CBU Options History — December 2021

In December 2021, CBU traded between $71.37 and $75.14. ATM implied volatility averaged 41.9%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 15.9% (HV 20d: 26.0%). Max pain ranged from $60.00 to $70.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.65.

Notable Days

  • 2021-12-06: Highest Volume — 94 contracts
  • 2021-12-13: Largest IV spike — 83.7% change
  • 2021-12-13: Highest IV Rank — 78.1%
  • 2021-12-03: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.40$71.37$75.14$71.37$74.43
Max Pain$61.36$60.00$70.00$70.00$60.00
ATM IV41.9%25.8%94.3%31.9%35.1%
Expected Move9.4%7.4%13.5%9.1%10.1%
HV 20d26.0%22.3%28.0%22.9%22.9%
HV 60d23.0%22.1%23.5%22.1%22.7%
IV Rank25.2%8.9%78.1%15.0%18.3%
IV Percentile58.5%14.7%98.4%47.2%56.3%
Term Structure-3.9%-18.6%11.4%7.5%6.4%
VWIV71.1%36.7%105.8%44.0%87.0%
Skew 25d2.8%-19.2%25.7%-9.8%5.3%
Skew 10d15.0%-14.1%34.3%-3.9%-14.1%
Call IV 25d49.0%29.1%83.6%73.1%41.2%
Put IV 25d51.8%38.8%90.7%63.3%46.5%
Bid-Ask Spread %105.1991.47119.49108.91105.15
Gamma HHI0.250.220.280.280.25
Net GEX8.4K6.8K11.3K8.5K7.5K
Net DEX-179.3K-219.7K-145.0K-145.0K-185.1K
Net VEX-942-1.1K-800-1.0K-882
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.241.040.240.68
Total Volume69.27351948464
Total OI1039610996101

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-12-01$71.37$70.0031.9%9.1%22.9%15.0%44.0%-9.8%7.5%8.5K-145.0K-1.0K0.24108.9168167917
2021-12-02$72.79$70.0040.1%11.5%22.3%23.3%37.5%-19.2%-18.6%8.2K-172.0K-1.0K0.25119.4965167917
2021-12-03$71.51$70.0047.0%13.5%22.4%30.4%44.6%7.1%-9.6%8.0K-166.7K-9600.40118.2865267917
2021-12-06$74.30$60.0051.3%9.7%25.9%34.7%78.0%7.9%-8.0%9.7K-184.4K-1.0K0.3897.7968267927
2021-12-07$72.50$60.0057.0%10.0%27.3%40.4%77.5%3.1%11.4%9.3K-166.1K-1.1K0.38103.7868268227
2021-12-08$73.30$60.0053.4%9.5%27.6%36.8%53.2%0.5%-10.4%9.5K-165.3K-9050.3896.2968268227
2021-12-09$73.03$60.0052.8%10.4%27.6%36.1%76.3%5.9%-14.4%9.9K-176.1K-1.0K0.3898.3868268227
2021-12-10$73.96$60.0051.3%9.7%27.9%34.7%77.8%3.6%-11.3%11.3K-201.3K-1.1K1.04103.9325268227
2021-12-13$73.80$60.0094.3%8.4%27.5%78.1%81.3%6.2%-2.6%8.9K-190.8K-9071.04110.1925268027
2021-12-14$73.38$60.0070.3%8.4%27.6%53.9%81.6%4.8%-3.6%9.4K-195.6K-9081.04107.5325268027
2021-12-15$72.74$60.0025.8%7.4%27.7%8.9%80.4%-5.0%-0.8%8.4K-184.5K-8901.04113.0625268027
2021-12-16$73.26$60.0032.9%9.4%27.7%16.1%71.4%-2.2%-5.8%9.5K-195.4K-8971.04110.3825268027
2021-12-17$72.27$60.0028.1%8.1%28.0%11.2%79.8%-8.6%6.9%7.0K-162.8K-1.0K0.62106.9342268027
2021-12-20$71.72$60.0027.2%7.8%27.8%10.4%70.3%-6.0%8.0%6.9K-146.1K-9560.6691.4738257426
2021-12-21$73.51$60.0026.2%7.5%28.0%9.3%75.9%15.1%-1.8%7.7K-182.7K-9490.6696.3038257426
2021-12-22$73.42$60.0034.3%9.8%27.8%17.5%92.3%25.7%-16.3%6.8K-156.1K-8150.66103.6138257426
2021-12-23$74.42$60.0036.5%10.5%28.0%19.7%88.8%1.9%-5.3%7.9K-184.3K-8220.66105.1238257426
2021-12-27$74.55$60.0037.5%10.8%24.0%20.8%37.1%-5.0%-11.3%7.9K-180.6K-8000.66109.4438257426
2021-12-28$75.14$60.0034.7%9.9%23.6%17.9%36.7%8.8%-4.9%7.2K-199.5K-9490.66101.7338257426
2021-12-29$74.90$60.0026.8%7.7%23.7%9.9%85.7%12.6%-4.2%8.2K-219.7K-9650.66103.9438257426
2021-12-30$74.59$60.0026.8%7.7%23.8%9.9%105.8%9.7%2.4%7.7K-184.7K-8430.68102.5738267426
2021-12-31$74.43$60.0035.1%10.1%22.9%18.3%87.0%5.3%6.4%7.5K-185.1K-8820.68105.1538267427