CBU Options History — May 2020

In May 2020, CBU traded between $52.03 and $63.18. ATM implied volatility averaged 59.6%, placing in the 39.0% IV rank vs the trailing year. The 30-day expected move averaged 16.7%. IV traded above realized volatility by 3.8% (HV 20d: 55.9%). Max pain ranged from $45.00 to $60.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.15.

Notable Days

2020-05-06: Highest Volume — 24 contracts
2020-05-11: Largest IV spike — 273.7% change
2020-05-11: Highest IV Rank — 100.0%
2020-05-28: Largest Expected Move — 25.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$57.26	$52.03	$63.18	$60.03	$59.09
Max Pain	$53.44	$45.00	$60.00	$60.00	$55.00
ATM IV	59.6%	33.5%	135.2%	46.3%	85.6%
Expected Move	16.7%	9.6%	25.7%	13.3%	24.5%
HV 20d	55.9%	47.2%	65.1%	57.3%	60.8%
HV 60d	73.6%	71.5%	75.5%	71.5%	75.4%
IV Rank	39.0%	17.1%	100.0%	29.8%	59.6%
IV Percentile	82.8%	62.3%	100.0%	82.5%	91.7%
Term Structure	-17.0%	-54.3%	24.6%	9.3%	-54.3%
VWIV	54.5%	38.3%	75.1%	48.5%	69.8%
Skew 25d	-1.3%	-71.4%	67.1%	67.1%	-71.4%
Skew 10d	1.3%	-97.1%	79.0%	79.0%	-97.1%
Call IV 25d	70.8%	26.1%	145.7%	52.7%	145.7%
Put IV 25d	69.6%	35.4%	119.8%	119.8%	74.3%
Bid-Ask Spread %	131.87	115.78	146.14	125.93	144.65
Gamma HHI	0.27	0.20	0.41	0.25	0.27
Net GEX	4.3K	-11.7K	16.5K	682	15.3K
Net DEX	-224.8K	-622.4K	196.1K	-247.8K	-470.0K
Net VEX	-3.0K	-3.4K	-2.5K	-3.1K	-3.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.15	0.00	9.00	1.00	0.00
Total Volume	6.45	0	24	6	4
Total OI	428.1	266	588	525	295

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
2020-05-01	$60.03	$60.00	46.3%	13.3%	57.3%	29.8%	48.5%	67.1%	9.3%	682	-247.8K	-3.1K	1.00	125.93	3	3	342	183
2020-05-04	$60.18	$0.00	48.8%	17.0%	56.1%	32.0%	0.0%	3.5%	-19.2%	-271	-264.8K	-3.0K	0.00	141.67	0	0	342	184
2020-05-05	$60.49	$0.00	37.0%	17.5%	55.5%	21.6%	0.0%	45.4%	-18.7%	-9.2K	-297.8K	-2.9K	0.00	141.37	10	0	342	184
2020-05-06	$58.36	$0.00	44.7%	14.5%	56.8%	28.3%	0.0%	40.9%	-24.3%	-6.9K	-156.2K	-3.0K	0.00	134.68	24	0	352	184
2020-05-07	$57.88	$0.00	37.9%	14.7%	56.7%	22.4%	39.8%	59.8%	-23.9%	-4.4K	-149.2K	-3.2K	0.00	133.55	0	1	376	184
2020-05-08	$59.13	$45.00	36.2%	13.3%	51.8%	20.8%	0.0%	21.2%	1.2%	-11.7K	-244.6K	-3.3K	0.00	115.78	0	0	376	185
2020-05-11	$56.88	$45.00	135.2%	12.1%	47.2%	100.0%	0.0%	6.1%	-32.4%	-1.6K	-56.2K	-2.9K	0.00	146.14	0	0	376	185
2020-05-12	$54.69	$45.00	55.6%	15.9%	48.8%	35.1%	38.3%	-43.5%	-30.6%	-430	48.8K	-2.7K	0.00	138.02	0	2	376	183
2020-05-13	$52.34	$55.00	62.0%	17.8%	50.4%	40.3%	55.6%	26.5%	-6.1%	-4.5K	192.6K	-2.5K	0.05	122.55	20	1	376	183
2020-05-14	$52.70	$55.00	60.4%	17.3%	50.6%	39.0%	56.3%	-8.9%	-15.0%	6.7K	177.4K	-2.7K	9.00	129.76	1	9	396	184
2020-05-15	$52.03	$55.00	42.3%	12.1%	47.6%	24.3%	52.3%	-46.5%	-10.0%	7.6K	196.1K	-2.7K	0.00	121.47	0	18	396	192
2020-05-18	$56.18	$55.00	36.9%	10.6%	56.1%	19.9%	0.0%	-1.1%	-8.6%	9.6K	-319.3K	-3.1K	0.00	129.51	0	0	212	54
2020-05-19	$54.31	$55.00	88.3%	25.3%	56.9%	61.8%	0.0%	-1.9%	-20.9%	11.1K	-266.3K	-2.9K	0.00	135.87	0	0	212	54
2020-05-20	$56.24	$55.00	61.6%	17.7%	58.5%	40.0%	0.0%	-15.6%	-34.5%	10.9K	-360.6K	-3.1K	0.00	123.86	6	0	212	54
2020-05-21	$56.14	$55.00	59.3%	17.0%	58.2%	38.2%	0.0%	-31.4%	-21.8%	10.3K	-343.7K	-3.1K	0.00	135.72	0	0	218	54
2020-05-22	$55.62	$55.00	33.5%	9.6%	58.1%	17.1%	0.0%	1.8%	24.6%	9.2K	-305.8K	-2.9K	0.00	116.08	0	0	218	54
2020-05-26	$59.10	$55.00	59.1%	16.9%	60.7%	38.0%	75.1%	-56.9%	3.3%	13.3K	-430.5K	-3.2K	0.00	130.92	5	0	218	54
2020-05-27	$63.18	$55.00	72.2%	20.7%	65.1%	48.7%	69.8%	10.4%	-15.9%	14.9K	-622.4K	-3.4K	0.29	134.24	17	5	223	54
2020-05-28	$60.68	$55.00	89.7%	25.7%	64.0%	62.9%	0.0%	-30.8%	-41.6%	16.5K	-575.8K	-3.4K	0.00	135.63	0	0	240	55
2020-05-29	$59.09	$55.00	85.6%	24.5%	60.8%	59.6%	0.0%	-71.4%	-54.3%	15.3K	-470.0K	-3.3K	0.00	144.65	4	0	240	55