CBU Options History — May 2013

In May 2013, CBU traded between $27.64 and $29.85. ATM implied volatility averaged 20.2%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 1.4% (HV 20d: 21.6%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.00.

Notable Days

2013-05-28: Highest Volume — 130 contracts
2013-05-13: Largest IV spike — 27.0% change
2013-05-15: Highest IV Rank — 27.9%
2013-05-01: Largest Expected Move — 7.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$29.18	$27.64	$29.85	$27.64	$29.36
Max Pain	$28.50	$25.00	$30.00	$25.00	$30.00
ATM IV	20.2%	16.1%	26.4%	24.8%	18.0%
Expected Move	5.9%	4.8%	7.1%	7.1%	5.2%
HV 20d	21.6%	16.9%	25.4%	23.1%	17.2%
HV 60d	17.8%	17.0%	18.3%	17.0%	18.1%
IV Rank	15.6%	7.6%	27.9%	24.7%	11.3%
IV Percentile	28.2%	6.0%	71.4%	62.7%	15.9%
Term Structure	-0.1%	-7.0%	4.2%	-7.0%	-0.3%
VWIV	20.9%	20.6%	21.0%	21.0%	21.0%
Skew 25d	2.9%	-1.5%	10.6%	1.1%	0.9%
Skew 10d	3.0%	-3.3%	12.6%	2.1%	-0.7%
Call IV 25d	21.5%	19.8%	23.9%	23.9%	22.6%
Put IV 25d	24.4%	18.9%	33.0%	25.1%	23.5%
Bid-Ask Spread %	100.64	95.10	109.82	109.82	103.76
Gamma HHI	0.86	0.49	0.96	0.49	0.92
Net GEX	33.9K	1.1K	86.0K	1.1K	38.2K
Net DEX	-198.0K	-432.5K	16.3K	16.3K	-393.9K
Net VEX	-1.8K	-3.0K	-1.4K	-1.4K	-2.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.00	0.00	0.02	0.00	0.00
Total Volume	13.636	0	130	25	0
Total OI	779.682	273	1,052	1,011	531

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
2013-05-01	$27.64	$25.00	24.8%	7.1%	23.1%	24.7%	0.0%	1.1%	-7.0%	1.1K	16.3K	-1.4K	0.00	109.82	25	0	281	730
2013-05-02	$28.06	$25.00	19.6%	5.6%	23.2%	14.5%	0.0%	3.7%	-6.5%	13.8K	-50.6K	-1.5K	0.00	107.99	0	0	306	730
2013-05-03	$28.52	$25.00	16.7%	4.8%	24.0%	8.6%	0.0%	7.2%	4.2%	23.0K	-99.8K	-1.5K	0.00	108.64	0	0	306	730
2013-05-06	$28.74	$0.00	18.0%	5.9%	23.9%	11.3%	0.0%	-1.5%	1.0%	27.9K	-113.3K	-1.5K	0.00	101.99	0	0	306	730
2013-05-07	$29.43	$0.00	17.4%	5.9%	25.4%	10.2%	0.0%	-0.1%	0.6%	46.2K	-247.1K	-1.7K	0.00	96.59	16	0	306	730
2013-05-08	$29.26	$0.00	16.1%	6.2%	24.8%	7.6%	0.0%	-0.9%	0.4%	48.7K	-212.8K	-1.7K	0.00	95.10	0	0	322	730
2013-05-09	$28.96	$0.00	19.1%	6.1%	24.6%	13.5%	0.0%	-1.4%	0.5%	35.8K	-165.4K	-1.7K	0.00	98.37	0	0	322	730
2013-05-10	$29.13	$0.00	18.1%	5.8%	24.6%	11.4%	0.0%	-0.3%	1.1%	42.4K	-173.0K	-1.6K	0.00	100.02	0	0	322	730
2013-05-13	$29.14	$0.00	22.9%	5.9%	21.4%	21.1%	0.0%	-0.1%	0.8%	42.9K	-175.4K	-1.6K	0.00	98.37	0	0	322	730
2013-05-14	$29.35	$0.00	21.7%	5.8%	21.1%	18.7%	0.0%	5.9%	0.9%	55.2K	-200.7K	-1.6K	0.00	97.94	0	0	322	730
2013-05-15	$29.35	$0.00	26.4%	5.9%	20.5%	27.9%	0.0%	6.0%	0.5%	55.2K	-211.8K	-1.6K	0.00	98.68	1	0	322	730
2013-05-16	$29.36	$0.00	20.3%	5.8%	20.5%	15.8%	0.0%	0.7%	0.5%	56.0K	-211.8K	-1.6K	0.00	99.05	0	0	321	730
2013-05-17	$29.63	$0.00	20.3%	5.8%	20.5%	15.9%	0.0%	6.6%	0.3%	86.0K	-258.0K	-1.5K	0.00	98.64	0	0	321	730
2013-05-20	$29.73	$0.00	20.6%	5.9%	20.5%	16.5%	0.0%	1.6%	0.1%	10.3K	-127.3K	-1.5K	0.00	96.87	1	0	166	107
2013-05-21	$29.66	$0.00	21.0%	6.0%	19.4%	17.3%	21.0%	1.5%	-0.2%	11.0K	-109.7K	-1.4K	0.00	96.50	7	0	167	107
2013-05-22	$29.15	$30.00	20.7%	5.9%	20.3%	16.6%	20.6%	0.9%	0.5%	10.4K	-87.5K	-1.4K	0.00	101.64	110	0	174	107
2013-05-23	$29.12	$30.00	21.2%	6.1%	20.3%	17.6%	0.0%	1.6%	-0.5%	19.1K	-196.7K	-2.2K	0.00	101.39	0	0	284	107
2013-05-24	$29.44	$30.00	19.3%	5.5%	20.4%	13.9%	0.0%	9.5%	1.3%	21.3K	-225.7K	-2.2K	0.00	102.65	0	0	284	107
2013-05-28	$29.85	$30.00	21.0%	6.0%	20.8%	17.3%	0.0%	8.9%	-0.6%	22.9K	-285.6K	-2.3K	0.02	97.06	128	2	284	107
2013-05-29	$29.39	$30.00	21.0%	6.0%	21.6%	17.2%	21.0%	2.2%	-0.9%	37.3K	-394.1K	-2.9K	0.00	102.11	10	0	412	109
2013-05-30	$29.72	$30.00	19.9%	5.7%	16.9%	15.0%	0.0%	10.6%	0.0%	40.7K	-432.5K	-3.0K	0.00	100.85	0	0	422	109
2013-05-31	$29.36	$30.00	18.0%	5.2%	17.2%	11.3%	0.0%	0.9%	-0.3%	38.2K	-393.9K	-2.9K	0.00	103.76	0	0	422	109