CBU Options History — February 2021

In February 2021, CBU traded between $66.11 and $73.88. ATM implied volatility averaged 62.9%, placing in the 39.7% IV rank vs the trailing year. The 30-day expected move averaged 17.2%. IV traded above realized volatility by 35.1% (HV 20d: 27.8%). Max pain ranged from $65.00 to $65.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.00.

Notable Days

2021-02-16: Highest Volume — 21 contracts
2021-02-05: Largest IV spike — 86.6% change
2021-02-05: Highest IV Rank — 65.4%
2021-02-03: Largest Expected Move — 26.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$69.92	$66.11	$73.88	$66.11	$71.89
Max Pain	$65.00	$65.00	$65.00	$65.00	$65.00
ATM IV	62.9%	35.8%	92.8%	86.4%	35.8%
Expected Move	17.2%	10.3%	26.2%	24.8%	10.3%
HV 20d	27.8%	22.0%	36.5%	36.4%	22.7%
HV 60d	31.0%	26.7%	43.3%	43.3%	26.7%
IV Rank	39.7%	15.1%	65.4%	60.2%	15.1%
IV Percentile	73.1%	34.1%	90.9%	88.9%	34.1%
Term Structure	-21.8%	-34.4%	5.5%	-29.3%	5.5%
VWIV	44.1%	44.1%	44.1%	44.1%	44.1%
Skew 25d	0.3%	-48.0%	93.7%	72.2%	-44.0%
Skew 10d	8.8%	-44.6%	89.3%	88.6%	-15.4%
Call IV 25d	67.2%	24.1%	90.5%	35.0%	83.8%
Put IV 25d	67.5%	32.1%	117.8%	107.3%	39.8%
Bid-Ask Spread %	136.40	127.40	143.61	134.24	132.05
Gamma HHI	0.39	0.23	0.98	0.30	0.34
Net GEX	84.8K	11.1K	722.3K	41.1K	11.5K
Net DEX	-809.8K	-1.1M	-456.2K	-534.2K	-456.2K
Net VEX	-2.6K	-3.6K	-1.7K	-3.1K	-2.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.00	0.00	0.00	0.00	0.00
Total Volume	3.737	0	21	0	0
Total OI	546.526	153	690	690	159

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	Spread %	Call Vol	Call OI	Put OI
2021-02-01	$66.11	$65.00	86.4%	24.8%	36.4%	60.2%	0.0%	72.2%	-29.3%	41.1K	-534.2K	-3.1K	134.24	0	353	337
2021-02-02	$66.98	$65.00	88.2%	25.3%	36.5%	61.7%	0.0%	93.7%	-29.3%	31.3K	-678.4K	-3.6K	136.91	0	353	337
2021-02-03	$66.58	$65.00	91.3%	26.2%	35.9%	64.2%	44.1%	75.6%	-32.1%	45.9K	-645.7K	-3.1K	139.05	1	353	337
2021-02-04	$68.06	$65.00	49.7%	15.2%	28.8%	30.3%	0.0%	2.3%	-21.6%	43.6K	-873.9K	-3.4K	143.61	0	353	337
2021-02-05	$68.16	$65.00	92.8%	16.6%	28.6%	65.4%	0.0%	-11.9%	-34.4%	60.3K	-838.0K	-2.9K	140.17	4	353	337
2021-02-08	$69.26	$65.00	63.4%	15.9%	27.3%	40.6%	0.0%	-9.4%	-24.9%	74.4K	-923.3K	-2.6K	143.45	0	349	337
2021-02-09	$70.83	$65.00	69.5%	15.9%	28.1%	45.7%	0.0%	2.6%	-19.3%	87.3K	-1.1M	-2.5K	142.11	13	349	337
2021-02-10	$70.38	$65.00	56.5%	16.2%	28.3%	34.9%	0.0%	2.8%	-22.1%	81.6K	-1.1M	-2.5K	142.63	4	342	337
2021-02-11	$69.72	$65.00	50.7%	14.5%	27.9%	30.1%	0.0%	28.0%	-9.8%	45.0K	-1.0M	-3.0K	134.64	4	342	337
2021-02-12	$69.69	$65.00	58.6%	16.8%	26.1%	36.7%	0.0%	14.8%	-20.2%	39.0K	-1.0M	-3.0K	141.76	0	344	337
2021-02-16	$70.39	$65.00	61.9%	17.8%	26.3%	39.5%	0.0%	-27.7%	-27.7%	63.1K	-1.1M	-2.1K	138.50	21	344	337
2021-02-17	$69.89	$65.00	64.5%	18.5%	26.5%	41.5%	0.0%	-14.6%	-29.8%	53.8K	-1.1M	-2.2K	136.59	0	345	337
2021-02-18	$69.81	$65.00	64.1%	18.4%	26.4%	40.3%	0.0%	-38.7%	-29.8%	160.3K	-927.3K	-2.0K	139.11	9	345	337
2021-02-19	$69.99	$65.00	51.1%	14.7%	26.4%	29.4%	0.0%	-35.3%	-22.1%	722.3K	-1.0M	-1.7K	127.48	11	352	337
2021-02-22	$71.67	$65.00	60.8%	17.4%	26.2%	37.6%	0.0%	-48.0%	-26.8%	11.1K	-476.5K	-2.0K	127.40	4	120	33
2021-02-23	$72.39	$65.00	66.2%	19.0%	23.8%	41.1%	0.0%	-26.3%	-31.6%	11.1K	-497.2K	-2.2K	132.91	0	124	35
2021-02-24	$73.88	$65.00	39.4%	11.3%	24.4%	18.2%	0.0%	7.4%	5.3%	15.2K	-548.8K	-2.1K	128.69	0	124	35
2021-02-25	$72.73	$65.00	44.4%	12.7%	22.0%	22.5%	0.0%	-39.0%	-13.6%	13.0K	-531.0K	-2.2K	130.30	0	124	35
2021-02-26	$71.89	$65.00	35.8%	10.3%	22.7%	15.1%	0.0%	-44.0%	5.5%	11.5K	-456.2K	-2.3K	132.05	0	124	35