CBU Options History — February 2022

In February 2022, CBU traded between $70.72 and $73.68. ATM implied volatility averaged 26.9%, placing in the 10.5% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 0.2% (HV 20d: 27.2%). Max pain ranged from $70.00 to $70.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.09.

Notable Days

2022-02-18: Highest Volume — 205 contracts
2022-02-09: Largest IV spike — 47.8% change
2022-02-28: Highest IV Rank — 15.9%
2022-02-28: Largest Expected Move — 9.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$72.24	$70.72	$73.68	$71.50	$72.96
Max Pain	$70.00	$70.00	$70.00	$70.00	$70.00
ATM IV	26.9%	21.3%	32.0%	27.0%	32.0%
Expected Move	8.0%	6.6%	9.2%	7.7%	9.2%
HV 20d	27.2%	21.9%	29.7%	28.4%	23.8%
HV 60d	24.8%	24.0%	25.3%	24.2%	25.1%
IV Rank	10.5%	4.6%	15.9%	10.6%	15.9%
IV Percentile	25.9%	4.8%	56.7%	22.6%	56.7%
Term Structure	-1.4%	-10.0%	9.2%	1.7%	-5.4%
VWIV	29.0%	20.4%	35.2%	26.3%	33.0%
Skew 25d	2.4%	-8.6%	20.2%	5.1%	2.2%
Skew 10d	12.0%	-8.8%	62.1%	14.5%	49.5%
Call IV 25d	35.3%	22.8%	47.3%	24.7%	34.4%
Put IV 25d	37.8%	28.1%	47.2%	29.8%	36.7%
Bid-Ask Spread %	104.45	95.05	125.25	95.13	104.53
Gamma HHI	0.43	0.38	0.51	0.50	0.43
Net GEX	37.4K	29.6K	43.3K	31.4K	41.0K
Net DEX	-547.3K	-696.9K	-380.6K	-381.0K	-614.9K
Net VEX	-2.8K	-3.0K	-2.5K	-2.6K	-2.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.09	0.02	0.14	0.08	0.02
Total Volume	174.316	161	205	173	169
Total OI	274.105	243	304	258	247

Daily Data (19 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
2022-02-01	$71.50	$70.00	27.0%	7.7%	28.4%	10.6%	26.3%	5.1%	1.7%	31.4K	-381.0K	-2.6K	0.08	95.13	160	13	230	28
2022-02-02	$70.88	$70.00	23.7%	6.8%	27.4%	7.1%	23.0%	5.3%	-0.5%	29.6K	-380.6K	-2.7K	0.08	95.83	160	13	232	29
2022-02-03	$71.31	$0.00	24.9%	8.6%	27.6%	8.4%	0.0%	0.5%	-2.4%	30.8K	-398.1K	-2.7K	0.08	108.16	160	13	232	29
2022-02-04	$72.01	$0.00	24.5%	7.8%	26.4%	8.0%	0.0%	2.7%	3.7%	31.1K	-433.5K	-2.8K	0.08	103.14	160	13	230	29
2022-02-07	$71.61	$0.00	23.8%	8.2%	26.4%	7.2%	26.3%	1.6%	5.0%	31.2K	-388.3K	-2.5K	0.07	95.05	184	13	230	29
2022-02-08	$73.63	$70.00	21.3%	8.4%	28.6%	4.6%	20.4%	3.1%	-10.0%	43.1K	-696.9K	-3.0K	0.08	100.62	154	13	264	29
2022-02-09	$71.79	$70.00	31.6%	9.0%	29.5%	15.4%	32.3%	1.4%	-5.4%	41.1K	-583.9K	-2.9K	0.08	99.03	162	13	264	29
2022-02-10	$71.32	$70.00	27.9%	8.0%	29.5%	11.5%	24.0%	-0.3%	-2.7%	38.9K	-554.8K	-2.9K	0.08	111.56	161	13	264	29
2022-02-11	$71.77	$70.00	30.5%	8.7%	29.6%	14.3%	28.9%	-3.8%	-4.6%	42.0K	-546.5K	-2.7K	0.08	104.73	154	13	264	29
2022-02-14	$72.38	$70.00	25.4%	7.3%	29.6%	9.0%	30.5%	-2.3%	9.2%	40.8K	-620.1K	-2.8K	0.14	99.39	154	22	264	29
2022-02-15	$73.15	$70.00	29.8%	8.6%	29.7%	13.6%	30.8%	3.6%	-5.7%	41.1K	-649.0K	-2.8K	0.14	96.69	154	22	264	40
2022-02-16	$73.68	$70.00	22.9%	6.6%	28.5%	6.3%	34.0%	-8.6%	-0.1%	43.3K	-696.1K	-2.8K	0.14	108.91	154	22	264	40
2022-02-17	$72.15	$70.00	28.9%	8.3%	26.8%	12.7%	29.2%	10.9%	-3.2%	39.7K	-597.6K	-2.9K	0.14	105.23	154	22	264	40
2022-02-18	$73.38	$70.00	27.7%	7.9%	27.4%	11.3%	32.2%	3.8%	-0.2%	35.1K	-653.5K	-2.7K	0.12	99.47	183	22	264	40
2022-02-22	$73.45	$70.00	24.4%	7.0%	25.4%	7.9%	35.2%	-0.6%	-3.5%	37.6K	-620.1K	-3.0K	0.08	108.30	157	13	230	13
2022-02-23	$72.02	$70.00	30.9%	8.9%	25.8%	14.7%	26.4%	4.0%	-6.0%	36.9K	-585.4K	-3.0K	0.08	105.80	157	13	233	13
2022-02-24	$70.72	$70.00	27.5%	7.9%	21.9%	11.1%	28.9%	-2.5%	4.4%	34.5K	-429.7K	-2.6K	0.03	125.25	157	4	233	13
2022-02-25	$72.77	$70.00	26.5%	7.6%	23.9%	10.1%	31.1%	20.2%	-0.4%	40.8K	-568.6K	-2.8K	0.03	117.73	157	4	233	14
2022-02-28	$72.96	$70.00	32.0%	9.2%	23.8%	15.9%	33.0%	2.2%	-5.4%	41.0K	-614.9K	-2.9K	0.02	104.53	165	4	233	14