CBU Options History — October 2012

In October 2012, CBU traded between $27.22 and $28.44. ATM implied volatility averaged 23.6%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 8.6% (HV 20d: 15.1%). 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 10 of 21 days. Put/call ratio averaged 0.47.

Notable Days

2012-10-18: Highest Volume — 49 contracts
2012-10-22: Largest IV spike — 48.7% change
2012-10-22: Highest IV Rank — 40.5%
2012-10-22: Largest Expected Move — 10.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.81	$27.22	$28.44	$28.19	$27.59
Max Pain	$27.65	$25.00	$30.00	$25.00	$30.00
ATM IV	23.6%	19.3%	34.8%	21.3%	24.4%
Expected Move	6.8%	5.5%	10.0%	6.1%	7.0%
HV 20d	15.1%	12.0%	17.1%	14.8%	16.3%
HV 60d	16.2%	14.1%	17.0%	16.4%	14.1%
IV Rank	16.6%	7.3%	40.5%	11.5%	18.3%
IV Percentile	28.2%	4.4%	86.5%	11.1%	37.7%
Term Structure	0.5%	-11.1%	10.0%	2.9%	0.8%
VWIV	20.7%	18.0%	23.3%	23.3%	18.0%
Skew 25d	1.5%	-5.3%	11.2%	4.8%	2.3%
Skew 10d	1.2%	-6.2%	14.0%	5.0%	3.1%
Call IV 25d	23.2%	18.3%	29.5%	23.1%	23.6%
Put IV 25d	24.7%	18.5%	34.8%	28.0%	25.9%
Bid-Ask Spread %	110.74	98.65	119.75	111.54	109.35
Gamma HHI	0.61	0.52	0.71	0.56	0.60
Net GEX	-22.4K	-38.3K	-9.8K	-16.7K	-18.2K
Net DEX	108.8K	7.4K	265.2K	61.8K	110.4K
Net VEX	-1.6K	-2.1K	-1.1K	-1.8K	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.47	0.20	0.75	0.75	0.20
Total Volume	3.714	0	49	0	0
Total OI	848.333	826	888	826	888

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
2012-10-01	$28.19	$0.00	21.3%	6.1%	14.8%	11.5%	0.0%	4.8%	2.9%	-16.7K	61.8K	-1.8K	0.00	111.54	0	0	155	671
2012-10-02	$28.08	$0.00	22.4%	6.4%	14.0%	14.1%	0.0%	1.7%	2.8%	-20.0K	92.6K	-2.0K	0.00	111.05	0	0	155	671
2012-10-03	$28.10	$0.00	22.6%	6.5%	14.0%	14.4%	0.0%	3.8%	1.7%	-17.0K	65.3K	-1.9K	0.00	112.30	0	0	155	671
2012-10-04	$28.41	$0.00	19.3%	5.5%	13.2%	7.3%	0.0%	11.2%	7.3%	-13.0K	30.6K	-1.7K	0.00	112.40	0	0	155	671
2012-10-05	$28.41	$25.00	19.3%	7.0%	12.9%	7.3%	0.0%	-1.5%	-1.0%	-12.1K	24.1K	-1.7K	0.00	104.20	0	0	155	671
2012-10-08	$28.25	$25.00	22.6%	6.1%	12.5%	14.5%	0.0%	-2.9%	-0.8%	-11.5K	22.7K	-1.6K	0.00	107.66	0	0	155	671
2012-10-09	$28.21	$25.00	24.1%	6.2%	12.5%	17.6%	0.0%	-3.0%	-0.8%	-12.9K	32.5K	-1.6K	0.00	107.49	0	0	155	671
2012-10-10	$28.38	$25.00	22.3%	7.2%	12.7%	13.7%	0.0%	-0.8%	-0.8%	-10.0K	11.9K	-1.5K	0.00	108.56	0	0	155	671
2012-10-11	$28.44	$25.00	22.4%	6.4%	12.0%	13.9%	0.0%	-3.8%	-1.6%	-9.8K	7.4K	-1.6K	0.00	105.91	0	0	155	671
2012-10-12	$27.50	$25.00	24.3%	7.0%	15.8%	18.0%	0.0%	-3.6%	-1.0%	-31.8K	203.2K	-2.1K	0.00	119.75	0	0	155	671
2012-10-15	$27.66	$25.00	24.1%	6.9%	15.3%	17.6%	0.0%	2.8%	3.5%	-24.3K	101.7K	-1.5K	0.00	114.00	0	0	155	671
2012-10-16	$27.27	$25.00	24.6%	7.0%	15.8%	18.6%	23.3%	-5.3%	-4.7%	-35.5K	164.2K	-1.5K	0.00	113.24	0	21	155	671
2012-10-17	$27.60	$30.00	24.2%	6.9%	16.7%	17.9%	0.0%	-0.8%	2.9%	-26.5K	138.4K	-1.5K	0.00	118.38	0	0	155	692
2012-10-18	$27.27	$30.00	27.6%	7.9%	17.0%	25.1%	0.0%	-1.8%	-4.3%	-37.1K	204.6K	-1.7K	0.75	114.10	28	21	155	692
2012-10-19	$27.22	$30.00	23.4%	6.7%	17.0%	16.1%	0.0%	1.6%	4.0%	-36.8K	199.0K	-1.7K	0.00	112.09	0	0	172	713
2012-10-22	$27.48	$30.00	34.8%	10.0%	17.1%	40.5%	0.0%	10.9%	-11.1%	-38.3K	265.2K	-2.0K	0.00	110.32	0	2	172	713
2012-10-23	$27.44	$30.00	22.4%	6.4%	16.8%	14.0%	18.0%	1.6%	5.8%	-27.6K	150.9K	-1.4K	0.20	111.40	5	1	172	715
2012-10-24	$27.57	$30.00	23.8%	6.8%	16.9%	17.0%	0.0%	7.5%	10.0%	-26.5K	152.6K	-1.5K	0.00	114.37	0	0	172	716
2012-10-25	$27.48	$30.00	22.5%	6.5%	16.8%	14.3%	0.0%	3.4%	-5.1%	-21.6K	119.6K	-1.2K	0.00	108.80	0	0	172	716
2012-10-26	$27.42	$30.00	23.5%	6.7%	16.1%	16.3%	0.0%	3.6%	-0.4%	-24.0K	126.9K	-1.2K	0.00	98.65	0	0	172	716
2012-10-31	$27.59	$30.00	24.4%	7.0%	16.3%	18.3%	0.0%	2.3%	0.8%	-18.2K	110.4K	-1.1K	0.00	109.35	0	0	172	716