CBU Options History — November 2021

In November 2021, CBU traded between $71.12 and $76.63. ATM implied volatility averaged 33.8%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 10.0% (HV 20d: 23.8%). Max pain ranged from $70.00 to $70.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.25.

Notable Days

2021-11-02: Highest Volume — 117 contracts
2021-11-04: Largest IV drop — 39.8% change
2021-11-24: Highest IV Rank — 27.1%
2021-11-24: Largest Expected Move — 12.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$74.09	$71.12	$76.63	$73.98	$71.12
Max Pain	$70.00	$70.00	$70.00	$70.00	$70.00
ATM IV	33.8%	24.9%	43.8%	32.3%	39.5%
Expected Move	9.5%	6.4%	12.6%	9.3%	11.3%
HV 20d	23.8%	22.0%	26.3%	22.0%	23.1%
HV 60d	21.7%	20.7%	22.3%	21.0%	22.2%
IV Rank	17.0%	8.0%	27.1%	15.5%	22.8%
IV Percentile	51.5%	10.7%	80.2%	50.0%	71.0%
Term Structure	-6.8%	-19.8%	5.2%	1.4%	-0.9%
VWIV	33.0%	23.1%	53.5%	33.7%	53.5%
Skew 25d	1.6%	-8.4%	12.6%	-6.1%	-5.2%
Skew 10d	4.0%	-23.7%	32.6%	-5.1%	32.6%
Call IV 25d	40.6%	27.5%	78.7%	37.1%	78.7%
Put IV 25d	42.1%	27.9%	73.4%	31.0%	73.4%
Bid-Ask Spread %	108.69	91.92	121.74	98.62	112.51
Gamma HHI	0.29	0.22	0.81	0.27	0.28
Net GEX	12.5K	5.3K	85.4K	5.4K	7.5K
Net DEX	-191.3K	-249.5K	-132.7K	-161.9K	-132.7K
Net VEX	-1.0K	-1.2K	-931	-931	-1.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.25	0.21	0.45	0.45	0.24
Total Volume	105.381	74	117	74	84
Total OI	135.571	89	163	130	96

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
2021-11-01	$73.98	$70.00	32.3%	9.3%	22.0%	15.5%	33.7%	-6.1%	1.4%	5.4K	-161.9K	-931	0.45	98.62	51	23	98	32
2021-11-02	$73.08	$70.00	34.3%	9.8%	22.4%	17.5%	39.0%	-8.4%	-5.8%	6.5K	-151.9K	-944	0.24	106.11	94	23	98	32
2021-11-03	$74.85	$70.00	41.4%	11.9%	23.4%	24.7%	51.5%	3.9%	-14.6%	10.7K	-199.9K	-1.1K	0.24	112.86	94	23	122	32
2021-11-04	$73.60	$70.00	24.9%	9.4%	24.2%	8.0%	31.9%	9.7%	-7.8%	5.3K	-154.5K	-994	0.24	102.37	94	23	122	32
2021-11-05	$74.73	$70.00	31.5%	7.7%	24.5%	14.7%	26.4%	0.9%	-1.6%	7.5K	-179.8K	-987	0.24	106.11	94	23	122	32
2021-11-08	$74.64	$70.00	34.2%	6.4%	23.8%	17.4%	26.2%	-1.7%	5.2%	8.3K	-192.8K	-1.0K	0.24	102.91	94	23	122	32
2021-11-09	$74.33	$70.00	34.4%	7.9%	23.8%	17.6%	29.5%	3.1%	-5.8%	7.1K	-185.5K	-1.1K	0.24	102.70	94	23	122	32
2021-11-10	$74.68	$70.00	28.2%	8.1%	23.6%	11.3%	27.1%	-0.3%	0.0%	7.5K	-201.2K	-1.1K	0.24	91.92	94	23	122	31
2021-11-11	$75.14	$70.00	27.2%	7.8%	23.5%	10.3%	26.8%	4.1%	-5.0%	10.9K	-218.2K	-1.1K	0.24	116.87	94	23	122	31
2021-11-12	$74.14	$70.00	31.5%	9.0%	24.1%	14.7%	26.6%	3.1%	-7.4%	10.0K	-194.1K	-1.1K	0.24	100.66	94	23	122	31
2021-11-15	$74.09	$70.00	28.9%	8.3%	23.9%	12.0%	28.2%	5.3%	-8.0%	8.1K	-198.0K	-985	0.24	119.72	94	23	122	31
2021-11-16	$74.20	$70.00	35.3%	10.1%	23.9%	18.5%	33.2%	3.1%	-19.8%	8.7K	-190.3K	-1.0K	0.24	109.88	94	23	122	31
2021-11-17	$73.68	$70.00	29.6%	8.5%	23.5%	12.7%	28.7%	-0.5%	-5.2%	13.1K	-193.0K	-983	0.24	102.07	94	23	132	31
2021-11-18	$74.21	$70.00	30.3%	8.7%	23.5%	13.5%	29.3%	8.0%	-9.6%	12.8K	-228.5K	-1.2K	0.24	116.37	94	23	132	31
2021-11-19	$74.92	$70.00	35.4%	10.1%	23.4%	18.6%	32.5%	11.7%	-15.0%	85.4K	-233.5K	-1.0K	0.24	109.91	94	23	132	31
2021-11-22	$76.63	$70.00	32.1%	9.2%	24.6%	15.2%	31.9%	-3.6%	-2.5%	9.0K	-249.5K	-1.0K	0.21	111.56	68	14	74	15
2021-11-23	$75.71	$70.00	33.7%	9.7%	24.4%	16.9%	23.1%	-3.1%	-2.2%	10.2K	-234.5K	-961	0.22	116.75	68	15	77	15
2021-11-24	$74.89	$70.00	43.8%	12.6%	22.0%	27.1%	36.0%	-3.0%	-15.8%	11.4K	-214.1K	-949	0.24	110.82	68	16	78	16
2021-11-26	$72.01	$70.00	39.9%	11.4%	26.0%	23.2%	41.9%	-0.0%	-12.1%	8.7K	-159.8K	-1.1K	0.24	121.74	68	16	79	17
2021-11-29	$71.26	$70.00	41.0%	11.8%	26.3%	24.3%	35.2%	12.6%	-10.8%	8.3K	-144.2K	-1.0K	0.24	110.03	68	16	79	17
2021-11-30	$71.12	$70.00	39.5%	11.3%	23.1%	22.8%	53.5%	-5.2%	-0.9%	7.5K	-132.7K	-1.0K	0.24	112.51	68	16	79	17