CBU Options History — July 2020

In July 2020, CBU traded between $52.08 and $59.19. ATM implied volatility averaged 53.0%, placing in the 33.0% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded above realized volatility by 8.7% (HV 20d: 44.2%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.70.

Notable Days

2020-07-13: Highest Volume — 117 contracts
2020-07-08: Largest IV spike — 65.2% change
2020-07-09: Highest IV Rank — 78.4%
2020-07-13: Largest Expected Move — 21.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$56.49	$52.08	$59.19	$55.42	$56.36
Max Pain	$59.55	$55.00	$60.00	$55.00	$60.00
ATM IV	53.0%	37.4%	108.7%	46.7%	51.3%
Expected Move	14.1%	8.9%	21.0%	13.4%	14.7%
HV 20d	44.2%	39.1%	50.3%	50.3%	41.1%
HV 60d	52.6%	50.1%	55.1%	55.1%	50.4%
IV Rank	33.0%	20.3%	78.4%	27.8%	31.6%
IV Percentile	72.0%	60.3%	98.0%	72.6%	71.4%
Term Structure	6.3%	-46.7%	36.2%	-0.3%	-21.0%
VWIV	43.7%	35.3%	53.2%	48.5%	47.3%
Skew 25d	-8.2%	-42.2%	64.3%	4.9%	24.7%
Skew 10d	12.6%	-57.8%	70.4%	24.5%	33.7%
Call IV 25d	57.4%	28.7%	92.4%	63.1%	28.7%
Put IV 25d	49.1%	29.8%	97.8%	68.0%	53.4%
Bid-Ask Spread %	125.09	115.25	136.27	117.08	127.04
Gamma HHI	0.38	0.23	0.56	0.24	0.51
Net GEX	34.6K	9.5K	61.5K	17.9K	45.2K
Net DEX	-662.3K	-1.0M	-249.7K	-389.7K	-707.5K
Net VEX	-3.3K	-3.9K	-2.5K	-2.9K	-3.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.70	0.00	3.00	0.31	0.00
Total Volume	18.273	0	117	2	10
Total OI	426.818	329	501	329	501

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
2020-07-01	$55.42	$55.00	46.7%	13.4%	50.3%	27.8%	48.5%	4.9%	-0.3%	17.9K	-389.7K	-2.9K	0.00	117.08	0	2	275	54
2020-07-02	$55.26	$55.00	45.4%	13.0%	50.3%	26.8%	0.0%	64.3%	3.2%	15.6K	-424.3K	-3.0K	0.00	129.17	0	0	275	56
2020-07-06	$55.52	$60.00	44.8%	16.0%	44.6%	26.3%	50.9%	-7.9%	-16.4%	18.7K	-461.0K	-2.8K	0.31	115.25	62	19	275	56
2020-07-07	$54.01	$60.00	44.6%	20.4%	45.2%	26.1%	0.0%	-26.9%	-46.7%	19.1K	-355.4K	-2.9K	0.00	121.66	0	0	276	56
2020-07-08	$53.03	$60.00	73.6%	12.2%	45.3%	49.8%	0.0%	2.4%	-12.3%	11.9K	-263.9K	-2.5K	3.00	124.17	1	3	276	56
2020-07-09	$52.08	$60.00	108.7%	11.3%	43.1%	78.4%	0.0%	-17.6%	16.0%	9.7K	-249.7K	-2.5K	0.00	116.85	0	1	276	57
2020-07-10	$54.56	$60.00	54.8%	8.9%	40.6%	34.5%	0.0%	7.3%	22.3%	9.5K	-375.6K	-2.6K	2.00	122.87	1	2	276	58
2020-07-13	$56.06	$60.00	67.8%	21.0%	41.4%	45.0%	45.7%	-16.7%	-12.8%	17.5K	-462.3K	-3.0K	0.00	119.03	117	0	277	60
2020-07-14	$54.85	$60.00	56.0%	14.5%	41.6%	35.5%	0.0%	-24.9%	-4.4%	32.5K	-625.0K	-3.5K	0.00	124.10	0	0	401	60
2020-07-15	$57.64	$60.00	47.3%	13.5%	44.6%	28.3%	53.2%	-13.2%	-0.7%	36.4K	-859.2K	-3.9K	0.26	125.43	72	19	401	60
2020-07-16	$57.14	$60.00	65.5%	18.8%	44.1%	43.2%	0.0%	-41.6%	1.8%	32.9K	-838.4K	-3.9K	0.00	125.08	0	10	424	60
2020-07-17	$56.67	$60.00	37.4%	10.7%	44.2%	20.3%	0.0%	-3.5%	7.8%	36.7K	-797.0K	-3.7K	0.00	133.58	0	0	424	70
2020-07-20	$56.23	$60.00	38.9%	11.1%	44.3%	21.5%	35.3%	7.8%	11.2%	38.3K	-570.0K	-3.3K	0.00	132.65	0	2	398	59
2020-07-21	$58.95	$60.00	41.6%	11.9%	47.3%	23.7%	39.3%	-32.6%	22.7%	50.3K	-1.0M	-3.7K	0.00	127.53	13	0	398	61
2020-07-22	$57.90	$60.00	53.4%	15.3%	47.5%	33.4%	0.0%	-28.2%	24.6%	45.5K	-922.3K	-3.8K	0.00	127.23	2	0	411	61
2020-07-23	$58.98	$60.00	50.7%	14.5%	45.7%	31.2%	0.0%	-10.4%	5.3%	54.3K	-832.9K	-3.5K	0.00	132.28	0	0	413	61
2020-07-24	$59.19	$60.00	45.5%	13.0%	45.3%	26.9%	38.1%	4.5%	7.8%	51.4K	-994.0K	-3.8K	1.33	116.49	15	20	413	61
2020-07-27	$57.91	$60.00	42.0%	12.1%	44.4%	24.1%	41.8%	3.8%	31.8%	49.1K	-858.5K	-3.6K	0.38	120.59	13	5	424	70
2020-07-28	$57.70	$60.00	39.4%	11.3%	41.9%	21.9%	36.9%	2.8%	36.2%	61.5K	-827.8K	-3.5K	1.00	127.08	2	2	435	65
2020-07-29	$59.07	$60.00	59.0%	16.9%	40.9%	37.9%	0.0%	-42.2%	35.2%	58.8K	-939.2K	-3.5K	0.00	136.27	0	0	433	67
2020-07-30	$58.28	$60.00	50.8%	14.6%	39.1%	31.2%	47.3%	-38.2%	26.5%	48.0K	-808.1K	-3.5K	0.13	130.46	8	1	433	67
2020-07-31	$56.36	$60.00	51.3%	14.7%	41.1%	31.6%	0.0%	24.7%	-21.0%	45.2K	-707.5K	-3.4K	0.00	127.04	10	0	433	68