CBU Options History — February 2020

In February 2020, CBU traded between $59.89 and $69.37. ATM implied volatility averaged 22.2%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 3.8% (HV 20d: 18.4%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 3.62.

Notable Days

2020-02-12: Highest Volume — 91 contracts
2020-02-10: Largest IV spike — 82.7% change
2020-02-28: Highest IV Rank — 60.5%
2020-02-28: Largest Expected Move — 14.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$67.52	$59.89	$69.37	$67.31	$59.89
Max Pain	$64.21	$60.00	$65.00	$60.00	$65.00
ATM IV	22.2%	12.5%	50.4%	20.9%	50.4%
Expected Move	6.2%	3.8%	14.5%	6.0%	14.5%
HV 20d	18.4%	16.5%	31.7%	17.1%	31.7%
HV 60d	15.6%	14.5%	21.9%	14.5%	21.9%
IV Rank	15.5%	0.0%	60.5%	13.2%	60.5%
IV Percentile	37.6%	0.0%	98.0%	36.9%	98.0%
Term Structure	-0.1%	-16.2%	8.4%	1.8%	-16.2%
VWIV	21.8%	18.0%	39.9%	21.4%	39.9%
Skew 25d	10.5%	-3.5%	28.5%	3.4%	27.2%
Skew 10d	15.8%	-4.3%	41.6%	2.4%	41.6%
Call IV 25d	19.7%	13.1%	51.9%	17.3%	51.9%
Put IV 25d	30.2%	14.8%	79.1%	20.8%	79.1%
Bid-Ask Spread %	107.61	83.73	121.48	98.95	121.01
Gamma HHI	0.50	0.32	0.64	0.32	0.36
Net GEX	71.3K	25.0K	137.2K	31.1K	25.0K
Net DEX	-768.2K	-1.2M	-198.0K	-469.5K	-198.0K
Net VEX	-3.1K	-3.9K	-2.4K	-2.8K	-2.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.62	0.00	30.00	0.04	1.00
Total Volume	11.684	0	91	24	20
Total OI	516.632	396	623	498	396

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
2020-02-03	$67.31	$60.00	20.9%	6.0%	17.1%	13.2%	21.4%	3.4%	1.8%	31.1K	-469.5K	-2.8K	0.04	98.95	23	1	290	208
2020-02-04	$68.01	$60.00	13.2%	3.8%	17.6%	0.8%	20.7%	3.5%	2.7%	51.1K	-667.0K	-3.0K	0.00	97.79	0	2	313	208
2020-02-05	$69.21	$60.00	14.8%	4.2%	18.7%	3.4%	21.2%	4.3%	3.4%	70.7K	-860.2K	-3.2K	1.00	83.73	1	1	314	208
2020-02-06	$68.73	$65.00	12.5%	5.2%	17.6%	0.0%	18.0%	7.0%	0.3%	66.0K	-769.7K	-3.0K	0.50	83.83	20	10	314	208
2020-02-07	$68.08	$65.00	19.1%	4.9%	17.7%	10.5%	0.0%	6.9%	2.6%	56.5K	-748.1K	-3.1K	0.00	95.26	0	0	318	198
2020-02-10	$68.03	$65.00	34.9%	4.9%	17.5%	35.8%	19.8%	8.1%	1.2%	46.9K	-889.0K	-3.1K	0.00	105.52	11	0	318	198
2020-02-11	$68.82	$65.00	16.7%	6.2%	18.0%	6.6%	0.0%	7.3%	-2.8%	76.9K	-840.1K	-2.9K	0.00	106.09	1	0	313	198
2020-02-12	$68.94	$65.00	18.6%	5.3%	17.9%	9.8%	18.8%	-3.0%	-0.0%	63.5K	-828.8K	-2.8K	0.00	107.96	91	0	314	198
2020-02-13	$69.34	$65.00	17.8%	5.1%	17.6%	8.5%	18.2%	13.0%	6.1%	117.3K	-1.2M	-3.9K	0.00	111.25	10	0	405	198
2020-02-14	$69.37	$65.00	16.5%	4.7%	16.5%	6.3%	0.0%	7.8%	-0.5%	137.2K	-1.2M	-3.6K	0.00	110.89	0	0	425	198
2020-02-18	$68.44	$65.00	14.2%	4.1%	17.0%	2.7%	0.0%	15.9%	8.4%	92.7K	-1.1M	-3.6K	0.00	118.42	0	0	425	198
2020-02-19	$68.62	$65.00	16.3%	4.7%	16.7%	6.1%	0.0%	5.1%	2.6%	109.5K	-1.1M	-3.5K	0.00	112.04	0	0	425	198
2020-02-20	$68.98	$65.00	19.1%	5.5%	16.8%	10.6%	0.0%	5.4%	2.0%	100.3K	-1.1M	-3.6K	0.00	104.31	0	0	425	198
2020-02-21	$68.38	$65.00	16.0%	4.6%	17.0%	5.6%	18.6%	-3.5%	1.9%	84.7K	-956.7K	-3.3K	30.00	110.67	1	30	425	198
2020-02-24	$67.30	$65.00	22.9%	6.6%	17.1%	16.7%	0.0%	9.2%	1.0%	76.4K	-553.9K	-3.0K	0.00	121.48	0	0	333	63
2020-02-25	$65.58	$65.00	29.3%	8.4%	19.0%	26.8%	0.0%	27.0%	-5.0%	52.4K	-364.5K	-2.4K	0.00	119.43	0	0	333	63
2020-02-26	$65.43	$65.00	33.9%	9.7%	18.8%	34.2%	0.0%	26.1%	-6.8%	50.9K	-386.2K	-2.7K	0.00	118.13	0	0	333	63
2020-02-27	$64.48	$65.00	35.1%	10.1%	19.1%	36.0%	0.0%	28.5%	-4.1%	45.4K	-358.2K	-2.8K	0.00	117.90	0	0	333	63
2020-02-28	$59.89	$65.00	50.4%	14.5%	31.7%	60.5%	39.9%	27.2%	-16.2%	25.0K	-198.0K	-2.4K	1.00	121.01	10	10	333	63