CBU Options History — February 2013

In February 2013, CBU traded between $28.32 and $29.29. ATM implied volatility averaged 21.2%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 6.1% (HV 20d: 15.1%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.83.

Notable Days

2013-02-26: Highest Volume — 76 contracts
2013-02-25: Largest IV spike — 57.5% change
2013-02-25: Highest IV Rank — 27.4%
2013-02-25: Largest Expected Move — 8.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.84	$28.32	$29.29	$28.83	$28.87
Max Pain	$30.00	$30.00	$30.00	$30.00	$30.00
ATM IV	21.2%	16.6%	28.4%	16.6%	17.8%
Expected Move	6.2%	5.1%	8.1%	6.3%	5.1%
HV 20d	15.1%	13.3%	16.5%	15.7%	16.1%
HV 60d	17.8%	17.2%	19.5%	19.5%	18.0%
IV Rank	12.2%	2.4%	27.4%	2.4%	4.9%
IV Percentile	25.3%	2.0%	74.6%	2.0%	6.3%
Term Structure	0.7%	-2.8%	7.7%	0.6%	3.7%
VWIV	24.4%	24.4%	24.4%	24.4%	24.4%
Skew 25d	1.1%	-2.2%	10.4%	-2.2%	6.3%
Skew 10d	-0.8%	-4.1%	7.7%	-3.9%	5.6%
Call IV 25d	22.7%	15.4%	25.0%	22.4%	21.7%
Put IV 25d	23.8%	19.8%	29.3%	20.2%	27.9%
Bid-Ask Spread %	102.36	95.61	119.49	97.64	109.91
Gamma HHI	0.49	0.39	0.73	0.39	0.48
Net GEX	-11.7K	-21.0K	-1.4K	-11.9K	-6.6K
Net DEX	123.8K	15.5K	210.4K	186.3K	15.5K
Net VEX	-2.1K	-2.7K	-1.4K	-2.3K	-2.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.83	0.00	5.00	0.18	0.00
Total Volume	8.421	0	76	33	5
Total OI	864.053	780	921	872	859

Daily Data (19 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
2013-02-01	$28.83	$0.00	16.6%	6.3%	15.7%	2.4%	0.0%	-2.2%	0.6%	-11.9K	186.3K	-2.3K	0.18	97.64	28	5	106	766
2013-02-04	$28.50	$0.00	20.8%	6.1%	16.2%	11.2%	0.0%	-1.8%	1.7%	-15.1K	210.4K	-2.7K	0.00	95.62	0	12	131	771
2013-02-05	$28.73	$0.00	18.7%	5.8%	15.9%	6.8%	0.0%	-1.5%	2.5%	-11.8K	180.6K	-2.6K	0.00	95.61	0	0	131	778
2013-02-06	$28.89	$0.00	19.2%	6.3%	16.0%	7.9%	0.0%	-1.3%	0.8%	-12.0K	154.3K	-2.3K	0.00	99.81	0	0	131	778
2013-02-07	$28.84	$0.00	22.9%	6.6%	16.0%	15.8%	0.0%	-1.6%	0.1%	-11.1K	167.9K	-2.4K	0.00	99.32	5	0	131	778
2013-02-08	$28.92	$0.00	23.2%	6.7%	16.0%	16.4%	0.0%	-1.4%	-2.0%	-9.4K	122.1K	-2.1K	0.00	97.57	0	0	136	778
2013-02-11	$28.96	$0.00	23.2%	6.7%	14.3%	16.4%	0.0%	-0.9%	-1.4%	-5.7K	103.9K	-1.9K	1.25	100.17	4	5	136	778
2013-02-12	$29.20	$0.00	23.1%	6.6%	14.1%	16.1%	0.0%	-0.0%	-2.1%	-1.4K	77.1K	-1.8K	0.00	98.31	0	0	136	783
2013-02-13	$29.00	$0.00	24.6%	7.0%	14.3%	19.2%	24.4%	-1.2%	-2.8%	-5.7K	110.2K	-1.9K	1.00	97.58	1	1	136	783
2013-02-14	$28.79	$30.00	23.5%	6.7%	14.3%	16.9%	0.0%	-0.3%	-1.7%	-12.3K	155.7K	-2.3K	0.00	101.33	0	0	137	784
2013-02-15	$29.01	$30.00	23.8%	6.8%	13.8%	17.7%	0.0%	-0.1%	-2.5%	-5.6K	111.5K	-1.9K	0.00	99.09	0	10	137	784
2013-02-19	$29.29	$30.00	22.1%	6.3%	13.9%	14.0%	0.0%	2.2%	0.1%	-15.0K	43.7K	-1.4K	0.00	103.15	1	0	74	706
2013-02-20	$28.80	$30.00	20.8%	6.0%	14.9%	11.4%	0.0%	-1.0%	-0.8%	-17.1K	119.8K	-2.1K	5.00	100.39	1	5	75	706
2013-02-21	$28.65	$30.00	20.7%	5.9%	13.3%	11.0%	0.0%	-1.1%	-1.3%	-18.7K	143.1K	-2.1K	0.00	103.20	0	0	76	706
2013-02-22	$28.99	$30.00	18.0%	5.2%	13.8%	5.4%	0.0%	10.4%	7.7%	-15.4K	84.9K	-1.7K	0.00	108.45	0	0	76	706
2013-02-25	$28.32	$30.00	28.4%	8.1%	16.2%	27.4%	0.0%	6.2%	2.3%	-21.0K	187.2K	-2.0K	0.00	119.49	1	0	76	706
2013-02-26	$28.62	$30.00	17.8%	5.1%	16.4%	4.8%	0.0%	3.9%	3.4%	-17.7K	135.6K	-2.0K	0.00	109.11	76	0	77	706
2013-02-27	$28.75	$30.00	18.4%	5.3%	16.5%	6.2%	0.0%	5.8%	4.2%	-8.9K	42.5K	-2.3K	0.00	109.10	0	0	153	706
2013-02-28	$28.87	$30.00	17.8%	5.1%	16.1%	4.9%	0.0%	6.3%	3.7%	-6.6K	15.5K	-2.0K	0.00	109.91	5	0	153	706