CBU Options History — October 2021

In October 2021, CBU traded between $69.28 and $73.53. ATM implied volatility averaged 32.5%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 13.6% (HV 20d: 18.9%). Max pain ranged from $70.00 to $75.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.36.

Notable Days

2021-10-25: Highest Volume — 74 contracts
2021-10-12: Largest IV spike — 113.4% change
2021-10-12: Highest IV Rank — 41.4%
2021-10-01: Largest Expected Move — 12.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$71.36	$69.28	$73.53	$69.28	$71.55
Max Pain	$70.24	$70.00	$75.00	$75.00	$70.00
ATM IV	32.5%	23.8%	58.0%	42.2%	28.6%
Expected Move	8.4%	6.8%	12.1%	12.1%	8.2%
HV 20d	18.9%	16.3%	22.0%	21.2%	19.6%
HV 60d	20.6%	19.5%	22.1%	22.1%	20.8%
IV Rank	15.7%	6.8%	41.4%	25.5%	11.8%
IV Percentile	39.7%	8.7%	89.7%	76.6%	29.0%
Term Structure	-3.0%	-20.9%	13.1%	-20.9%	-4.0%
VWIV	32.0%	26.0%	35.4%	34.6%	30.6%
Skew 25d	3.0%	-10.5%	14.6%	-0.3%	0.0%
Skew 10d	5.7%	-22.3%	30.9%	-9.7%	2.5%
Call IV 25d	31.3%	20.0%	49.3%	49.3%	36.9%
Put IV 25d	34.3%	25.3%	49.0%	49.0%	36.9%
Bid-Ask Spread %	104.24	78.93	123.28	123.28	109.16
Gamma HHI	0.27	0.23	0.33	0.25	0.31
Net GEX	5.1K	3.7K	6.7K	4.3K	4.8K
Net DEX	-112.6K	-156.3K	-69.5K	-69.5K	-121.4K
Net VEX	-1.0K	-1.1K	-927	-1.1K	-949
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.36	0.00	0.46	0.00	0.45
Total Volume	27.952	0	74	0	74
Total OI	126.286	123	128	124	128

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
2021-10-01	$69.28	$75.00	42.2%	12.1%	21.2%	25.5%	0.0%	-0.3%	-20.9%	4.3K	-69.5K	-1.1K	0.00	123.28	0	0	95	29
2021-10-04	$70.49	$70.00	29.9%	6.8%	22.0%	13.0%	0.0%	-1.3%	-0.5%	4.5K	-86.9K	-1.1K	0.00	100.74	1	0	97	30
2021-10-05	$71.15	$70.00	40.8%	8.8%	21.9%	24.1%	0.0%	-9.1%	-3.2%	5.0K	-108.2K	-1.1K	0.00	106.06	0	0	97	30
2021-10-06	$70.50	$70.00	31.8%	7.3%	21.3%	15.0%	0.0%	-0.9%	2.7%	4.4K	-89.7K	-1.1K	0.00	104.77	0	0	97	30
2021-10-07	$71.38	$70.00	33.8%	9.3%	21.6%	17.0%	0.0%	5.8%	-8.7%	6.1K	-113.9K	-1.1K	0.00	101.81	0	0	97	30
2021-10-08	$72.12	$70.00	46.1%	8.3%	18.6%	29.4%	0.0%	4.2%	-2.4%	5.7K	-127.6K	-1.1K	0.00	101.12	0	0	97	30
2021-10-11	$71.18	$70.00	27.2%	7.7%	19.4%	10.3%	0.0%	5.9%	1.5%	5.1K	-110.1K	-1.1K	0.00	100.63	0	0	97	30
2021-10-12	$70.87	$70.00	58.0%	8.7%	18.0%	41.4%	0.0%	7.0%	-5.3%	5.1K	-103.2K	-1.1K	0.00	105.16	0	0	97	30
2021-10-13	$70.42	$70.00	25.1%	7.2%	18.3%	8.2%	0.0%	-4.1%	2.3%	5.2K	-92.7K	-1.0K	0.00	113.42	0	0	97	30
2021-10-14	$71.22	$70.00	27.9%	8.0%	17.5%	11.1%	0.0%	5.6%	2.7%	4.3K	-100.9K	-1.0K	0.00	100.90	0	0	97	30
2021-10-15	$71.23	$70.00	28.0%	8.0%	17.5%	11.2%	0.0%	9.9%	-2.1%	4.3K	-103.0K	-998	0.00	102.43	0	0	97	30
2021-10-18	$70.73	$70.00	28.2%	8.1%	17.1%	11.3%	0.0%	3.9%	2.2%	4.2K	-101.3K	-978	0.00	106.05	0	0	96	27
2021-10-19	$70.80	$70.00	27.4%	7.8%	17.1%	10.5%	0.0%	6.5%	-1.2%	3.7K	-98.7K	-954	0.00	103.33	1	0	96	27
2021-10-20	$71.96	$70.00	33.9%	9.7%	17.6%	17.1%	34.6%	14.6%	-10.2%	5.8K	-126.0K	-998	0.42	102.46	50	21	97	27
2021-10-21	$72.50	$70.00	25.9%	7.4%	17.6%	9.0%	35.4%	-10.5%	13.1%	6.2K	-146.5K	-1.0K	0.42	107.01	50	21	97	27
2021-10-22	$73.39	$70.00	31.2%	9.0%	17.7%	14.4%	34.2%	-5.3%	-7.0%	6.7K	-154.6K	-1.0K	0.46	78.93	50	23	97	28
2021-10-25	$73.53	$70.00	23.8%	6.8%	16.3%	6.8%	26.0%	6.9%	-0.0%	6.5K	-156.3K	-940	0.45	109.68	51	23	97	30
2021-10-26	$72.43	$70.00	31.6%	9.1%	16.9%	14.8%	30.7%	13.9%	-7.6%	5.4K	-138.9K	-981	0.45	106.64	51	23	98	30
2021-10-27	$70.34	$70.00	28.9%	8.3%	19.5%	12.0%	30.9%	5.9%	-7.3%	4.0K	-104.3K	-927	0.45	103.51	51	23	98	30
2021-10-28	$71.46	$70.00	32.0%	9.2%	19.7%	15.1%	33.1%	4.5%	-6.3%	5.1K	-111.7K	-942	0.45	101.85	51	23	98	30
2021-10-29	$71.55	$70.00	28.6%	8.2%	19.6%	11.8%	30.6%	0.0%	-4.0%	4.8K	-121.4K	-949	0.45	109.16	51	23	98	30