CBU Options History — January 2020

In January 2020, CBU traded between $66.13 and $71.49. ATM implied volatility averaged 18.0%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 4.7% (HV 20d: 13.3%). Max pain ranged from $60.00 to $70.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.22.

Notable Days

2020-01-27: Highest Volume — 49 contracts
2020-01-22: Largest IV drop — 18.3% change
2020-01-31: Highest IV Rank — 12.5%
2020-01-31: Largest Expected Move — 5.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$69.83	$66.13	$71.49	$70.76	$66.13
Max Pain	$60.95	$60.00	$70.00	$70.00	$60.00
ATM IV	18.0%	15.7%	20.4%	16.4%	20.4%
Expected Move	5.2%	4.5%	5.9%	4.7%	5.9%
HV 20d	13.3%	11.1%	15.4%	12.9%	15.4%
HV 60d	14.0%	13.4%	15.1%	15.1%	14.2%
IV Rank	8.5%	4.9%	12.5%	6.0%	12.5%
IV Percentile	21.3%	7.9%	34.9%	11.9%	34.9%
Term Structure	1.4%	-1.1%	2.5%	1.7%	1.8%
VWIV	16.3%	10.3%	21.6%	18.5%	10.5%
Skew 25d	4.1%	1.9%	7.4%	2.6%	4.1%
Skew 10d	0.9%	-8.8%	11.7%	3.7%	7.7%
Call IV 25d	15.9%	12.2%	18.1%	14.1%	18.1%
Put IV 25d	20.0%	16.7%	22.2%	16.7%	22.2%
Bid-Ask Spread %	88.77	57.34	110.69	110.69	88.09
Gamma HHI	0.42	0.28	0.55	0.38	0.28
Net GEX	37.0K	14.5K	57.6K	21.2K	18.5K
Net DEX	-727.9K	-1.0M	-368.6K	-618.4K	-368.6K
Net VEX	-3.1K	-3.7K	-2.5K	-2.6K	-2.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.22	0.00	1.00	0.00	1.00
Total Volume	9.524	0	49	0	0
Total OI	398.857	312	484	312	484

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
2020-01-02	$70.76	$70.00	16.4%	4.7%	12.9%	6.0%	0.0%	2.6%	1.7%	21.2K	-618.4K	-2.6K	0.00	110.69	0	0	182	130
2020-01-03	$70.65	$70.00	17.6%	5.0%	12.6%	7.9%	0.0%	1.9%	1.2%	24.3K	-643.2K	-2.7K	0.00	102.97	0	0	190	130
2020-01-06	$70.15	$60.00	18.1%	5.4%	13.0%	8.8%	0.0%	4.4%	1.2%	24.5K	-615.6K	-2.6K	0.00	87.35	0	0	190	130
2020-01-07	$69.65	$60.00	17.9%	5.5%	13.0%	8.4%	0.0%	4.2%	0.9%	24.0K	-575.9K	-2.6K	0.00	78.72	0	0	190	130
2020-01-08	$70.89	$60.00	18.1%	5.3%	14.1%	8.7%	18.5%	4.4%	1.6%	25.9K	-678.7K	-2.5K	0.00	87.56	24	0	190	130
2020-01-09	$71.17	$60.00	17.5%	5.3%	14.1%	7.7%	0.0%	4.2%	1.4%	34.3K	-792.7K	-2.7K	0.00	87.61	10	0	212	130
2020-01-10	$70.58	$60.00	16.7%	5.2%	14.6%	6.5%	0.0%	3.8%	1.4%	37.0K	-776.8K	-3.0K	0.00	88.04	0	1	222	130
2020-01-13	$71.00	$60.00	18.2%	5.2%	12.0%	8.8%	0.0%	3.7%	1.5%	38.1K	-818.3K	-2.8K	0.00	88.33	47	0	222	130
2020-01-14	$71.29	$60.00	19.6%	5.4%	11.5%	11.2%	0.0%	4.3%	1.0%	48.2K	-964.0K	-3.7K	0.00	89.88	0	21	269	130
2020-01-15	$70.37	$60.00	18.2%	5.2%	11.1%	8.9%	0.0%	3.2%	1.3%	14.5K	-810.1K	-3.6K	0.00	92.66	0	0	269	151
2020-01-16	$71.49	$60.00	18.2%	5.2%	12.3%	8.9%	18.1%	4.1%	1.2%	34.1K	-949.3K	-3.6K	0.00	93.05	8	0	269	151
2020-01-17	$71.27	$60.00	17.1%	4.9%	12.4%	7.1%	0.0%	3.9%	1.4%	53.2K	-1.0M	-3.5K	0.00	92.97	0	0	277	151
2020-01-21	$70.42	$60.00	19.2%	5.5%	13.1%	10.5%	19.3%	3.0%	-1.1%	51.4K	-869.0K	-3.5K	0.53	73.19	19	10	272	129
2020-01-22	$70.10	$60.00	15.7%	4.5%	13.1%	4.9%	10.3%	6.1%	2.5%	57.6K	-874.1K	-3.5K	0.00	98.27	2	0	292	144
2020-01-23	$70.24	$60.00	17.0%	4.9%	13.0%	7.0%	16.1%	7.4%	1.9%	57.5K	-888.2K	-3.5K	1.00	95.21	2	2	292	144
2020-01-24	$69.21	$60.00	17.9%	5.1%	13.9%	8.5%	21.6%	5.5%	1.1%	51.5K	-755.2K	-3.4K	0.00	57.34	0	2	290	143
2020-01-27	$68.51	$60.00	18.1%	5.2%	14.0%	8.7%	16.6%	4.5%	1.1%	47.8K	-667.8K	-3.2K	0.00	71.26	0	49	290	143
2020-01-28	$67.89	$60.00	16.2%	4.7%	14.2%	5.7%	16.0%	4.3%	1.8%	42.9K	-590.4K	-3.0K	0.00	84.21	0	1	290	192
2020-01-29	$67.21	$60.00	19.1%	5.5%	14.3%	10.4%	10.5%	2.8%	2.2%	34.3K	-511.8K	-2.8K	0.00	98.00	0	2	290	192
2020-01-30	$67.40	$60.00	19.8%	5.7%	14.3%	11.5%	0.0%	3.7%	2.4%	36.4K	-516.8K	-2.8K	0.00	98.85	0	0	290	194
2020-01-31	$66.13	$60.00	20.4%	5.9%	15.4%	12.5%	0.0%	4.1%	1.8%	18.5K	-368.6K	-2.7K	0.00	88.09	0	0	290	194