CBU Options History — April 2022

In April 2022, CBU traded between $64.46 and $70.75. ATM implied volatility averaged 36.6%, placing in the 24.0% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 16.0% (HV 20d: 20.6%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 0.08.

Notable Days

2022-04-01: Highest Volume — 174 contracts
2022-04-11: Largest IV spike — 53.3% change
2022-04-12: Highest IV Rank — 47.8%
2022-04-27: Largest Expected Move — 13.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$68.22	$64.46	$70.75	$70.75	$64.46
Max Pain	$65.25	$65.00	$70.00	$65.00	$65.00
ATM IV	36.6%	29.8%	54.0%	36.7%	29.8%
Expected Move	9.4%	7.1%	13.1%	9.1%	8.6%
HV 20d	20.6%	19.1%	23.4%	20.0%	22.0%
HV 60d	24.4%	22.7%	25.6%	25.6%	23.8%
IV Rank	24.0%	14.9%	47.8%	20.9%	16.6%
IV Percentile	69.3%	42.5%	97.2%	75.4%	42.5%
Term Structure	-6.2%	-24.0%	-0.0%	-6.9%	-1.4%
VWIV	32.9%	23.5%	38.5%	29.5%	29.8%
Skew 25d	8.1%	-7.8%	24.6%	6.2%	2.1%
Skew 10d	11.7%	-10.8%	37.7%	-6.1%	8.0%
Call IV 25d	38.4%	31.0%	54.7%	43.2%	38.1%
Put IV 25d	46.5%	34.6%	56.9%	49.3%	40.2%
Bid-Ask Spread %	106.73	80.28	116.06	104.65	103.81
Gamma HHI	0.41	0.31	0.50	0.49	0.31
Net GEX	23.0K	11.3K	31.1K	29.7K	11.3K
Net DEX	-259.4K	-429.3K	-54.3K	-388.4K	-54.3K
Net VEX	-1.8K	-2.1K	-1.2K	-2.1K	-1.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.08	0.05	0.22	0.05	0.11
Total Volume	145.15	0	174	174	147
Total OI	234.95	214	253	214	253

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
2022-04-01	$70.75	$65.00	36.7%	9.1%	20.0%	20.9%	29.5%	6.2%	-6.9%	29.7K	-388.4K	-2.1K	0.05	104.65	165	9	210	4
2022-04-04	$69.85	$65.00	33.9%	8.1%	19.5%	18.0%	27.5%	13.5%	-0.7%	30.2K	-334.7K	-1.8K	0.05	108.68	165	9	210	9
2022-04-05	$69.05	$65.00	36.7%	8.5%	19.8%	20.9%	31.6%	3.9%	-0.2%	26.6K	-299.0K	-1.8K	0.05	103.72	165	9	210	9
2022-04-06	$68.73	$65.00	40.8%	7.1%	19.6%	25.2%	23.5%	5.3%	-2.9%	31.1K	-429.3K	-2.1K	0.05	112.92	165	9	210	9
2022-04-07	$68.42	$65.00	31.1%	9.9%	19.6%	14.9%	35.9%	24.3%	-6.2%	24.3K	-353.5K	-2.0K	0.06	106.64	151	9	210	9
2022-04-08	$67.75	$65.00	33.4%	8.8%	19.8%	17.4%	36.4%	12.3%	-4.2%	24.3K	-322.6K	-1.8K	0.07	110.02	131	9	211	9
2022-04-11	$68.06	$65.00	51.2%	9.3%	19.2%	43.7%	33.6%	1.3%	-5.9%	26.9K	-301.8K	-1.7K	0.07	99.39	131	9	211	8
2022-04-12	$67.81	$65.00	54.0%	8.3%	19.1%	47.8%	36.7%	14.3%	-9.8%	26.6K	-294.5K	-1.6K	0.06	116.06	141	9	211	8
2022-04-13	$68.70	$65.00	33.0%	9.5%	19.8%	20.7%	33.5%	4.2%	-5.3%	27.1K	-287.9K	-1.7K	0.06	110.01	141	9	221	8
2022-04-14	$67.89	$65.00	30.3%	8.7%	20.1%	17.3%	34.7%	8.7%	-4.2%	25.2K	-267.4K	-1.6K	0.22	109.65	141	31	221	8
2022-04-18	$67.28	$70.00	41.9%	12.0%	20.2%	32.3%	34.5%	11.1%	-24.0%	20.5K	-222.9K	-2.0K	0.07	105.41	133	9	215	30
2022-04-19	$69.41	$65.00	36.6%	10.5%	23.4%	25.3%	35.1%	20.8%	-10.4%	22.6K	-261.1K	-2.0K	0.07	111.18	133	9	216	31
2022-04-20	$70.03	$65.00	30.1%	8.6%	23.3%	17.0%	32.6%	-2.3%	-0.0%	24.3K	-241.1K	-1.9K	0.07	112.99	133	9	216	31
2022-04-21	$69.26	$65.00	33.2%	9.5%	20.6%	21.0%	34.3%	4.0%	-8.4%	24.2K	-249.0K	-1.9K	0.07	93.42	133	9	216	31
2022-04-22	$68.15	$65.00	37.4%	10.7%	21.1%	26.3%	38.5%	-7.8%	-6.4%	23.2K	-259.2K	-2.1K	0.08	80.28	133	10	216	31
2022-04-25	$68.82	$65.00	32.6%	9.3%	20.9%	20.1%	34.8%	5.7%	-9.9%	17.3K	-208.5K	-1.8K	0.08	111.77	133	10	216	32
2022-04-26	$67.12	$65.00	30.6%	8.8%	22.5%	17.6%	30.2%	4.8%	-4.9%	15.7K	-167.2K	-1.7K	0.11	112.76	133	14	216	37
2022-04-27	$66.62	$65.00	45.6%	13.1%	21.3%	36.9%	0.0%	24.6%	-11.8%	14.1K	-113.0K	-1.5K	0.00	111.75	0	0	216	37
2022-04-28	$66.32	$65.00	33.1%	9.5%	20.1%	20.9%	32.1%	5.9%	-1.5%	15.2K	-133.3K	-1.6K	0.11	109.51	133	14	216	37
2022-04-29	$64.46	$65.00	29.8%	8.6%	22.0%	16.6%	29.8%	2.1%	-1.4%	11.3K	-54.3K	-1.2K	0.11	103.81	133	14	216	37