CBU Options History — July 2021

In July 2021, CBU traded between $70.27 and $76.05. ATM implied volatility averaged 38.0%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 11.0% (HV 20d: 27.0%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.00.

Notable Days

2021-07-02: Highest Volume — 28 contracts
2021-07-13: Largest IV spike — 131.3% change
2021-07-13: Highest IV Rank — 72.1%
2021-07-20: Largest Expected Move — 11.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$72.68	$70.27	$76.05	$76.05	$71.56
Max Pain	$65.48	$65.00	$70.00	$70.00	$65.00
ATM IV	38.0%	27.0%	88.4%	40.0%	28.1%
Expected Move	9.1%	7.1%	11.6%	11.5%	8.1%
HV 20d	27.0%	25.2%	29.9%	25.6%	25.8%
HV 60d	24.4%	23.2%	25.2%	23.2%	24.5%
IV Rank	21.3%	10.1%	72.1%	23.2%	11.2%
IV Percentile	47.7%	13.9%	97.2%	63.5%	17.5%
Term Structure	-3.0%	-14.3%	10.7%	-10.3%	9.7%
VWIV	28.9%	27.8%	29.5%	29.4%	27.8%
Skew 25d	7.0%	-12.9%	20.1%	-5.8%	9.2%
Skew 10d	18.8%	-13.3%	33.1%	20.0%	24.2%
Call IV 25d	31.2%	22.9%	47.7%	47.1%	26.2%
Put IV 25d	38.3%	28.6%	45.5%	41.3%	35.4%
Bid-Ask Spread %	109.84	100.63	124.11	124.11	107.69
Gamma HHI	0.39	0.31	0.45	0.45	0.31
Net GEX	54.7K	37.2K	75.0K	75.0K	37.2K
Net DEX	-555.3K	-881.2K	-334.1K	-881.2K	-338.2K
Net VEX	-2.5K	-3.4K	-1.6K	-3.4K	-1.6K
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	2.381	0	28	0	0
Total OI	393.952	388	398	388	392

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	Spread %	Call Vol	Put Vol	Call OI	Put OI
2021-07-01	$76.05	$70.00	40.0%	11.5%	25.6%	23.2%	0.0%	-5.8%	-10.3%	75.0K	-881.2K	-3.4K	124.11	0	0	362	26
2021-07-02	$75.03	$70.00	27.5%	7.9%	25.8%	10.6%	0.0%	-12.4%	0.3%	70.5K	-757.5K	-3.3K	117.46	28	0	362	26
2021-07-06	$73.48	$65.00	35.5%	8.5%	26.4%	18.7%	0.0%	14.0%	-6.6%	58.8K	-687.5K	-3.3K	102.29	0	0	370	26
2021-07-07	$73.37	$65.00	45.0%	8.8%	26.0%	28.3%	0.0%	10.0%	-11.8%	58.8K	-641.6K	-3.0K	107.22	0	0	370	26
2021-07-08	$71.51	$65.00	40.7%	10.2%	26.7%	23.9%	0.0%	14.1%	-9.2%	51.5K	-590.6K	-2.9K	105.53	0	2	370	26
2021-07-09	$73.84	$65.00	59.3%	7.5%	29.8%	42.8%	0.0%	8.1%	-2.4%	63.3K	-628.2K	-2.8K	109.62	0	0	370	28
2021-07-12	$74.01	$65.00	38.2%	7.1%	29.8%	21.5%	0.0%	10.6%	1.5%	63.1K	-646.7K	-2.8K	100.63	0	0	370	28
2021-07-13	$73.19	$65.00	88.4%	7.7%	29.9%	72.1%	0.0%	10.2%	-4.8%	58.8K	-574.1K	-2.7K	113.67	0	0	370	28
2021-07-14	$72.56	$65.00	27.0%	7.7%	29.0%	10.1%	0.0%	10.9%	-3.2%	57.2K	-532.7K	-2.5K	111.00	0	0	370	28
2021-07-15	$73.25	$65.00	29.4%	8.4%	28.2%	12.5%	0.0%	6.1%	-5.9%	58.8K	-554.6K	-2.4K	112.72	0	0	370	28
2021-07-16	$71.92	$65.00	37.1%	10.6%	26.6%	20.3%	0.0%	8.5%	-0.4%	49.0K	-530.2K	-2.7K	104.09	0	0	370	28
2021-07-19	$70.27	$65.00	31.3%	9.0%	25.8%	14.4%	0.0%	1.5%	2.4%	39.3K	-343.9K	-2.1K	103.17	0	0	365	27
2021-07-20	$71.95	$65.00	40.4%	11.6%	26.2%	23.7%	29.4%	9.0%	-6.6%	47.5K	-475.4K	-2.3K	104.74	1	0	365	27
2021-07-21	$72.23	$65.00	32.6%	9.3%	26.3%	15.7%	0.0%	6.0%	-7.5%	53.9K	-513.3K	-2.3K	103.89	0	0	366	27
2021-07-22	$70.66	$65.00	32.0%	9.2%	27.0%	15.2%	0.0%	-12.9%	-1.8%	39.6K	-334.1K	-1.8K	115.82	0	0	366	27
2021-07-23	$71.90	$65.00	32.2%	9.2%	27.7%	15.4%	29.5%	1.9%	-4.8%	48.3K	-440.2K	-2.1K	111.12	1	0	366	27
2021-07-26	$72.43	$65.00	37.0%	10.6%	27.7%	20.3%	27.8%	15.3%	-2.9%	56.6K	-559.9K	-2.3K	111.14	5	0	366	27
2021-07-27	$71.88	$65.00	29.2%	8.4%	25.2%	12.4%	0.0%	4.8%	5.5%	52.3K	-492.1K	-2.1K	110.92	0	2	366	27
2021-07-28	$72.62	$65.00	35.9%	10.3%	25.6%	19.1%	0.0%	18.6%	-14.3%	54.0K	-583.3K	-2.2K	116.14	0	1	361	28
2021-07-29	$72.49	$65.00	31.9%	9.2%	25.6%	15.1%	0.0%	20.1%	10.7%	54.6K	-556.2K	-2.2K	113.68	10	0	361	30
2021-07-30	$71.56	$65.00	28.1%	8.1%	25.8%	11.2%	0.0%	9.2%	9.7%	37.2K	-338.2K	-1.6K	107.69	0	0	361	31