CBU Options History — March 2022

In March 2022, CBU traded between $69.40 and $73.67. ATM implied volatility averaged 35.3%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 9.3% (HV 20d: 26.0%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.03.

Notable Days

  • 2022-03-14: Highest Volume — 171 contracts
  • 2022-03-07: Largest IV spike — 90.2% change
  • 2022-03-07: Highest IV Rank — 46.8%
  • 2022-03-11: Largest Expected Move — 18.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71.45$69.40$73.67$70.87$70.04
Max Pain$66.96$65.00$70.00$70.00$65.00
ATM IV35.3%25.4%61.2%40.3%35.1%
Expected Move10.0%6.2%18.6%11.6%8.6%
HV 20d26.0%20.1%29.8%26.1%20.1%
HV 60d25.0%24.2%26.3%25.5%25.5%
IV Rank19.4%8.9%46.8%24.7%19.2%
IV Percentile63.9%15.9%96.4%78.2%70.6%
Term Structure-3.9%-16.4%5.6%-12.4%-9.0%
VWIV33.2%24.1%58.1%37.9%25.3%
Skew 25d2.0%-23.0%21.3%14.6%-10.8%
Skew 10d-5.1%-51.2%26.7%5.6%-8.4%
Call IV 25d48.2%30.9%76.1%43.3%65.8%
Put IV 25d50.1%38.0%77.1%57.9%55.0%
Bid-Ask Spread %109.57100.04122.54114.62109.95
Gamma HHI0.470.410.520.430.52
Net GEX34.5K28.5K42.1K33.7K34.3K
Net DEX-523.9K-685.3K-354.0K-510.2K-420.1K
Net VEX-2.5K-3.1K-2.0K-2.8K-2.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.030.020.040.020.02
Total Volume169.565169171169169
Total OI239.13211256255214

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-03-01$70.87$70.0040.3%11.6%26.1%24.7%37.9%14.6%-12.4%33.7K-510.2K-2.8K0.02114.62165424114
2022-03-02$73.43$70.0034.6%9.9%28.9%18.6%32.5%1.0%-5.6%39.0K-641.6K-2.9K0.02107.18165424114
2022-03-03$73.67$70.0032.6%9.3%28.7%16.5%40.1%-0.6%-4.3%40.6K-685.3K-3.1K0.02118.95165424114
2022-03-04$72.57$70.0032.2%9.2%29.3%16.1%31.2%-0.7%-3.2%38.6K-600.9K-2.8K0.02113.81165424114
2022-03-07$71.27$70.0061.2%17.5%29.8%46.8%53.3%3.5%5.6%33.9K-525.9K-2.7K0.02117.69165424114
2022-03-08$71.36$70.0031.6%13.3%29.7%15.5%44.5%7.8%2.4%35.4K-527.6K-2.7K0.02116.11165424114
2022-03-09$71.73$70.0031.4%16.1%27.9%15.2%48.7%-10.1%1.2%35.3K-535.1K-2.7K0.03116.12165524114
2022-03-10$71.79$70.0040.1%12.5%26.5%24.5%41.1%2.3%-8.3%38.6K-577.3K-2.8K0.03109.78165524115
2022-03-11$71.59$70.0034.2%18.6%26.4%18.2%58.1%21.3%4.3%38.4K-601.9K-2.9K0.03122.54165524115
2022-03-14$72.47$65.0036.3%7.9%26.6%20.4%25.2%12.2%-8.7%39.8K-643.2K-2.6K0.04100.04165624115
2022-03-15$71.79$65.0034.4%8.2%26.7%18.4%29.6%3.7%1.9%36.0K-589.8K-2.6K0.04102.48165624115
2022-03-16$72.03$65.0029.4%7.4%26.4%13.1%27.2%1.1%-2.7%36.4K-596.6K-2.5K0.04109.94165624115
2022-03-17$71.85$65.0028.2%7.4%26.3%11.8%26.1%17.9%-6.1%42.1K-574.1K-2.4K0.04101.52165624115
2022-03-18$71.57$65.0025.4%8.0%25.2%8.9%28.6%-12.3%3.9%29.4K-646.6K-2.4K0.04101.59165624115
2022-03-21$70.94$65.0032.3%9.4%24.5%16.3%30.1%3.8%5.2%30.0K-412.2K-2.3K0.02103.2916542074
2022-03-22$71.69$65.0036.8%7.7%24.9%21.0%25.3%7.1%-4.5%32.5K-481.0K-2.5K0.02109.6316542104
2022-03-23$69.40$65.0035.7%6.2%26.5%19.8%24.1%-3.0%-16.4%28.9K-438.4K-2.3K0.02106.5916542104
2022-03-24$69.99$65.0029.8%8.2%26.0%13.6%26.9%16.1%-4.8%29.2K-354.0K-2.0K0.02108.0016542104
2022-03-25$70.82$65.0037.2%7.5%24.2%21.4%26.4%-23.0%-14.4%29.7K-441.4K-2.3K0.02112.3716542104
2022-03-28$70.55$65.0034.1%8.6%24.1%18.2%26.4%-8.2%-2.5%31.5K-401.1K-2.2K0.02106.2216542104
2022-03-29$71.80$65.0041.3%7.4%22.7%25.8%24.9%1.7%-9.5%32.5K-470.7K-2.3K0.02110.8416542104
2022-03-30$70.18$65.0038.5%10.1%20.2%22.8%30.9%-0.3%-1.5%28.5K-374.4K-2.0K0.02100.8016542104
2022-03-31$70.04$65.0035.1%8.6%20.1%19.2%25.3%-10.8%-9.0%34.3K-420.1K-2.2K0.02109.9516542104