CBU Options History — August 2020

In August 2020, CBU traded between $55.31 and $61.31. ATM implied volatility averaged 36.7%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 4.0% (HV 20d: 32.7%). Max pain ranged from $50.00 to $60.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.25.

Notable Days

2020-08-04: Highest Volume — 209 contracts
2020-08-07: Largest IV spike — 35.4% change
2020-08-11: Highest IV Rank — 30.1%
2020-08-04: Largest Expected Move — 12.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$59.19	$55.31	$61.31	$55.68	$60.39
Max Pain	$57.62	$50.00	$60.00	$60.00	$50.00
ATM IV	36.7%	29.1%	49.5%	36.3%	37.4%
Expected Move	10.2%	8.3%	12.0%	10.4%	10.7%
HV 20d	32.7%	24.7%	41.3%	41.3%	24.7%
HV 60d	44.9%	38.1%	50.4%	50.4%	38.1%
IV Rank	19.7%	13.5%	30.1%	19.4%	20.3%
IV Percentile	55.5%	47.2%	70.2%	55.6%	57.1%
Term Structure	1.5%	-10.1%	7.6%	-1.3%	-1.2%
VWIV	39.7%	29.9%	54.6%	54.6%	29.9%
Skew 25d	2.7%	-18.9%	12.8%	6.5%	9.0%
Skew 10d	19.9%	-3.6%	78.6%	36.9%	27.3%
Call IV 25d	37.4%	29.6%	51.4%	38.5%	34.2%
Put IV 25d	40.0%	30.3%	48.7%	45.0%	43.1%
Bid-Ask Spread %	109.01	94.25	125.85	108.22	109.20
Gamma HHI	0.53	0.45	0.69	0.55	0.50
Net GEX	54.7K	37.6K	77.5K	44.0K	51.3K
Net DEX	-945.3K	-1.3M	-449.7K	-592.3K	-1.0M
Net VEX	-4.2K	-4.8K	-2.9K	-3.1K	-4.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.25	0.00	1.47	0.07	0.00
Total Volume	20.857	0	209	16	0
Total OI	507.762	375	559	511	459

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
2020-08-03	$55.68	$60.00	36.3%	10.4%	41.3%	19.4%	54.6%	6.5%	-1.3%	44.0K	-592.3K	-3.1K	0.07	108.22	15	1	443	68
2020-08-04	$55.31	$60.00	42.0%	12.0%	40.1%	24.0%	39.5%	8.8%	-0.5%	38.5K	-449.7K	-2.9K	0.00	110.19	208	1	458	68
2020-08-05	$56.69	$60.00	41.5%	11.9%	40.2%	23.6%	49.7%	10.8%	-10.1%	40.7K	-727.9K	-4.1K	0.00	109.83	0	1	458	69
2020-08-06	$56.91	$60.00	35.2%	10.5%	39.4%	18.5%	0.0%	-2.3%	7.6%	43.5K	-682.3K	-3.9K	1.00	119.88	8	8	456	67
2020-08-07	$59.25	$60.00	47.6%	10.7%	38.6%	28.6%	34.4%	-9.2%	5.4%	50.8K	-915.1K	-4.1K	0.00	112.62	51	0	448	66
2020-08-10	$60.15	$60.00	40.3%	11.6%	37.9%	22.7%	45.0%	-3.7%	-3.5%	58.0K	-1.1M	-4.3K	0.07	121.59	15	1	453	66
2020-08-11	$61.31	$60.00	49.5%	10.6%	37.0%	30.1%	0.0%	-17.7%	6.9%	60.2K	-1.3M	-4.5K	0.00	108.24	15	0	468	67
2020-08-12	$60.62	$60.00	36.5%	10.5%	33.6%	19.6%	0.0%	-7.3%	1.3%	57.7K	-1.2M	-4.5K	0.00	121.13	0	0	477	67
2020-08-13	$59.80	$60.00	33.2%	9.5%	33.8%	16.9%	32.7%	-2.1%	1.3%	60.3K	-1.1M	-4.5K	0.00	120.92	16	0	477	67
2020-08-14	$59.92	$60.00	41.8%	12.0%	33.6%	23.9%	0.0%	-18.9%	-0.5%	68.5K	-1.1M	-4.5K	0.00	110.65	0	0	486	67
2020-08-17	$59.44	$60.00	34.6%	9.9%	33.6%	18.0%	0.0%	5.4%	4.5%	71.3K	-1.0M	-4.2K	0.00	105.40	4	0	486	67
2020-08-18	$58.78	$60.00	31.3%	9.0%	29.5%	15.3%	0.0%	8.1%	5.2%	71.0K	-908.9K	-4.1K	0.00	103.06	0	0	482	67
2020-08-19	$58.98	$60.00	34.3%	9.8%	28.7%	17.8%	0.0%	7.4%	4.7%	77.5K	-956.6K	-4.1K	0.00	105.96	0	10	482	67
2020-08-20	$58.70	$60.00	34.1%	9.8%	28.0%	17.6%	0.0%	8.0%	-0.5%	73.4K	-883.0K	-4.1K	0.00	125.85	0	0	482	77
2020-08-21	$58.17	$60.00	29.1%	8.3%	28.2%	13.5%	0.0%	12.8%	0.5%	37.6K	-732.9K	-3.9K	0.00	110.41	0	0	482	77
2020-08-24	$59.88	$60.00	32.3%	9.3%	28.9%	16.1%	31.7%	6.8%	2.9%	40.7K	-904.6K	-4.1K	0.20	94.25	25	5	341	34
2020-08-25	$60.69	$50.00	33.1%	9.5%	29.1%	16.8%	0.0%	8.5%	1.5%	49.6K	-1.1M	-4.2K	1.47	99.27	15	22	366	39
2020-08-26	$60.23	$50.00	33.6%	9.6%	28.2%	17.2%	0.0%	8.1%	0.5%	48.7K	-996.8K	-4.5K	0.14	97.15	14	2	381	61
2020-08-27	$61.18	$50.00	34.0%	9.8%	28.2%	17.5%	29.9%	8.6%	2.9%	53.0K	-1.1M	-4.8K	0.00	98.05	1	0	395	63
2020-08-28	$60.81	$50.00	33.1%	9.5%	25.0%	16.8%	0.0%	8.0%	3.0%	52.2K	-1.1M	-4.8K	0.00	97.29	0	0	396	63
2020-08-31	$60.39	$50.00	37.4%	10.7%	24.7%	20.3%	0.0%	9.0%	-1.2%	51.3K	-1.0M	-4.7K	0.00	109.20	0	0	396	63