CBU Options History — June 2020

In June 2020, CBU traded between $53.04 and $64.80. ATM implied volatility averaged 70.0%, placing in the 46.8% IV rank vs the trailing year. The 30-day expected move averaged 18.0%. IV traded above realized volatility by 12.0% (HV 20d: 58.0%). Max pain ranged from $55.00 to $80.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.27.

Notable Days

2020-06-04: Highest Volume — 127 contracts
2020-06-30: Largest IV drop — 35.8% change
2020-06-03: Highest IV Rank — 73.5%
2020-06-03: Largest Expected Move — 29.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$58.10	$53.04	$64.80	$59.43	$57.38
Max Pain	$61.25	$55.00	$80.00	$55.00	$55.00
ATM IV	70.0%	35.9%	102.7%	94.8%	35.9%
Expected Move	18.0%	10.3%	29.4%	27.2%	10.3%
HV 20d	58.0%	47.4%	65.5%	58.6%	52.2%
HV 60d	64.3%	53.7%	75.1%	75.1%	54.9%
IV Rank	46.8%	19.1%	73.5%	67.0%	19.1%
IV Percentile	82.9%	62.3%	96.8%	94.4%	62.3%
Term Structure	-14.1%	-48.9%	15.3%	-19.4%	-0.3%
VWIV	62.9%	43.6%	106.9%	102.8%	46.1%
Skew 25d	9.4%	-59.3%	77.1%	-59.3%	-1.7%
Skew 10d	26.7%	-22.2%	76.0%	32.8%	32.1%
Call IV 25d	77.5%	26.7%	142.7%	116.1%	45.4%
Put IV 25d	86.9%	43.8%	133.5%	56.8%	43.8%
Bid-Ask Spread %	134.32	114.18	145.22	135.96	139.80
Gamma HHI	0.25	0.23	0.28	0.28	0.24
Net GEX	16.6K	12.9K	23.9K	17.3K	17.0K
Net DEX	-487.5K	-760.0K	-344.4K	-483.6K	-457.8K
Net VEX	-3.1K	-3.6K	-2.6K	-3.2K	-3.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.27	0.00	1.00	0.20	0.00
Total Volume	11.909	0	127	0	12
Total OI	297.182	281	319	299	319

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
2020-06-01	$59.43	$55.00	94.8%	27.2%	58.6%	67.0%	0.0%	-59.3%	-19.4%	17.3K	-483.6K	-3.2K	0.00	135.96	0	0	244	55
2020-06-02	$58.39	$55.00	94.6%	27.1%	58.9%	66.9%	0.0%	16.4%	-29.2%	16.3K	-443.9K	-3.3K	0.00	136.86	0	0	244	55
2020-06-03	$61.20	$55.00	102.7%	29.4%	61.3%	73.5%	102.8%	-13.2%	-41.8%	21.1K	-540.3K	-3.3K	0.00	141.77	0	2	244	55
2020-06-04	$61.13	$0.00	101.5%	18.0%	59.8%	72.5%	0.0%	15.4%	-13.9%	16.9K	-642.8K	-3.6K	0.20	142.15	106	21	244	57
2020-06-05	$64.80	$0.00	101.2%	14.6%	62.8%	72.3%	0.0%	17.1%	-6.5%	23.9K	-760.0K	-3.4K	0.00	129.16	0	0	244	51
2020-06-08	$64.33	$0.00	94.0%	17.5%	62.7%	66.4%	0.0%	-3.1%	-34.9%	22.5K	-731.0K	-3.4K	0.00	137.40	0	0	244	51
2020-06-09	$63.89	$0.00	78.7%	12.4%	60.8%	54.0%	0.0%	62.6%	6.5%	20.9K	-746.8K	-3.5K	0.00	127.55	0	2	244	51
2020-06-10	$60.91	$0.00	55.4%	15.9%	61.7%	34.9%	0.0%	2.2%	-20.0%	17.4K	-596.5K	-3.4K	0.00	144.53	0	0	244	50
2020-06-11	$56.78	$0.00	72.0%	20.6%	65.1%	48.5%	106.9%	-19.6%	-16.9%	13.8K	-389.4K	-3.1K	1.00	145.22	1	1	244	50
2020-06-12	$55.81	$80.00	80.5%	23.1%	65.5%	55.4%	0.0%	15.1%	-23.2%	13.4K	-418.5K	-3.1K	1.00	138.96	1	1	245	51
2020-06-15	$56.75	$80.00	76.2%	21.8%	65.4%	51.9%	0.0%	-3.8%	-28.3%	15.5K	-437.2K	-3.0K	0.00	144.69	0	0	246	52
2020-06-16	$58.14	$80.00	76.5%	21.9%	60.2%	52.2%	0.0%	10.1%	-48.9%	16.4K	-558.2K	-3.3K	0.00	140.03	2	0	246	52
2020-06-17	$57.02	$80.00	75.9%	21.8%	59.3%	51.7%	63.9%	7.9%	-22.8%	14.9K	-417.1K	-3.0K	0.00	127.78	1	0	248	52
2020-06-18	$56.82	$55.00	53.5%	15.3%	58.0%	33.4%	0.0%	7.9%	4.0%	16.7K	-472.8K	-3.1K	0.00	134.16	2	0	249	52
2020-06-19	$56.79	$55.00	52.6%	15.1%	58.0%	32.7%	49.4%	-23.0%	-24.3%	14.9K	-374.8K	-2.8K	0.00	129.89	0	2	250	52
2020-06-22	$56.33	$55.00	39.3%	11.3%	58.0%	21.9%	56.9%	3.0%	-5.4%	14.2K	-344.4K	-2.6K	0.20	119.33	5	1	242	41
2020-06-23	$55.55	$55.00	41.9%	12.0%	53.6%	24.0%	43.6%	1.1%	-5.0%	14.8K	-402.6K	-2.9K	0.15	114.18	60	9	239	42
2020-06-24	$53.62	$55.00	45.9%	13.2%	47.9%	27.2%	43.7%	11.2%	4.1%	12.9K	-356.8K	-2.8K	0.00	130.48	1	0	253	43
2020-06-25	$54.76	$55.00	49.9%	14.3%	47.4%	30.4%	63.7%	74.5%	15.3%	15.1K	-407.5K	-2.8K	0.00	139.43	0	1	254	43
2020-06-26	$53.04	$55.00	60.3%	17.3%	47.8%	39.0%	0.0%	77.1%	-5.0%	14.6K	-382.1K	-2.8K	0.00	135.77	0	0	254	44
2020-06-29	$55.43	$55.00	56.0%	16.0%	50.8%	35.4%	51.8%	9.9%	5.9%	14.8K	-362.0K	-2.7K	0.48	120.01	21	10	254	44
2020-06-30	$57.38	$55.00	35.9%	10.3%	52.2%	19.1%	46.1%	-1.7%	-0.3%	17.0K	-457.8K	-3.0K	0.00	139.80	12	0	265	54