CBU Options History — April 2021

In April 2021, CBU traded between $75.92 and $78.89. ATM implied volatility averaged 46.9%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 24.9% (HV 20d: 22.0%). Max pain ranged from $60.00 to $75.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.12.

Notable Days

2021-04-13: Highest Volume — 217 contracts
2021-04-30: Largest IV spike — 111.8% change
2021-04-12: Highest IV Rank — 79.8%
2021-04-22: Largest Expected Move — 15.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$77.48	$75.92	$78.89	$76.94	$77.21
Max Pain	$64.52	$60.00	$75.00	$75.00	$65.00
ATM IV	46.9%	17.0%	111.5%	38.9%	35.9%
Expected Move	8.8%	4.9%	15.2%	11.1%	10.3%
HV 20d	22.0%	18.6%	30.5%	30.5%	19.8%
HV 60d	25.4%	23.7%	29.3%	29.3%	24.0%
IV Rank	24.7%	0.0%	79.8%	17.8%	16.0%
IV Percentile	45.8%	0.0%	99.2%	44.4%	38.9%
Term Structure	5.4%	-11.8%	27.7%	-6.4%	-11.8%
VWIV	31.4%	8.4%	61.6%	61.6%	21.4%
Skew 25d	9.8%	-16.1%	29.1%	-9.2%	11.1%
Skew 10d	-5.8%	-33.6%	23.7%	-29.3%	6.9%
Call IV 25d	40.2%	26.1%	52.7%	48.9%	31.2%
Put IV 25d	50.0%	26.3%	68.3%	39.7%	42.3%
Bid-Ask Spread %	118.26	104.81	127.23	127.23	125.49
Gamma HHI	0.50	0.30	0.62	0.43	0.56
Net GEX	107.6K	44.8K	134.1K	99.2K	115.1K
Net DEX	-1.7M	-2.0M	-989.5K	-1.6M	-1.7M
Net VEX	-5.4K	-6.1K	-3.9K	-6.1K	-5.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.12	0.00	1.00	0.00	0.00
Total Volume	14.286	0	217	0	0
Total OI	498.19	486	522	486	522

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
2021-04-01	$76.94	$75.00	38.9%	11.1%	30.5%	17.8%	0.0%	-9.2%	-6.4%	99.2K	-1.6M	-6.1K	0.00	127.23	0	0	448	38
2021-04-05	$77.32	$60.00	78.8%	8.5%	29.2%	51.9%	0.0%	-5.9%	1.4%	101.3K	-1.7M	-6.0K	0.00	113.84	0	0	448	38
2021-04-06	$76.79	$60.00	65.6%	10.9%	25.5%	40.6%	0.0%	11.5%	-3.1%	89.9K	-1.6M	-6.0K	0.00	112.83	0	0	449	38
2021-04-07	$76.97	$60.00	91.8%	12.4%	25.3%	62.9%	0.0%	22.2%	-9.2%	104.3K	-1.7M	-5.6K	0.00	116.26	10	0	449	38
2021-04-08	$77.70	$60.00	46.7%	7.5%	25.0%	24.5%	61.6%	16.7%	1.9%	107.0K	-1.8M	-5.8K	0.00	117.84	0	2	459	38
2021-04-09	$78.12	$65.00	60.6%	6.1%	25.0%	36.3%	0.0%	2.4%	0.7%	96.3K	-1.8M	-5.9K	0.00	111.45	1	0	459	40
2021-04-12	$78.26	$65.00	111.5%	7.2%	22.6%	79.8%	0.0%	16.7%	1.1%	113.3K	-1.9M	-5.6K	0.00	121.23	1	0	460	40
2021-04-13	$76.60	$65.00	95.3%	6.4%	20.3%	66.0%	8.4%	-10.2%	24.4%	44.8K	-989.5K	-3.9K	0.14	109.23	191	26	461	40
2021-04-14	$77.53	$65.00	26.2%	7.5%	20.8%	7.0%	0.0%	-0.8%	1.6%	111.9K	-1.8M	-5.5K	0.00	115.79	0	0	461	41
2021-04-15	$77.37	$65.00	41.8%	12.0%	20.8%	20.3%	26.6%	7.4%	7.6%	100.3K	-1.7M	-5.4K	0.00	122.28	11	0	461	41
2021-04-16	$77.94	$65.00	22.3%	6.4%	20.8%	3.6%	0.0%	26.2%	20.7%	123.4K	-1.8M	-5.1K	0.00	113.03	0	0	472	41
2021-04-19	$77.29	$65.00	43.7%	12.5%	21.0%	21.9%	0.0%	18.8%	10.9%	120.2K	-1.7M	-4.9K	1.00	119.95	1	1	448	39
2021-04-20	$75.92	$65.00	38.4%	11.0%	20.8%	17.4%	54.2%	19.9%	-2.0%	99.3K	-1.4M	-5.0K	0.00	125.24	0	1	449	40
2021-04-21	$77.15	$65.00	35.5%	10.2%	19.0%	14.9%	0.0%	-0.7%	10.5%	109.4K	-1.7M	-5.2K	0.00	126.66	0	0	449	41
2021-04-22	$76.67	$65.00	53.1%	15.2%	19.1%	29.9%	26.2%	18.7%	-7.9%	102.8K	-1.7M	-5.1K	0.00	119.32	1	0	449	41
2021-04-23	$78.89	$65.00	22.4%	6.4%	20.3%	3.7%	23.0%	-16.1%	16.1%	130.5K	-2.0M	-5.0K	0.00	104.81	13	0	449	41
2021-04-26	$77.77	$65.00	23.5%	6.7%	19.5%	4.6%	29.6%	25.9%	6.3%	134.1K	-1.7M	-4.8K	0.20	123.79	15	3	455	42
2021-04-27	$77.81	$65.00	18.9%	5.4%	19.3%	0.7%	0.0%	12.5%	12.9%	107.1K	-1.7M	-5.2K	0.00	111.47	20	0	455	44
2021-04-28	$78.27	$65.00	18.0%	5.2%	19.4%	0.0%	21.4%	29.1%	27.7%	114.6K	-1.9M	-5.7K	0.00	125.69	1	0	475	44
2021-04-29	$78.65	$65.00	17.0%	4.9%	18.6%	0.0%	0.0%	8.9%	9.3%	133.8K	-1.9M	-5.4K	0.00	120.13	0	2	475	44
2021-04-30	$77.21	$65.00	35.9%	10.3%	19.8%	16.0%	0.0%	11.1%	-11.8%	115.1K	-1.7M	-5.5K	0.00	125.49	0	0	475	47