CBU Options History — May 2021 In May 2021, CBU traded between $77.49 and $81.42. ATM implied volatility averaged 23.5%, placing in the 6.4% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 0.3% (HV 20d: 23.2%). Max pain ranged from $65.00 to $75.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.09.
Notable Days 2021-05-19 : Highest Volume — 85 contracts2021-05-12 : Largest IV spike — 59.7% change2021-05-12 : Highest IV Rank — 13.3%2021-05-10 : Largest Expected Move — 8.8%Monthly Statistics Metric Avg Min Max Open Close Price $80.19 $77.49 $81.42 $78.99 $80.99 Max Pain $73.50 $65.00 $75.00 $65.00 $75.00 ATM IV 23.5% 17.7% 30.1% 17.8% 27.8% Expected Move 7.1% 5.1% 8.8% 5.1% 8.0% HV 20d 23.2% 21.2% 25.8% 21.4% 22.9% HV 60d 24.5% 23.4% 25.3% 24.0% 24.5% IV Rank 6.4% 0.6% 13.3% 0.7% 11.0% IV Percentile 6.5% 0.4% 13.1% 0.4% 13.1% Term Structure -0.2% -6.3% 10.7% 10.4% -1.8% VWIV 26.6% 26.6% 26.6% 26.6% 26.6% Skew 25d 0.4% -18.1% 8.6% 5.5% 5.3% Skew 10d 4.0% -25.5% 24.3% 9.5% -2.2% Call IV 25d 31.7% 23.3% 40.3% 28.5% 31.1% Put IV 25d 32.2% 20.9% 39.1% 34.0% 36.4% Bid-Ask Spread % 115.72 104.58 121.81 114.30 108.51 Gamma HHI 0.65 0.43 0.89 0.66 0.43 Net GEX 194.8K 79.6K 571.0K 150.3K 86.3K Net DEX -2.1M -3.2M -1.4M -2.0M -1.5M Net VEX -4.9K -5.4K -4.1K -5.3K -5.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.09 0.00 1.00 0.00 0.00 Total Volume 7.15 0 85 0 4 Total OI 502.65 372 613 522 384
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 2021-05-03 $78.99 $65.00 17.8% 5.1% 21.4% 0.7% 0.0% 5.5% 10.4% 150.3K -2.0M -5.3K 0.00 114.30 0 0 475 47 2021-05-04 $79.37 $65.00 18.6% 5.3% 21.2% 1.4% 0.0% 8.6% 10.7% 148.6K -2.0M -5.3K 0.00 110.21 10 0 475 47 2021-05-05 $80.22 $65.00 22.5% 6.5% 21.4% 4.7% 0.0% -16.6% -0.4% 165.7K -2.2M -5.2K 0.00 110.76 0 0 485 47 2021-05-06 $80.67 $75.00 17.8% 6.8% 21.3% 0.7% 0.0% 6.8% 3.1% 174.4K -2.3M -5.1K 0.00 119.05 0 0 485 47 2021-05-07 $80.88 $75.00 17.7% 6.7% 21.3% 0.6% 0.0% 5.3% 0.5% 196.5K -2.4M -5.0K 0.00 121.81 1 0 485 47 2021-05-10 $80.53 $75.00 20.6% 8.8% 21.4% 3.1% 0.0% -1.4% -6.3% 189.8K -2.4M -4.8K 1.00 114.60 2 2 486 47 2021-05-11 $78.84 $75.00 18.9% 7.2% 21.3% 1.6% 0.0% 0.7% -3.8% 199.0K -1.9M -4.6K 0.00 120.17 2 0 487 50 2021-05-12 $77.49 $75.00 30.1% 8.6% 21.9% 13.3% 0.0% 5.4% -4.8% 133.4K -1.6M -4.6K 0.00 118.22 0 0 487 50 2021-05-13 $80.49 $75.00 24.6% 7.1% 25.7% 7.7% 0.0% 1.7% 2.2% 220.2K -2.3M -4.8K 0.00 120.77 1 0 487 50 2021-05-14 $81.28 $75.00 22.9% 6.6% 25.8% 6.0% 0.0% -5.1% 2.5% 216.2K -2.5M -4.5K 0.00 118.52 4 0 487 50 2021-05-17 $81.42 $75.00 26.1% 7.5% 25.5% 9.2% 0.0% 3.5% 0.2% 223.3K -2.7M -4.3K 0.00 118.35 0 0 487 50 2021-05-18 $80.13 $75.00 22.6% 6.5% 25.3% 5.7% 0.0% 3.5% 0.8% 308.3K -2.2M -4.3K 0.00 104.58 0 0 487 50 2021-05-19 $79.78 $75.00 29.3% 8.4% 24.9% 12.5% 0.0% 0.3% -3.1% 357.7K -2.0M -4.1K 0.00 119.55 85 0 487 50 2021-05-20 $80.22 $75.00 28.8% 8.3% 24.8% 12.0% 0.0% -18.1% -3.6% 571.0K -2.6M -5.4K 0.00 117.98 0 0 562 50 2021-05-21 $81.16 $75.00 27.0% 7.7% 23.1% 10.1% 26.6% 0.0% -4.4% 214.3K -3.2M -5.2K 0.00 110.99 20 0 563 50 2021-05-24 $80.98 $75.00 23.0% 6.6% 22.3% 6.1% 0.0% -8.3% -3.8% 87.2K -1.6M -4.9K 0.00 119.27 0 1 359 13 2021-05-25 $79.34 $75.00 23.5% 6.7% 23.7% 6.6% 0.0% 5.9% -2.4% 79.6K -1.4M -4.9K 0.00 120.21 10 0 359 14 2021-05-26 $80.05 $75.00 22.6% 6.5% 23.8% 5.7% 0.0% 5.3% 1.3% 83.3K -1.4M -5.3K 0.00 116.66 1 0 369 14 2021-05-27 $80.98 $75.00 26.9% 7.7% 24.1% 10.0% 0.0% 0.5% -0.4% 90.5K -1.6M -5.2K 0.00 110.01 0 0 370 14 2021-05-28 $80.99 $75.00 27.8% 8.0% 22.9% 11.0% 0.0% 5.3% -1.8% 86.3K -1.5M -5.3K 0.00 108.51 4 0 370 14
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