CBU Options History — June 2021

In June 2021, CBU traded between $75.88 and $81.98. ATM implied volatility averaged 31.3%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 8.6% (HV 20d: 22.7%). Max pain ranged from $70.00 to $75.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.05.

Notable Days

2021-06-29: Highest Volume — 160 contracts
2021-06-18: Largest IV spike — 35.7% change
2021-06-29: Highest IV Rank — 27.2%
2021-06-29: Largest Expected Move — 12.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$78.89	$75.88	$81.98	$81.98	$75.89
Max Pain	$70.45	$70.00	$75.00	$75.00	$70.00
ATM IV	31.3%	25.1%	43.9%	30.7%	40.9%
Expected Move	8.7%	7.1%	12.6%	8.8%	11.7%
HV 20d	22.7%	16.8%	26.9%	22.0%	25.6%
HV 60d	22.3%	21.2%	24.0%	24.0%	23.2%
IV Rank	14.4%	8.2%	27.2%	13.9%	24.1%
IV Percentile	28.3%	8.7%	73.4%	19.8%	67.1%
Term Structure	-5.6%	-15.4%	3.8%	-3.2%	-12.0%
VWIV	49.5%	27.5%	96.5%	96.5%	43.6%
Skew 25d	8.2%	-14.1%	30.8%	1.2%	-11.8%
Skew 10d	2.5%	-27.0%	24.3%	-5.2%	1.2%
Call IV 25d	29.2%	21.2%	47.2%	34.8%	47.2%
Put IV 25d	37.3%	27.3%	56.9%	36.0%	35.4%
Bid-Ask Spread %	108.72	96.63	121.51	109.44	118.89
Gamma HHI	0.45	0.40	0.50	0.44	0.45
Net GEX	88.2K	67.7K	106.0K	93.8K	76.0K
Net DEX	-1.3M	-1.7M	-845.2K	-1.7M	-857.4K
Net VEX	-4.2K	-5.0K	-3.3K	-5.0K	-3.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.05	0.00	0.16	0.00	0.16
Total Volume	15	0	160	0	1
Total OI	383.455	372	388	384	387

Daily Data (22 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
2021-06-01	$81.98	$75.00	30.7%	8.8%	22.0%	13.9%	0.0%	1.2%	-3.2%	93.8K	-1.7M	-5.0K	0.00	109.44	0	0	370	14
2021-06-02	$80.37	$75.00	28.1%	8.1%	23.2%	11.2%	0.0%	3.8%	-4.4%	87.6K	-1.5M	-4.7K	0.00	109.87	0	0	370	14
2021-06-03	$80.69	$70.00	27.4%	7.6%	23.0%	10.5%	0.0%	4.2%	-3.5%	90.9K	-1.6M	-4.7K	0.00	102.59	0	0	370	14
2021-06-04	$80.64	$70.00	26.7%	8.0%	22.9%	9.8%	0.0%	5.1%	-7.5%	94.9K	-1.5M	-4.6K	0.00	101.62	0	0	370	14
2021-06-07	$80.77	$70.00	31.8%	7.3%	22.9%	15.0%	0.0%	5.4%	-3.0%	94.2K	-1.6M	-4.5K	0.00	103.44	0	0	370	14
2021-06-08	$81.47	$70.00	37.7%	7.1%	23.0%	21.0%	96.5%	9.5%	-0.3%	89.4K	-1.6M	-4.9K	0.00	97.05	0	4	370	14
2021-06-09	$80.12	$70.00	30.4%	8.7%	22.5%	13.6%	27.5%	14.9%	-8.4%	88.8K	-1.4M	-4.8K	0.00	96.63	0	1	370	16
2021-06-10	$79.24	$70.00	26.5%	7.6%	21.9%	9.6%	0.0%	0.0%	-0.6%	85.9K	-1.3M	-4.6K	0.00	104.94	0	0	370	17
2021-06-11	$78.69	$70.00	25.1%	7.2%	17.2%	8.2%	0.0%	1.2%	-1.4%	86.2K	-1.2M	-4.4K	0.00	103.16	0	0	370	17
2021-06-14	$78.33	$70.00	25.3%	7.2%	16.8%	8.4%	0.0%	8.1%	-2.1%	89.9K	-1.2M	-4.3K	0.00	108.39	0	0	369	17
2021-06-15	$79.67	$70.00	29.7%	8.5%	18.0%	12.9%	0.0%	4.0%	-8.4%	106.0K	-1.4M	-4.1K	0.00	105.69	0	0	369	17
2021-06-16	$81.14	$70.00	25.1%	7.2%	18.4%	8.2%	0.0%	11.6%	1.3%	97.5K	-1.6M	-4.2K	0.00	114.15	2	0	369	17
2021-06-17	$78.41	$70.00	25.5%	7.3%	22.1%	8.6%	0.0%	6.8%	-2.3%	94.1K	-1.3M	-4.3K	0.00	101.58	0	0	371	17
2021-06-18	$76.07	$70.00	34.6%	9.9%	24.3%	17.8%	0.0%	12.9%	3.8%	67.7K	-966.2K	-3.9K	0.00	107.75	0	0	371	17
2021-06-21	$77.64	$70.00	30.8%	8.8%	25.2%	13.9%	0.0%	13.5%	-10.5%	82.0K	-1.1M	-3.7K	0.00	117.10	1	0	358	14
2021-06-22	$77.67	$70.00	33.3%	9.5%	25.2%	16.5%	0.0%	21.7%	-15.4%	92.6K	-1.2M	-3.7K	0.00	117.36	1	0	358	14
2021-06-23	$77.58	$70.00	31.5%	9.0%	24.2%	14.6%	30.4%	19.4%	-9.8%	75.6K	-1.2M	-4.0K	0.09	109.93	138	12	359	14
2021-06-24	$78.30	$70.00	31.3%	9.0%	24.2%	14.5%	0.0%	13.1%	-13.0%	97.6K	-1.2M	-3.6K	0.00	118.95	0	10	362	14
2021-06-25	$78.90	$70.00	32.1%	9.2%	24.0%	15.3%	0.0%	18.3%	-11.6%	93.7K	-1.2M	-3.9K	0.00	121.51	0	0	362	24
2021-06-28	$76.15	$70.00	39.9%	11.4%	26.9%	23.1%	0.0%	-14.1%	-7.6%	79.8K	-864.4K	-3.4K	0.00	104.54	0	0	362	24
2021-06-29	$75.88	$70.00	43.9%	12.6%	26.3%	27.2%	43.6%	30.8%	-2.0%	76.5K	-845.2K	-3.3K	0.16	117.20	138	22	362	24
2021-06-30	$75.89	$70.00	40.9%	11.7%	25.6%	24.1%	0.0%	-11.8%	-12.0%	76.0K	-857.4K	-3.4K	0.00	118.89	0	1	362	25