CBU Options History — January 2022

In January 2022, CBU traded between $70.61 and $77.63. ATM implied volatility averaged 31.2%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 10.5% (HV 20d: 20.8%). Max pain ranged from $60.00 to $70.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.16.

Notable Days

2022-01-12: Highest Volume — 223 contracts
2022-01-18: Largest IV spike — 50.1% change
2022-01-18: Highest IV Rank — 24.4%
2022-01-18: Largest Expected Move — 11.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$74.69	$70.61	$77.63	$74.75	$70.92
Max Pain	$68.50	$60.00	$70.00	$60.00	$70.00
ATM IV	31.2%	24.2%	40.0%	28.8%	24.2%
Expected Move	8.9%	6.9%	11.5%	8.3%	6.9%
HV 20d	20.8%	15.9%	28.3%	21.8%	28.3%
HV 60d	23.6%	22.6%	25.8%	22.6%	24.3%
IV Rank	15.0%	7.6%	24.4%	11.9%	7.6%
IV Percentile	41.3%	10.3%	69.8%	33.3%	10.3%
Term Structure	-6.2%	-16.9%	2.8%	2.8%	-2.5%
VWIV	43.4%	24.1%	127.2%	97.1%	24.1%
Skew 25d	2.4%	-21.0%	12.4%	-21.0%	5.4%
Skew 10d	13.9%	-10.9%	33.9%	14.6%	3.0%
Call IV 25d	35.9%	23.0%	63.7%	63.7%	23.0%
Put IV 25d	38.3%	28.4%	59.7%	42.7%	28.4%
Bid-Ask Spread %	100.45	67.56	120.45	114.85	89.20
Gamma HHI	0.53	0.26	0.67	0.29	0.47
Net GEX	28.7K	8.8K	36.4K	9.0K	29.3K
Net DEX	-504.9K	-699.8K	-184.5K	-184.5K	-368.5K
Net VEX	-2.9K	-3.6K	-736	-757	-2.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.16	0.08	0.68	0.68	0.08
Total Volume	183	64	223	64	185
Total OI	225.35	101	267	101	258

Daily Data (20 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
2022-01-03	$74.75	$60.00	28.8%	8.3%	21.8%	11.9%	97.1%	-21.0%	2.8%	9.0K	-184.5K	-757	0.68	114.85	38	26	74	27
2022-01-04	$76.16	$60.00	34.6%	9.9%	18.3%	17.8%	73.2%	12.4%	-9.6%	8.8K	-207.6K	-736	0.25	114.10	105	26	74	27
2022-01-05	$75.65	$60.00	37.8%	10.8%	15.9%	21.1%	127.2%	-1.9%	-10.5%	22.4K	-406.1K	-1.9K	0.25	120.45	105	26	141	27
2022-01-06	$77.37	$70.00	26.8%	8.6%	17.3%	10.4%	33.0%	7.6%	-4.9%	23.6K	-472.6K	-2.0K	0.15	98.60	170	26	141	27
2022-01-07	$77.33	$70.00	30.6%	8.5%	17.1%	14.4%	35.3%	2.8%	-5.5%	34.6K	-664.5K	-3.5K	0.15	96.75	170	26	206	27
2022-01-10	$77.63	$70.00	28.1%	9.3%	16.7%	11.8%	38.8%	-3.2%	-9.7%	34.1K	-692.8K	-3.5K	0.15	99.17	170	26	206	28
2022-01-11	$76.64	$70.00	36.7%	8.0%	17.5%	20.8%	31.6%	3.1%	-6.0%	33.3K	-614.7K	-3.2K	0.15	94.57	170	26	206	28
2022-01-12	$76.58	$70.00	30.3%	8.7%	17.3%	14.0%	34.9%	8.3%	-1.8%	32.1K	-628.5K	-3.3K	0.13	95.27	197	26	206	28
2022-01-13	$76.88	$70.00	25.6%	7.3%	16.9%	9.1%	31.0%	2.5%	-1.3%	33.9K	-669.4K	-3.6K	0.13	102.11	197	26	211	29
2022-01-14	$77.54	$70.00	26.7%	7.6%	16.9%	10.3%	30.5%	7.4%	-9.7%	36.4K	-699.8K	-3.6K	0.13	99.28	197	26	211	29
2022-01-18	$76.46	$70.00	40.0%	11.5%	17.0%	24.4%	41.5%	6.6%	-14.1%	35.0K	-646.4K	-3.6K	0.16	100.24	158	26	213	29
2022-01-19	$74.48	$70.00	29.8%	8.6%	19.6%	13.6%	35.5%	9.8%	-4.3%	29.7K	-550.3K	-3.4K	0.15	98.59	168	26	213	29
2022-01-20	$72.01	$70.00	34.5%	9.9%	21.5%	18.5%	32.6%	7.6%	-13.4%	30.5K	-455.9K	-3.1K	0.15	101.13	168	26	223	29
2022-01-21	$71.65	$70.00	33.8%	9.7%	21.5%	17.8%	37.0%	2.9%	-5.0%	29.6K	-438.0K	-3.0K	0.14	67.56	173	25	223	31
2022-01-24	$73.70	$70.00	28.8%	8.3%	23.4%	12.5%	28.0%	7.4%	-2.0%	31.5K	-555.3K	-3.3K	0.08	93.73	172	14	234	33
2022-01-25	$74.73	$70.00	29.1%	8.3%	23.9%	12.8%	30.5%	-12.3%	-2.5%	34.2K	-615.2K	-3.4K	0.08	114.98	172	13	234	30
2022-01-26	$71.63	$70.00	32.0%	9.2%	28.1%	15.9%	37.0%	-10.7%	-1.9%	29.4K	-486.7K	-3.0K	0.08	113.11	172	13	234	27
2022-01-27	$71.02	$70.00	34.4%	9.9%	28.1%	18.4%	38.7%	8.1%	-16.9%	28.2K	-389.3K	-2.8K	0.08	109.88	172	13	230	27
2022-01-28	$70.61	$70.00	32.4%	9.3%	28.2%	16.3%	29.5%	4.7%	-6.0%	27.7K	-352.9K	-2.7K	0.08	85.53	172	13	230	27
2022-01-31	$70.92	$70.00	24.2%	6.9%	28.3%	7.6%	24.1%	5.4%	-2.5%	29.3K	-368.5K	-2.7K	0.08	89.20	172	13	230	28