CBU Options History — March 2013

In March 2013, CBU traded between $28.82 and $29.92. ATM implied volatility averaged 20.8%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 7.6% (HV 20d: 13.2%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.01.

Notable Days

2013-03-04: Highest Volume — 30 contracts
2013-03-11: Largest IV spike — 30.3% change
2013-03-12: Highest IV Rank — 21.6%
2013-03-21: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$29.41	$28.82	$29.92	$28.84	$29.63
Max Pain	$30.00	$30.00	$30.00	$30.00	$30.00
ATM IV	20.8%	16.6%	25.7%	16.9%	21.6%
Expected Move	6.2%	4.8%	6.6%	4.8%	6.2%
HV 20d	13.2%	8.5%	16.0%	16.0%	9.2%
HV 60d	16.5%	15.2%	17.9%	17.9%	15.2%
IV Rank	11.2%	2.2%	21.6%	3.0%	13.0%
IV Percentile	25.1%	1.6%	60.7%	3.2%	26.2%
Term Structure	0.4%	-1.5%	4.0%	4.0%	0.3%
VWIV	21.9%	21.5%	22.1%	21.5%	22.1%
Skew 25d	2.9%	-2.1%	8.4%	5.1%	2.0%
Skew 10d	3.9%	-3.5%	12.5%	12.0%	2.1%
Call IV 25d	22.8%	19.2%	24.3%	21.7%	24.1%
Put IV 25d	25.7%	20.0%	31.9%	26.9%	26.1%
Bid-Ask Spread %	96.73	94.51	108.87	108.87	97.75
Gamma HHI	0.57	0.43	0.85	0.52	0.66
Net GEX	9.6K	-6.5K	21.7K	-5.3K	21.7K
Net DEX	-162.8K	-310.2K	10.1K	10.1K	-282.6K
Net VEX	-2.1K	-2.3K	-1.7K	-1.9K	-2.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.01	0.00	0.08	0.00	0.00
Total Volume	8	0	30	10	0
Total OI	932.8	864	989	864	989

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
2013-03-01	$28.84	$30.00	16.9%	4.8%	16.0%	3.0%	0.0%	5.1%	4.0%	-5.3K	10.1K	-1.9K	0.00	108.87	10	0	158	706
2013-03-04	$28.82	$30.00	17.1%	6.3%	15.0%	3.4%	0.0%	-1.9%	0.1%	-6.5K	9.7K	-2.1K	0.00	97.97	30	0	168	706
2013-03-05	$28.93	$30.00	17.2%	6.2%	14.5%	3.6%	0.0%	-2.1%	0.3%	-1.8K	-39.2K	-2.3K	0.00	95.98	0	1	198	706
2013-03-06	$29.15	$30.00	16.6%	6.0%	14.4%	2.2%	0.0%	4.9%	0.3%	860	-72.0K	-2.0K	0.00	96.33	1	0	198	707
2013-03-07	$29.29	$30.00	16.9%	6.0%	14.4%	2.9%	0.0%	5.1%	0.4%	1.2K	-89.7K	-2.0K	0.00	94.62	0	0	199	707
2013-03-08	$29.24	$30.00	17.5%	6.6%	14.4%	4.3%	0.0%	-1.6%	-1.5%	2.8K	-81.3K	-2.1K	0.00	96.45	0	0	199	707
2013-03-11	$29.09	$30.00	22.8%	6.4%	14.5%	15.6%	0.0%	-1.1%	0.2%	1.9K	-66.5K	-2.1K	0.00	98.78	0	0	199	707
2013-03-12	$29.10	$30.00	25.7%	5.2%	14.5%	21.6%	0.0%	7.5%	3.3%	1.5K	-61.1K	-2.0K	0.00	96.44	15	0	199	707
2013-03-13	$29.16	$30.00	21.3%	6.2%	14.2%	12.4%	21.5%	-0.0%	-0.3%	7.2K	-125.8K	-2.0K	0.00	95.52	1	0	212	707
2013-03-14	$29.51	$30.00	21.9%	6.3%	14.6%	13.6%	0.0%	5.6%	-1.1%	19.1K	-189.7K	-1.7K	0.00	95.28	0	0	213	707
2013-03-15	$29.70	$30.00	22.4%	6.4%	14.4%	14.6%	0.0%	5.9%	0.8%	8.4K	-182.7K	-2.1K	0.00	96.00	11	0	213	707
2013-03-18	$29.54	$30.00	22.5%	6.4%	14.4%	14.9%	0.0%	0.2%	-1.0%	13.1K	-189.6K	-2.0K	0.00	95.44	10	0	224	706
2013-03-19	$29.79	$30.00	21.9%	6.3%	14.3%	13.6%	0.0%	6.5%	-0.1%	14.8K	-237.6K	-2.0K	0.00	94.51	25	0	233	706
2013-03-20	$29.92	$30.00	22.1%	6.3%	12.7%	14.0%	22.1%	6.6%	-0.4%	21.7K	-303.3K	-2.0K	0.08	95.02	24	2	258	706
2013-03-21	$29.59	$30.00	22.9%	6.6%	13.3%	15.8%	0.0%	1.3%	0.0%	15.3K	-239.4K	-2.3K	0.00	94.98	0	12	262	706
2013-03-22	$29.64	$30.00	22.7%	6.5%	12.8%	15.2%	0.0%	1.5%	-0.0%	16.1K	-248.1K	-2.3K	0.00	95.82	15	0	262	711
2013-03-25	$29.72	$30.00	22.1%	6.3%	8.9%	14.0%	22.1%	1.9%	0.4%	19.2K	-278.5K	-2.3K	0.00	95.75	2	0	275	711
2013-03-26	$29.88	$30.00	21.3%	6.1%	8.5%	12.4%	0.0%	8.4%	1.0%	20.2K	-310.2K	-2.1K	0.00	96.58	1	0	277	711
2013-03-27	$29.63	$30.00	22.1%	6.3%	9.2%	14.0%	0.0%	2.8%	0.2%	20.4K	-279.1K	-2.3K	0.00	96.57	0	0	278	711
2013-03-28	$29.63	$30.00	21.6%	6.2%	9.2%	13.0%	0.0%	2.0%	0.3%	21.7K	-282.6K	-2.3K	0.00	97.75	0	0	278	711