CBU Options History — August 2021

In August 2021, CBU traded between $71.28 and $75.83. ATM implied volatility averaged 31.0%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 9.9% (HV 20d: 21.2%). Max pain ranged from $65.00 to $75.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.00.

Notable Days

2021-08-18: Highest Volume — 30 contracts
2021-08-11: Largest IV drop — 50.3% change
2021-08-10: Highest IV Rank — 34.5%
2021-08-04: Largest Expected Move — 10.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$73.98	$71.28	$75.83	$71.28	$73.93
Max Pain	$67.73	$65.00	$75.00	$65.00	$65.00
ATM IV	31.0%	17.0%	51.2%	37.4%	20.0%
Expected Move	7.9%	4.9%	10.9%	10.7%	5.7%
HV 20d	21.2%	17.3%	25.6%	25.6%	21.9%
HV 60d	23.9%	23.2%	25.0%	24.5%	24.5%
IV Rank	14.2%	0.0%	34.5%	20.6%	3.1%
IV Percentile	33.0%	0.4%	86.5%	63.1%	4.4%
Term Structure	-2.4%	-15.4%	7.3%	-3.7%	3.9%
VWIV	31.9%	21.1%	50.2%	24.6%	31.8%
Skew 25d	-0.1%	-9.8%	12.5%	-1.2%	3.0%
Skew 10d	9.2%	-18.7%	48.7%	41.7%	-16.0%
Call IV 25d	36.8%	21.4%	54.2%	39.4%	37.6%
Put IV 25d	36.7%	22.7%	46.9%	38.2%	40.7%
Bid-Ask Spread %	114.64	109.37	121.66	109.37	110.66
Gamma HHI	0.41	0.28	0.55	0.30	0.42
Net GEX	45.7K	16.7K	81.0K	41.3K	20.7K
Net DEX	-461.2K	-798.0K	-199.5K	-344.4K	-214.7K
Net VEX	-1.6K	-2.0K	-1.4K	-1.6K	-1.4K
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	3.818	0	30	10	0
Total OI	337.909	138	459	402	145

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	Spread %	Call Vol	Put Vol	Call OI	Put OI
2021-08-02	$71.28	$65.00	37.4%	10.7%	25.6%	20.6%	0.0%	-1.2%	-3.7%	41.3K	-344.4K	-1.6K	109.37	10	0	371	31
2021-08-03	$72.24	$70.00	38.0%	10.9%	25.2%	21.3%	0.0%	12.5%	-6.2%	48.6K	-452.7K	-1.9K	116.72	0	0	371	41
2021-08-04	$71.67	$70.00	38.1%	10.9%	25.3%	21.4%	24.6%	-7.3%	-15.4%	38.4K	-345.7K	-1.6K	117.99	0	1	381	41
2021-08-05	$72.20	$75.00	39.6%	7.6%	23.7%	22.9%	0.0%	-2.8%	0.6%	48.9K	-419.1K	-1.8K	116.62	0	1	381	41
2021-08-06	$74.40	$75.00	41.0%	7.1%	23.4%	24.3%	0.0%	6.5%	-1.1%	66.5K	-629.7K	-2.0K	115.49	0	0	381	42
2021-08-09	$74.66	$75.00	44.8%	7.0%	23.4%	28.1%	0.0%	-2.6%	-2.4%	68.7K	-688.8K	-2.0K	118.04	0	0	381	43
2021-08-10	$75.22	$75.00	51.2%	7.5%	23.1%	34.5%	50.2%	-2.1%	1.5%	72.5K	-798.0K	-2.0K	121.66	0	3	381	43
2021-08-11	$75.83	$75.00	25.4%	7.3%	22.9%	8.5%	0.0%	2.8%	2.4%	81.0K	-778.8K	-1.8K	118.37	0	10	381	43
2021-08-12	$75.74	$65.00	25.7%	7.4%	22.8%	8.9%	21.1%	0.4%	3.0%	79.0K	-768.4K	-1.8K	116.18	15	0	381	44
2021-08-13	$75.14	$65.00	28.3%	8.1%	21.8%	11.4%	31.8%	-1.5%	-7.1%	70.2K	-637.7K	-1.5K	117.09	6	0	381	54
2021-08-16	$74.80	$65.00	27.1%	7.8%	19.9%	10.3%	0.0%	1.0%	-5.7%	61.7K	-581.9K	-1.6K	119.97	0	0	384	54
2021-08-17	$74.31	$65.00	27.3%	7.8%	18.6%	10.4%	0.0%	-0.7%	-3.0%	65.6K	-646.7K	-1.7K	117.26	0	0	390	54
2021-08-18	$74.12	$65.00	29.6%	8.5%	18.6%	12.8%	0.0%	-2.5%	-6.1%	59.0K	-560.8K	-1.5K	116.37	30	0	390	54
2021-08-19	$72.92	$65.00	28.1%	8.0%	17.8%	11.2%	0.0%	2.7%	-3.0%	45.8K	-410.3K	-1.4K	110.18	0	0	390	54
2021-08-20	$73.93	$65.00	31.1%	8.9%	17.4%	14.3%	0.0%	2.9%	-4.8%	16.7K	-477.0K	-1.5K	111.22	0	0	405	54
2021-08-23	$74.69	$65.00	26.0%	7.5%	17.6%	9.1%	0.0%	4.0%	-1.9%	17.4K	-253.4K	-1.5K	114.95	0	0	113	25
2021-08-24	$74.08	$65.00	30.3%	8.7%	17.6%	13.5%	0.0%	-4.0%	-5.3%	17.0K	-248.2K	-1.5K	109.50	5	0	113	25
2021-08-25	$74.41	$65.00	26.7%	7.6%	17.3%	9.8%	0.0%	-3.6%	-3.3%	21.4K	-234.1K	-1.4K	111.18	0	2	113	25
2021-08-26	$73.12	$65.00	17.0%	4.9%	18.6%	0.0%	0.0%	1.4%	7.3%	21.9K	-201.5K	-1.5K	112.60	0	0	118	25
2021-08-27	$75.29	$65.00	24.0%	6.9%	20.5%	7.1%	0.0%	-9.8%	-0.8%	22.8K	-254.3K	-1.5K	109.54	0	0	118	27
2021-08-30	$73.58	$65.00	25.7%	7.4%	22.3%	8.8%	0.0%	-0.3%	-1.4%	19.8K	-199.5K	-1.4K	111.13	1	0	118	27
2021-08-31	$73.93	$65.00	20.0%	5.7%	21.9%	3.1%	0.0%	3.0%	3.9%	20.7K	-214.7K	-1.4K	110.66	0	0	118	27