CBU Options History — January 2021

In January 2021, CBU traded between $62.19 and $70.07. ATM implied volatility averaged 37.1%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 6.1% (HV 20d: 31.0%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.37.

Notable Days

2021-01-07: Highest Volume — 137 contracts
2021-01-06: Largest IV spike — 213.7% change
2021-01-06: Highest IV Rank — 84.4%
2021-01-29: Largest Expected Move — 12.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$67.00	$62.19	$70.07	$62.19	$64.40
Max Pain	$61.84	$60.00	$65.00	$60.00	$65.00
ATM IV	37.1%	26.9%	116.0%	41.4%	42.7%
Expected Move	9.3%	7.8%	12.3%	9.8%	12.3%
HV 20d	31.0%	19.8%	35.3%	19.8%	35.3%
HV 60d	43.3%	41.9%	43.8%	42.0%	43.4%
IV Rank	20.0%	11.7%	84.4%	23.6%	24.6%
IV Percentile	31.9%	11.5%	98.8%	56.7%	59.5%
Term Structure	0.7%	-4.3%	12.2%	-1.8%	-4.3%
VWIV	32.8%	28.0%	44.1%	30.0%	38.6%
Skew 25d	5.0%	-17.0%	22.1%	4.6%	10.7%
Skew 10d	9.1%	-40.3%	78.7%	11.1%	37.8%
Call IV 25d	30.5%	27.2%	38.7%	32.1%	35.1%
Put IV 25d	35.5%	21.8%	57.3%	36.7%	45.8%
Bid-Ask Spread %	91.74	76.62	120.44	89.74	110.83
Gamma HHI	0.33	0.27	0.43	0.27	0.27
Net GEX	60.8K	20.8K	98.4K	20.8K	31.6K
Net DEX	-833.7K	-1.3M	-210.8K	-210.8K	-406.7K
Net VEX	-3.3K	-3.6K	-3.0K	-3.5K	-3.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.37	0.00	2.33	0.00	0.00
Total Volume	16.053	0	137	7	0
Total OI	748.579	618	866	754	691

Daily Data (19 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
2021-01-04	$62.19	$60.00	41.4%	9.8%	19.8%	23.6%	0.0%	4.6%	-1.8%	20.8K	-210.8K	-3.5K	0.00	89.74	0	7	351	403
2021-01-05	$63.62	$60.00	37.0%	9.0%	19.8%	19.9%	0.0%	5.0%	-0.3%	39.2K	-423.5K	-3.5K	0.00	91.11	0	6	351	410
2021-01-06	$67.81	$60.00	116.0%	10.9%	30.2%	84.4%	0.0%	3.6%	0.7%	66.5K	-1.1M	-3.4K	0.00	94.66	1	0	352	416
2021-01-07	$68.35	$60.00	26.9%	8.3%	30.2%	11.7%	0.0%	3.9%	0.5%	67.9K	-1.2M	-3.2K	0.08	80.66	127	10	353	416
2021-01-08	$66.50	$60.00	30.2%	8.6%	32.1%	14.4%	30.0%	4.6%	0.3%	87.7K	-905.6K	-3.4K	0.00	82.23	29	0	418	426
2021-01-11	$67.13	$60.00	31.6%	9.0%	32.1%	15.6%	0.0%	4.1%	-0.4%	95.1K	-1.1M	-3.4K	0.00	79.53	0	0	427	426
2021-01-12	$67.39	$60.00	33.3%	9.0%	31.8%	17.0%	28.7%	4.4%	-0.1%	98.4K	-1.1M	-3.2K	0.00	82.21	4	0	427	426
2021-01-13	$66.37	$60.00	30.3%	8.7%	32.3%	14.5%	0.0%	4.1%	0.1%	93.2K	-924.9K	-3.1K	0.00	84.04	0	0	430	426
2021-01-14	$68.30	$60.00	28.7%	8.2%	33.4%	13.2%	0.0%	3.6%	0.7%	64.3K	-1.3M	-3.1K	0.00	90.51	7	0	430	426
2021-01-15	$68.39	$60.00	27.7%	7.9%	33.2%	12.4%	35.1%	3.0%	1.4%	54.6K	-1.3M	-3.2K	0.00	100.14	0	13	440	426
2021-01-19	$68.22	$60.00	27.8%	8.0%	32.9%	12.5%	29.7%	4.5%	0.9%	51.2K	-743.5K	-3.1K	0.00	87.59	3	0	305	313
2021-01-20	$68.62	$60.00	28.0%	8.0%	31.1%	12.6%	28.0%	1.9%	1.2%	54.9K	-789.1K	-3.1K	0.25	91.92	40	10	307	313
2021-01-21	$68.35	$65.00	27.1%	7.8%	30.2%	11.9%	30.2%	3.1%	0.9%	65.5K	-863.8K	-3.4K	1.00	94.71	8	8	347	323
2021-01-22	$70.07	$65.00	40.6%	11.6%	30.6%	22.9%	44.1%	-17.0%	12.2%	60.1K	-1.0M	-3.6K	0.43	120.44	14	6	351	331
2021-01-25	$68.05	$65.00	30.1%	8.6%	32.7%	14.3%	31.9%	4.0%	1.5%	60.2K	-796.9K	-3.3K	2.33	76.62	3	7	354	336
2021-01-26	$67.74	$65.00	29.3%	8.4%	32.7%	13.7%	31.8%	3.2%	3.5%	58.9K	-760.8K	-3.3K	0.00	83.07	1	0	354	337
2021-01-27	$65.70	$65.00	39.0%	11.2%	34.8%	21.6%	38.6%	22.1%	-1.2%	41.3K	-498.6K	-3.1K	0.00	103.53	0	1	353	337
2021-01-28	$65.72	$65.00	37.1%	10.6%	34.4%	20.0%	0.0%	21.9%	-3.4%	43.4K	-496.4K	-3.0K	0.00	99.59	0	0	353	338
2021-01-29	$64.40	$65.00	42.7%	12.3%	35.3%	24.6%	0.0%	10.7%	-4.3%	31.6K	-406.7K	-3.2K	0.00	110.83	0	0	353	338