%	15.2%	1.6%	-6.3%
Skew 10d	4.4%	-4.4%	10.1%	2.0%	-1.4%
Call IV 25d	25.8%	17.0%	32.6%	26.6%	32.6%
Put IV 25d	29.9%	22.5%	34.6%	28.2%	26.3%
Bid-Ask Spread %	109.28	106.41	112.59	111.01	112.18
Gamma HHI	0.55	0.39	0.88	0.51	0.88
Net GEX	-4.4K	-32.3K	9.2K	8.1K	-32.3K
Net DEX	110.5K	-87.2K	643.6K	-86.1K	643.6K
Net VEX	-1.6K	-4.8K	-580	-835	-4.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.60	0.00	3.00	0.00	0.00
Total Volume	29.273	0	606	0	0
Total OI	388.636	189	799	283	791

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	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2012-05-01	$27.96	$25.00	23.6%	6.8%	22.2%	19.2%	0.0%	1.6%	4.1%	8.1K	-86.1K	-835	0.00	111.01	0	0	205	78
2012-05-02	$28.00	$25.00	23.9%	6.8%	22.2%	19.9%	0.0%	3.8%	-5.8%	8.0K	-81.5K	-842	0.00	111.22	2	0	205	78
2012-05-03	$27.83	$25.00	25.6%	7.3%	21.7%	23.9%	0.0%	2.5%	-6.2%	7.0K	-71.7K	-810	0.00	111.66	0	0	207	78
2012-05-04	$27.52	$30.00	33.0%	7.6%	21.9%	41.9%	0.0%	3.7%	-1.8%	6.0K	-60.9K	-794	3.00	106.41	2	6	207	78
2012-05-07	$27.81	$30.00	26.1%	6.0%	21.5%	25.3%	0.0%	15.2%	10.0%	6.2K	-67.6K	-811	0.00	108.60	0	0	208	81
2012-05-08	$28.32	$30.00	25.8%	6.3%	21.8%	24.5%	0.0%	-2.8%	0.8%	9.2K	-87.2K	-813	0.00	107.85	0	0	208	81
2012-05-09	$27.63	$30.00	31.4%	6.4%	23.2%	38.0%	0.0%	11.0%	6.5%	5.7K	-61.4K	-773	0.00	108.12	0	0	208	81
2012-05-10	$27.95	$30.00	23.1%	6.6%	23.1%	17.9%	0.0%	2.5%	7.2%	6.9K	-69.7K	-780	0.00	112.59	1	0	208	81
2012-05-11	$27.38	$30.00	30.4%	8.7%	22.7%	35.7%	0.0%	11.2%	1.6%	2.9K	-46.5K	-695	0.00	108.89	0	0	208	81
2012-05-14	$26.99	$30.00	30.9%	8.8%	22.8%	36.8%	0.0%	6.3%	-0.1%	1.3K	-33.6K	-669	0.00	107.65	3	0	208	81
2012-05-15	$26.97	$30.00	29.1%	8.4%	21.3%	32.6%	0.0%	6.5%	2.2%	698	-29.8K	-657	0.00	109.34	0	0	208	81
2012-05-16	$26.70	$30.00	29.7%	8.5%	21.3%	33.9%	0.0%	4.4%	-0.9%	-76	-19.9K	-621	0.00	107.84	0	0	208	81
2012-05-17	$26.38	$30.00	28.8%	8.2%	21.5%	31.7%	0.0%	2.4%	1.8%	-141	-13.0K	-625	0.00	110.41	0	0	208	81
2012-05-18	$26.40	$30.00	29.5%	8.4%	20.9%	33.4%	0.0%	1.9%	-1.1%	-340	-11.2K	-595	0.00	108.03	0	0	208	81
2012-05-21	$26.61	$30.00	25.9%	7.4%	21.1%	24.6%	0.0%	3.0%	7.4%	-693	25.7K	-596	0.00	109.93	0	0	124	65
2012-05-22	$26.68	$30.00	27.9%	8.0%	20.1%	29.5%	0.0%	5.9%	4.7%	-885	25.9K	-592	0.00	108.17	0	0	124	65
2012-05-23	$26.79	$30.00	32.1%	9.2%	19.4%	39.5%	0.0%	4.9%	-1.0%	-689	22.7K	-580	0.00	107.69	0	606	124	65
2012-05-24	$27.10	$30.00	30.9%	8.9%	19.8%	36.4%	0.0%	8.6%	-0.2%	-30.4K	588.9K	-4.8K	0.00	108.86	0	4	124	671
2012-05-25	$26.77	$30.00	29.0%	8.3%	19.2%	31.8%	0.0%	5.9%	3.2%	-30.2K	607.5K	-4.7K	0.00	107.53	15	0	124	675
2012-05-29	$26.94	$30.00	28.3%	8.1%	18.5%	30.1%	0.0%	-2.8%	0.4%	-31.3K	622.0K	-4.7K	0.00	112.37	0	0	111	675
2012-05-30	$26.49	$30.00	33.3%	9.5%	19.2%	42.2%	0.0%	2.2%	-6.4%	-31.5K	635.8K	-4.6K	0.00	107.70	0	5	111	675
2012-05-31	$26.61	$30.00	27.3%	7.8%	19.3%	27.6%	0.0%	-6.3%	0.9%	-32.3K	643.6K	-4.6K	0.00	112.18	0	0	111	680