CBU Options History — September 2021

In September 2021, CBU traded between $65.55 and $73.41. ATM implied volatility averaged 29.7%, placing in the 12.8% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 8.5% (HV 20d: 21.2%). Max pain ranged from $65.00 to $75.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.11.

Notable Days

2021-09-23: Highest Volume — 10 contracts
2021-09-02: Largest IV spike — 58.2% change
2021-09-07: Highest IV Rank — 33.5%
2021-09-21: Largest Expected Move — 10.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$68.57	$65.55	$73.41	$73.41	$68.78
Max Pain	$74.52	$65.00	$75.00	$65.00	$75.00
ATM IV	29.7%	18.1%	50.1%	24.1%	25.6%
Expected Move	7.8%	5.2%	10.3%	6.9%	7.3%
HV 20d	21.2%	19.4%	22.7%	21.9%	20.9%
HV 60d	23.2%	21.8%	24.5%	24.4%	22.6%
IV Rank	12.8%	1.1%	33.5%	7.2%	8.8%
IV Percentile	30.0%	2.8%	85.3%	9.5%	13.9%
Term Structure	0.4%	-11.0%	11.0%	-1.3%	0.8%
VWIV	29.6%	27.6%	31.7%	27.6%	31.7%
Skew 25d	-0.0%	-15.5%	20.2%	-4.6%	-15.0%
Skew 10d	6.3%	-19.1%	41.6%	41.6%	-19.1%
Call IV 25d	34.4%	16.1%	48.4%	34.6%	48.4%
Put IV 25d	34.4%	25.3%	44.7%	30.0%	33.4%
Bid-Ask Spread %	114.75	104.79	124.54	115.48	116.17
Gamma HHI	0.27	0.20	0.40	0.40	0.23
Net GEX	6.8K	-209	21.2K	21.2K	3.4K
Net DEX	-72.1K	-234.2K	1.0K	-201.2K	-62.9K
Net VEX	-1.1K	-1.4K	-887	-1.4K	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.11	0.00	0.33	0.00	0.33
Total Volume	1.286	0	10	0	4
Total OI	135.714	116	148	146	123

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	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2021-09-01	$73.41	$65.00	24.1%	6.9%	21.9%	7.2%	0.0%	-4.6%	-1.3%	21.2K	-201.2K	-1.4K	0.00	115.48	0	0	119	27
2021-09-02	$72.88	$75.00	38.1%	7.4%	21.9%	21.3%	0.0%	-1.0%	-4.0%	17.0K	-234.2K	-1.3K	0.00	121.45	0	0	119	27
2021-09-03	$71.96	$75.00	43.8%	7.7%	19.4%	27.1%	0.0%	2.6%	10.7%	14.3K	-168.8K	-1.3K	0.00	119.08	0	0	119	27
2021-09-07	$71.13	$75.00	50.1%	8.5%	19.6%	33.5%	0.0%	5.5%	-5.4%	13.6K	-144.7K	-1.3K	0.00	113.64	0	0	119	27
2021-09-08	$69.94	$75.00	26.2%	7.5%	19.9%	9.4%	0.0%	-12.0%	2.6%	10.6K	-111.1K	-1.2K	0.00	121.38	0	1	119	27
2021-09-09	$69.80	$75.00	27.0%	7.8%	19.4%	10.2%	0.0%	-4.5%	3.6%	6.4K	-67.3K	-1.1K	0.00	104.79	0	0	119	27
2021-09-10	$67.78	$75.00	28.2%	8.1%	21.3%	11.4%	0.0%	-2.9%	-3.4%	8.1K	-60.8K	-1.1K	0.00	115.34	0	0	119	28
2021-09-13	$68.33	$75.00	31.1%	8.9%	21.8%	14.3%	0.0%	-12.5%	-11.0%	9.8K	-84.1K	-1.3K	0.00	121.97	0	0	119	28
2021-09-14	$67.09	$75.00	23.8%	6.8%	22.4%	6.9%	0.0%	-15.5%	2.4%	7.0K	-34.5K	-989	0.00	119.05	0	0	119	28
2021-09-15	$67.19	$75.00	27.7%	8.0%	22.5%	10.9%	27.6%	-7.4%	5.4%	7.2K	-38.9K	-1.0K	0.00	116.16	0	1	119	28
2021-09-16	$66.27	$75.00	27.0%	7.7%	22.7%	10.1%	28.8%	-11.9%	5.0%	1.6K	-3.8K	-928	0.00	105.43	0	1	119	28
2021-09-17	$66.28	$75.00	29.2%	8.4%	22.4%	12.3%	0.0%	17.2%	1.3%	2.4K	1.0K	-913	0.00	116.09	0	0	119	29
2021-09-20	$65.55	$75.00	29.3%	8.4%	21.4%	12.4%	30.4%	17.9%	0.7%	1.7K	-10.2K	-908	0.00	117.28	0	1	90	26
2021-09-21	$66.07	$75.00	35.9%	10.3%	21.2%	19.1%	0.0%	20.2%	-0.7%	2.1K	-12.2K	-909	0.00	107.70	5	0	90	26
2021-09-22	$66.20	$75.00	28.2%	8.1%	21.3%	11.4%	0.0%	13.7%	-6.1%	2.1K	-8.6K	-887	0.00	124.54	0	0	90	27
2021-09-23	$66.79	$75.00	28.3%	8.1%	21.7%	11.5%	29.4%	15.7%	-1.1%	2.6K	-41.7K	-1.1K	0.00	110.69	0	10	95	27
2021-09-24	$67.55	$75.00	18.1%	5.2%	21.9%	1.1%	0.0%	2.5%	11.0%	-209	-31.1K	-1.1K	0.00	111.18	1	0	95	36
2021-09-27	$69.06	$75.00	28.4%	8.1%	20.6%	11.5%	31.7%	-7.6%	-2.7%	4.5K	-66.0K	-1.1K	0.00	108.09	0	1	95	27
2021-09-28	$68.35	$75.00	31.1%	8.9%	19.6%	14.3%	0.0%	0.8%	-7.7%	2.5K	-48.2K	-1.0K	0.00	113.52	0	1	95	27
2021-09-29	$69.56	$75.00	22.0%	6.3%	20.8%	5.1%	0.0%	-1.2%	7.4%	4.1K	-85.6K	-1.1K	0.00	110.67	0	1	95	27
2021-09-30	$68.78	$75.00	25.6%	7.3%	20.9%	8.8%	0.0%	-15.0%	0.8%	3.4K	-62.9K	-1.1K	0.33	116.17	3	1	95	28