CBU Options History — May 2022

In May 2022, CBU traded between $63.03 and $66.77. ATM implied volatility averaged 42.2%, placing in the 32.6% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 14.9% (HV 20d: 27.3%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.16.

Notable Days

2022-05-16: Highest Volume — 183 contracts
2022-05-11: Largest IV drop — 46.3% change
2022-05-10: Highest IV Rank — 67.3%
2022-05-04: Largest Expected Move — 14.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$64.40	$63.03	$66.77	$63.03	$66.01
Max Pain	$64.52	$60.00	$65.00	$65.00	$65.00
ATM IV	42.2%	31.1%	69.1%	33.6%	44.0%
Expected Move	10.9%	8.9%	14.6%	9.6%	12.6%
HV 20d	27.3%	22.3%	30.2%	22.3%	22.8%
HV 60d	24.4%	22.0%	25.8%	24.2%	22.0%
IV Rank	32.6%	18.2%	67.3%	21.5%	34.9%
IV Percentile	80.3%	42.5%	98.8%	64.7%	89.7%
Term Structure	-6.2%	-21.3%	4.5%	-3.5%	2.1%
VWIV	40.1%	27.3%	53.8%	36.9%	53.8%
Skew 25d	3.1%	-21.1%	23.7%	1.7%	-12.2%
Skew 10d	2.1%	-23.5%	38.4%	-7.8%	-23.5%
Call IV 25d	44.8%	35.0%	67.3%	40.4%	60.9%
Put IV 25d	47.9%	37.2%	91.0%	42.1%	48.7%
Bid-Ask Spread %	105.57	93.51	118.25	113.45	110.71
Gamma HHI	0.31	0.26	0.34	0.31	0.32
Net GEX	8.8K	4.8K	16.7K	7.9K	5.8K
Net DEX	-63.2K	-174.5K	52.6K	-27.7K	-32.1K
Net VEX	-1.2K	-1.7K	-916	-1.1K	-916
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.16	0.08	0.26	0.13	0.08
Total Volume	145.143	92	183	150	92
Total OI	231.381	132	297	253	132

Daily Data (21 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
2022-05-02	$63.03	$65.00	33.6%	9.6%	22.3%	21.5%	36.9%	1.7%	-3.5%	7.9K	-27.7K	-1.1K	0.13	113.45	133	17	216	37
2022-05-03	$64.20	$65.00	36.8%	10.6%	23.7%	25.7%	36.9%	3.0%	-4.7%	7.1K	-17.9K	-1.2K	0.13	113.09	133	17	216	40
2022-05-04	$66.77	$65.00	50.9%	14.6%	28.0%	43.8%	45.9%	23.7%	-7.5%	16.7K	-174.5K	-1.7K	0.13	106.05	134	17	216	40
2022-05-05	$65.07	$60.00	45.0%	9.1%	29.3%	36.2%	32.4%	0.5%	0.6%	10.5K	-50.2K	-1.1K	0.13	101.01	134	17	217	40
2022-05-06	$64.22	$60.00	45.3%	9.5%	29.5%	36.6%	27.3%	15.7%	-10.2%	9.9K	-97.4K	-1.5K	0.13	98.17	134	17	217	40
2022-05-09	$64.97	$65.00	64.6%	9.4%	29.9%	61.6%	39.1%	0.8%	0.6%	12.6K	-111.2K	-1.4K	0.13	100.64	134	17	216	40
2022-05-10	$64.14	$65.00	69.1%	11.3%	30.0%	67.3%	39.8%	-0.2%	-6.6%	14.1K	-127.4K	-1.3K	0.19	93.51	134	26	216	40
2022-05-11	$63.32	$65.00	37.1%	10.6%	30.2%	26.0%	39.7%	4.1%	-2.5%	9.7K	-50.7K	-1.3K	0.19	95.45	136	26	216	49
2022-05-12	$63.53	$65.00	41.3%	11.8%	29.7%	31.4%	37.3%	2.7%	-18.6%	5.9K	-51.3K	-1.5K	0.25	102.60	146	36	218	49
2022-05-13	$63.62	$65.00	38.0%	10.9%	29.6%	27.1%	38.0%	18.9%	-8.8%	8.8K	-45.7K	-1.3K	0.25	103.34	146	36	228	59
2022-05-16	$63.07	$65.00	42.6%	12.2%	29.6%	33.1%	43.4%	11.3%	-4.9%	9.2K	-52.8K	-1.2K	0.24	100.27	147	36	228	59
2022-05-17	$64.01	$65.00	33.2%	9.5%	27.6%	20.9%	38.1%	16.9%	-4.7%	10.8K	-77.7K	-1.3K	0.24	106.85	147	36	229	59
2022-05-18	$63.49	$65.00	41.2%	11.8%	27.2%	31.3%	37.6%	10.2%	-14.3%	8.1K	-29.8K	-1.2K	0.24	100.80	147	36	229	59
2022-05-19	$63.33	$65.00	38.3%	11.0%	27.1%	27.5%	42.3%	-8.2%	-4.4%	11.1K	-93.5K	-1.2K	0.24	105.57	147	36	238	59
2022-05-20	$63.53	$65.00	32.2%	9.2%	26.9%	19.7%	35.3%	-1.1%	4.5%	4.8K	52.6K	-996	0.26	104.77	138	36	238	59
2022-05-23	$64.42	$65.00	43.3%	12.4%	27.2%	34.0%	37.2%	4.4%	-11.7%	5.7K	-83.8K	-1.3K	0.08	103.60	85	7	103	29
2022-05-24	$64.71	$65.00	46.0%	13.2%	26.0%	37.5%	37.8%	5.7%	-21.3%	5.5K	-73.1K	-1.3K	0.08	106.39	85	7	103	29
2022-05-25	$64.95	$65.00	36.7%	10.5%	26.0%	25.5%	47.9%	-17.6%	0.3%	6.1K	-36.8K	-990	0.08	116.47	85	7	103	29
2022-05-26	$65.81	$65.00	31.1%	8.9%	26.5%	18.2%	46.4%	-21.1%	-7.2%	7.3K	-72.6K	-1.2K	0.08	116.00	85	7	103	29
2022-05-27	$66.18	$65.00	36.7%	10.5%	24.4%	25.5%	48.7%	5.0%	-7.0%	7.5K	-73.9K	-1.2K	0.08	118.25	85	7	103	29
2022-05-31	$66.01	$65.00	44.0%	12.6%	22.8%	34.9%	53.8%	-12.2%	2.1%	5.8K	-32.1K	-916	0.08	110.71	85	7	103	29