CBU Options History — June 2012

In June 2012, CBU traded between $25.55 and $27.12. ATM implied volatility averaged 30.5%, placing in the 34.9% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 7.7% (HV 20d: 22.7%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.20.

Notable Days

2012-06-01: Highest Volume — 7 contracts
2012-06-14: Largest IV drop — 31.2% change
2012-06-12: Highest IV Rank — 67.5%
2012-06-06: Largest Expected Move — 8.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.19	$25.55	$27.12	$25.67	$27.12
Max Pain	$25.24	$25.00	$30.00	$30.00	$25.00
ATM IV	30.5%	24.5%	43.7%	29.8%	24.5%
Expected Move	8.1%	7.0%	8.9%	8.5%	7.0%
HV 20d	22.7%	21.5%	24.6%	22.6%	21.5%
HV 60d	21.4%	20.9%	22.0%	21.1%	22.0%
IV Rank	34.9%	18.8%	67.5%	33.6%	18.8%
IV Percentile	52.1%	21.0%	95.2%	55.2%	21.0%
Term Structure	1.7%	-3.4%	8.7%	1.4%	-3.4%
Skew 25d	7.4%	-4.9%	10.7%	-4.9%	9.1%
Skew 10d	10.0%	-3.6%	20.7%	-3.6%	9.2%
Call IV 25d	21.9%	17.2%	36.4%	36.4%	17.6%
Put IV 25d	29.3%	26.7%	33.6%	31.5%	26.7%
Bid-Ask Spread %	99.00	91.09	109.68	109.68	103.36
Gamma HHI	0.91	0.89	0.93	0.92	0.89
Net GEX	-34.7K	-36.6K	-32.7K	-33.3K	-35.9K
Net DEX	672.2K	554.8K	761.6K	754.2K	554.8K
Net VEX	-4.4K	-4.6K	-4.1K	-4.6K	-4.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.20	0.00	0.40	0.40	0.00
Total Volume	0.667	0	7	7	2
Total OI	792.905	790	795	791	795

Daily Data (21 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
2012-06-01	$25.67	$30.00	29.8%	8.5%	22.6%	33.6%	0.0%	-4.9%	1.4%	-33.3K	754.2K	-4.6K	0.40	109.68	5	2	111	680
2012-06-04	$25.64	$25.00	30.8%	8.7%	22.5%	36.3%	0.0%	6.8%	-0.6%	-33.8K	759.9K	-4.6K	0.00	95.38	0	0	110	682
2012-06-05	$25.55	$25.00	31.1%	8.4%	21.9%	36.8%	0.0%	6.4%	0.6%	-34.5K	761.6K	-4.5K	0.00	96.02	0	0	110	682
2012-06-06	$26.16	$25.00	30.5%	8.9%	22.7%	35.5%	0.0%	8.9%	-0.0%	-33.3K	710.9K	-4.5K	0.00	95.54	0	0	110	682
2012-06-07	$26.27	$25.00	31.7%	8.4%	21.5%	38.4%	0.0%	6.5%	0.7%	-32.7K	660.4K	-4.5K	0.00	102.45	0	0	110	682
2012-06-08	$26.59	$25.00	35.0%	8.8%	21.5%	46.5%	0.0%	7.7%	0.7%	-33.1K	645.4K	-4.5K	0.00	102.46	0	0	110	682
2012-06-11	$25.99	$25.00	34.6%	8.4%	21.8%	45.4%	0.0%	2.9%	-0.6%	-35.2K	721.4K	-4.5K	0.00	103.60	0	0	110	682
2012-06-12	$26.30	$25.00	43.7%	8.3%	21.9%	67.5%	0.0%	8.5%	0.7%	-35.6K	706.4K	-4.5K	0.00	91.09	0	0	110	682
2012-06-13	$25.97	$25.00	42.3%	7.8%	22.3%	64.3%	0.0%	7.6%	1.4%	-34.9K	688.0K	-4.4K	0.00	94.78	0	0	110	682
2012-06-14	$26.18	$25.00	29.1%	8.4%	22.3%	32.1%	0.0%	9.3%	0.7%	-35.1K	677.2K	-4.4K	0.00	95.48	0	0	110	682
2012-06-15	$26.21	$25.00	28.8%	8.3%	21.9%	31.3%	0.0%	9.7%	1.5%	-33.6K	648.6K	-4.4K	0.00	97.90	0	0	110	682
2012-06-18	$26.11	$25.00	29.2%	8.4%	22.0%	32.3%	0.0%	8.9%	0.4%	-34.0K	648.6K	-4.3K	0.00	97.09	0	0	108	682
2012-06-19	$26.63	$25.00	28.9%	8.3%	22.9%	31.5%	0.0%	10.7%	2.2%	-33.8K	616.1K	-4.3K	0.00	98.32	0	5	108	682
2012-06-20	$26.47	$25.00	24.5%	7.0%	23.0%	20.8%	0.0%	10.5%	8.7%	-34.2K	613.7K	-4.3K	0.00	98.44	0	0	108	687
2012-06-21	$25.90	$25.00	26.7%	7.6%	24.2%	26.1%	0.0%	6.6%	3.8%	-36.2K	670.3K	-4.3K	0.00	95.78	0	0	108	687
2012-06-22	$26.16	$25.00	27.6%	7.9%	24.0%	28.4%	0.0%	7.2%	1.9%	-34.2K	650.8K	-4.3K	0.00	100.49	0	0	108	687
2012-06-25	$25.91	$25.00	28.0%	8.0%	23.9%	27.4%	0.0%	6.4%	1.6%	-36.4K	693.9K	-4.2K	0.00	101.45	0	0	108	687
2012-06-26	$26.05	$25.00	28.6%	8.2%	23.9%	29.1%	0.0%	6.6%	0.9%	-36.4K	676.3K	-4.2K	0.00	99.83	0	0	108	687
2012-06-27	$26.63	$25.00	27.5%	7.9%	24.6%	26.3%	0.0%	9.5%	7.0%	-36.0K	623.0K	-4.2K	0.00	100.12	0	0	108	687
2012-06-28	$26.58	$25.00	27.1%	7.8%	24.5%	25.4%	0.0%	10.2%	6.3%	-36.6K	634.3K	-4.2K	0.00	99.65	0	0	108	687
2012-06-29	$27.12	$25.00	24.5%	7.0%	21.5%	18.8%	0.0%	9.1%	-3.4%	-35.9K	554.8K	-4.1K	0.00	103.36	2	0	108	687