CBU Options History — November 2020

In November 2020, CBU traded between $56.56 and $67.04. ATM implied volatility averaged 36.0%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 20.9% (HV 20d: 56.9%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 0.30.

Notable Days

2020-11-09: Highest Volume — 142 contracts
2020-11-11: Largest IV drop — 19.5% change
2020-11-02: Highest IV Rank — 26.9%
2020-11-02: Largest Expected Move — 13.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$63.24	$56.56	$67.04	$59.09	$62.59
Max Pain	$55.50	$55.00	$60.00	$55.00	$55.00
ATM IV	36.0%	31.4%	45.5%	45.5%	33.3%
Expected Move	10.0%	9.0%	13.0%	13.0%	9.6%
HV 20d	56.9%	30.1%	64.6%	30.1%	64.6%
HV 60d	40.0%	27.7%	44.5%	27.7%	44.5%
IV Rank	19.1%	15.4%	26.9%	26.9%	17.0%
IV Percentile	42.8%	30.2%	65.5%	65.5%	37.7%
Term Structure	-3.1%	-6.8%	-1.3%	-5.9%	-1.8%
VWIV	33.9%	19.3%	48.0%	48.0%	34.3%
Skew 25d	6.5%	2.8%	10.8%	10.5%	6.5%
Skew 10d	0.8%	-38.6%	32.2%	29.1%	11.9%
Call IV 25d	32.8%	28.7%	42.4%	42.4%	33.2%
Put IV 25d	39.3%	34.5%	53.0%	53.0%	39.7%
Bid-Ask Spread %	92.44	79.97	101.85	83.97	85.45
Gamma HHI	0.39	0.28	0.69	0.41	0.28
Net GEX	78.5K	34.7K	142.0K	55.4K	34.7K
Net DEX	-1.8M	-3.3M	-227.9K	-870.0K	-491.4K
Net VEX	-4.5K	-6.1K	-3.4K	-6.1K	-3.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.30	0.00	2.67	0.00	0.80
Total Volume	22.6	0	142	4	9
Total OI	1,078.3	571	1,300	1,144	577

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
2020-11-02	$59.09	$55.00	45.5%	13.0%	30.1%	26.9%	0.0%	10.5%	-5.9%	55.4K	-870.0K	-6.1K	0.00	83.97	0	4	590	554
2020-11-03	$60.99	$55.00	44.9%	12.9%	31.3%	26.4%	48.0%	10.8%	-6.4%	70.6K	-1.3M	-5.9K	0.00	92.48	105	0	590	554
2020-11-04	$56.56	$55.00	44.4%	12.7%	41.9%	26.0%	42.3%	10.8%	-6.8%	37.1K	-227.9K	-5.9K	0.41	100.19	39	16	630	552
2020-11-05	$58.20	$60.00	38.3%	10.0%	42.3%	21.1%	0.0%	8.0%	-2.5%	59.9K	-621.0K	-5.8K	2.67	91.16	3	8	610	568
2020-11-06	$57.37	$60.00	40.9%	10.5%	42.6%	23.2%	0.0%	7.4%	-3.8%	52.0K	-359.7K	-5.6K	0.00	90.30	0	13	609	572
2020-11-09	$65.31	$55.00	40.0%	9.7%	62.9%	22.4%	33.7%	5.1%	-3.0%	84.4K	-2.6M	-4.4K	0.00	79.97	142	0	609	577
2020-11-10	$65.65	$55.00	40.6%	9.9%	61.6%	22.9%	0.0%	5.5%	-3.7%	108.1K	-3.0M	-5.1K	0.00	88.93	0	0	723	577
2020-11-11	$63.30	$55.00	32.7%	9.4%	62.9%	16.4%	0.0%	7.4%	-3.2%	128.5K	-2.4M	-5.0K	0.00	91.70	0	0	723	577
2020-11-12	$62.43	$55.00	36.7%	10.5%	63.1%	19.8%	0.0%	5.9%	-5.0%	128.8K	-2.1M	-5.1K	0.00	95.37	12	0	723	577
2020-11-13	$64.06	$55.00	33.0%	9.5%	63.5%	16.7%	31.7%	5.3%	-2.6%	127.5K	-2.6M	-4.8K	0.00	98.88	3	0	716	577
2020-11-16	$66.19	$55.00	32.6%	9.4%	63.6%	16.4%	31.2%	2.8%	-2.2%	100.4K	-3.3M	-4.1K	0.00	100.87	7	0	719	577
2020-11-17	$66.08	$55.00	32.6%	9.3%	63.6%	16.4%	0.0%	6.0%	-2.9%	98.0K	-3.3M	-4.0K	0.00	101.15	0	0	720	577
2020-11-18	$64.99	$55.00	31.8%	9.1%	64.1%	15.7%	0.0%	5.5%	-2.7%	129.6K	-3.0M	-3.8K	0.00	101.85	14	0	720	577
2020-11-19	$64.98	$55.00	31.9%	9.1%	63.6%	15.8%	0.0%	5.1%	-1.6%	142.0K	-3.0M	-3.6K	0.00	100.33	1	0	719	577
2020-11-20	$64.47	$55.00	32.2%	9.2%	63.6%	16.0%	37.3%	5.4%	-1.9%	36.8K	-2.7M	-3.6K	0.00	100.35	68	0	718	577
2020-11-23	$64.76	$55.00	31.4%	9.0%	63.4%	15.4%	32.4%	5.3%	-1.3%	41.5K	-745.2K	-3.4K	0.33	83.89	3	1	296	275
2020-11-24	$67.04	$55.00	32.0%	9.2%	63.5%	15.9%	29.1%	5.9%	-2.0%	44.9K	-980.7K	-3.6K	0.00	86.42	2	0	299	276
2020-11-25	$65.86	$55.00	32.1%	9.2%	62.4%	16.0%	19.3%	5.0%	-1.6%	44.7K	-850.6K	-3.6K	0.00	87.97	2	0	301	276
2020-11-27	$64.83	$55.00	32.2%	9.2%	63.0%	16.1%	0.0%	5.3%	-1.6%	45.0K	-764.5K	-3.4K	0.00	87.52	0	0	301	276
2020-11-30	$62.59	$55.00	33.3%	9.6%	64.6%	17.0%	34.3%	6.5%	-1.8%	34.7K	-491.4K	-3.4K	0.80	85.45	5	4	301	276