File a non-resident return in NY. The income will be taxable to your home state. http://www.revenue.state.il.us/TaxForms/IncmCurrentYear/Individual/IL-1040-Instr.pdf
NY
You must file Form IT-203 if you:
- were not a resident of New York State and received income during the tax year from New York State sources, or
- moved into or out of New York State during the tax year.
You are subject to New York State income tax on:
- income you received from New York sources while you were a nonresident
- all income you received while you were a New York State resident
https://www.tax.ny.gov/pit/ads/it203_information.htm
