CBU Options History — September 2020

In September 2020, CBU traded between $52.72 and $62.41. ATM implied volatility averaged 35.3%, placing in the 18.6% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 10.0% (HV 20d: 25.3%). Max pain ranged from $35.00 to $55.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 17.51.

Notable Days

2020-09-21: Highest Volume — 228 contracts
2020-09-22: Largest IV spike — 22.6% change
2020-09-08: Highest IV Rank — 25.2%
2020-09-03: Largest Expected Move — 11.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$57.23	$52.72	$62.41	$60.60	$54.56
Max Pain	$43.33	$35.00	$55.00	$50.00	$55.00
ATM IV	35.3%	29.5%	43.4%	36.6%	29.5%
Expected Move	10.1%	8.5%	11.9%	10.5%	8.5%
HV 20d	25.3%	20.3%	31.2%	24.3%	30.4%
HV 60d	34.4%	32.3%	38.0%	38.0%	32.4%
IV Rank	18.6%	13.9%	25.2%	19.6%	13.9%
IV Percentile	50.0%	39.7%	63.1%	55.6%	39.7%
Term Structure	3.4%	-4.5%	6.1%	0.8%	6.1%
VWIV	38.9%	33.4%	44.8%	44.8%	36.4%
Skew 25d	6.4%	3.4%	10.9%	6.1%	10.9%
Skew 10d	13.8%	-18.2%	57.4%	-10.4%	17.6%
Call IV 25d	33.4%	23.1%	40.5%	35.2%	23.1%
Put IV 25d	39.9%	34.0%	47.7%	41.3%	34.0%
Bid-Ask Spread %	101.70	73.12	127.96	99.45	127.96
Gamma HHI	0.39	0.33	0.51	0.51	0.35
Net GEX	30.8K	-2.9K	56.1K	52.7K	-301
Net DEX	-459.8K	-1.3M	355.8K	-1.1M	204.0K
Net VEX	-4.8K	-5.9K	-3.2K	-4.7K	-5.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	17.51	0.00	113.00	0.04	0.00
Total Volume	19.667	0	228	9	0
Total OI	623.381	459	757	459	746

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
2020-09-01	$60.60	$50.00	36.6%	10.5%	24.3%	19.6%	44.8%	6.1%	0.8%	52.7K	-1.1M	-4.7K	0.00	99.45	0	9	396	63
2020-09-02	$60.92	$55.00	40.3%	11.5%	23.2%	22.6%	0.0%	6.8%	0.4%	45.7K	-1.1M	-4.7K	0.00	99.76	0	0	396	78
2020-09-03	$60.94	$35.00	42.3%	11.9%	23.2%	24.3%	39.9%	7.5%	3.8%	45.6K	-1.1M	-4.7K	0.04	73.12	25	1	414	85
2020-09-04	$62.41	$35.00	37.6%	11.8%	20.3%	20.5%	38.8%	7.8%	3.4%	53.6K	-1.3M	-4.8K	0.03	84.90	30	1	439	85
2020-09-08	$60.28	$35.00	43.4%	11.6%	23.6%	25.2%	0.0%	6.5%	2.9%	53.8K	-1.1M	-4.7K	23.00	74.93	1	23	469	85
2020-09-09	$59.33	$35.00	37.2%	10.7%	23.2%	20.1%	0.0%	7.0%	3.5%	51.3K	-900.0K	-4.7K	4.00	82.32	2	8	468	108
2020-09-10	$59.13	$35.00	35.9%	10.3%	22.9%	19.1%	0.0%	4.5%	4.3%	52.8K	-848.0K	-4.5K	0.00	87.78	0	0	470	116
2020-09-11	$58.40	$35.00	33.7%	9.7%	22.8%	17.3%	0.0%	4.9%	4.2%	50.2K	-725.4K	-4.3K	0.00	88.05	0	25	470	116
2020-09-14	$58.48	$35.00	35.2%	10.1%	22.8%	18.5%	0.0%	5.2%	3.6%	56.1K	-733.6K	-4.5K	0.00	91.64	0	0	470	140
2020-09-15	$58.18	$35.00	34.3%	9.8%	22.7%	17.8%	0.0%	4.7%	3.3%	51.9K	-680.4K	-4.4K	0.00	94.77	0	0	470	140
2020-09-16	$58.09	$35.00	35.1%	10.1%	22.4%	18.4%	0.0%	5.8%	3.5%	50.5K	-665.9K	-4.3K	0.00	90.02	0	0	470	140
2020-09-17	$57.55	$35.00	35.7%	10.2%	22.5%	18.9%	0.0%	5.8%	3.2%	32.3K	-584.1K	-4.1K	0.00	105.25	0	0	470	140
2020-09-18	$57.59	$35.00	33.3%	9.5%	22.5%	16.9%	0.0%	5.5%	4.6%	34.6K	-581.1K	-4.0K	0.00	107.95	0	0	474	140
2020-09-21	$54.14	$35.00	33.0%	9.5%	31.2%	16.7%	33.4%	5.6%	4.1%	22.6K	-219.5K	-3.2K	113.00	112.99	2	226	425	102
2020-09-22	$53.75	$55.00	40.4%	11.6%	28.7%	22.8%	40.4%	10.6%	-4.5%	2.1K	245.7K	-5.9K	0.00	120.81	0	5	423	328
2020-09-23	$52.72	$55.00	32.1%	9.2%	28.2%	15.9%	36.4%	4.6%	5.2%	-2.9K	355.8K	-5.7K	0.00	114.24	0	1	423	333
2020-09-24	$53.15	$55.00	32.3%	9.3%	28.7%	16.2%	0.0%	4.9%	4.6%	-2.7K	330.9K	-5.7K	0.00	116.30	10	0	423	334
2020-09-25	$53.20	$55.00	30.7%	8.8%	27.7%	14.9%	0.0%	8.1%	4.9%	-2.9K	331.4K	-5.6K	0.00	123.10	0	2	416	334
2020-09-28	$54.53	$55.00	31.5%	9.0%	29.9%	15.5%	0.0%	3.4%	4.2%	1.7K	195.8K	-5.8K	0.00	113.60	32	0	416	336
2020-09-29	$53.92	$55.00	31.0%	8.9%	29.9%	15.1%	0.0%	8.8%	5.3%	-2.9K	283.5K	-5.5K	0.00	126.76	10	0	404	336
2020-09-30	$54.56	$55.00	29.5%	8.5%	30.4%	13.9%	0.0%	10.9%	6.1%	-301	204.0K	-5.7K	0.00	127.96	0	0	410	336