CBU Options History — June 2022

In June 2022, CBU traded between $61.61 and $67.57. ATM implied volatility averaged 35.4%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 16.7% (HV 20d: 18.7%). Max pain ranged from $65.00 to $65.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.19.

Notable Days

2022-06-17: Highest Volume — 142 contracts
2022-06-08: Largest IV drop — 56.2% change
2022-06-07: Highest IV Rank — 50.5%
2022-06-27: Largest Expected Move — 14.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$64.09	$61.61	$67.57	$66.13	$63.15
Max Pain	$65.00	$65.00	$65.00	$65.00	$65.00
ATM IV	35.4%	24.5%	56.1%	44.9%	35.7%
Expected Move	8.9%	6.5%	14.6%	12.9%	10.2%
HV 20d	18.7%	13.5%	21.9%	21.9%	20.9%
HV 60d	22.5%	21.7%	23.4%	21.7%	22.2%
IV Rank	23.8%	9.8%	50.5%	36.1%	24.2%
IV Percentile	51.2%	6.0%	96.4%	90.1%	65.5%
Term Structure	-2.5%	-27.6%	11.5%	4.0%	-6.3%
VWIV	33.1%	21.9%	60.7%	60.7%	37.2%
Skew 25d	3.3%	-28.9%	35.6%	-28.9%	8.0%
Skew 10d	2.0%	-46.5%	30.3%	-29.6%	1.0%
Call IV 25d	33.8%	13.2%	69.9%	69.9%	31.2%
Put IV 25d	37.2%	22.2%	53.5%	41.0%	39.2%
Bid-Ask Spread %	113.52	99.10	124.01	108.10	118.00
Gamma HHI	0.34	0.25	0.43	0.31	0.37
Net GEX	2.1K	-4.0K	8.6K	6.6K	-1.6K
Net DEX	12.4K	-109.2K	148.6K	-54.5K	67.3K
Net VEX	-1.0K	-1.4K	-660	-1.0K	-854
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.19	0.08	0.32	0.08	0.15
Total Volume	114.905	92	142	92	130
Total OI	153.19	132	171	132	171

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
2022-06-01	$66.13	$65.00	44.9%	12.9%	21.9%	36.1%	60.7%	-28.9%	4.0%	6.6K	-54.5K	-1.0K	0.08	108.10	85	7	103	29
2022-06-02	$67.21	$0.00	46.3%	6.8%	17.8%	37.9%	0.0%	19.2%	5.6%	8.5K	-109.2K	-1.3K	0.08	100.94	85	7	103	29
2022-06-03	$67.25	$0.00	33.8%	6.9%	14.9%	21.8%	0.0%	9.1%	-0.9%	8.1K	-77.2K	-1.0K	0.08	113.21	85	7	103	29
2022-06-06	$67.19	$0.00	50.0%	6.5%	13.9%	42.7%	0.0%	10.2%	4.2%	8.6K	-78.4K	-1.0K	0.08	115.97	85	7	103	29
2022-06-07	$67.57	$0.00	56.1%	7.7%	13.5%	50.5%	0.0%	35.6%	-8.2%	8.6K	-103.5K	-1.2K	0.08	111.52	85	7	103	29
2022-06-08	$65.99	$0.00	24.5%	7.0%	15.5%	9.8%	30.7%	-5.3%	7.9%	6.6K	-65.8K	-1.1K	0.20	99.10	85	17	103	29
2022-06-09	$64.61	$65.00	30.9%	8.9%	16.7%	18.1%	30.7%	-0.8%	0.5%	-615	59.6K	-715	0.31	108.79	85	26	103	39
2022-06-10	$63.41	$65.00	27.2%	7.8%	18.1%	13.2%	25.3%	0.5%	2.0%	-4.0K	92.1K	-869	0.31	104.47	85	26	103	49
2022-06-13	$62.69	$65.00	28.1%	8.0%	18.5%	14.3%	22.6%	6.5%	-3.5%	-2.6K	98.6K	-781	0.31	115.57	85	26	103	49
2022-06-14	$62.25	$65.00	32.8%	9.4%	18.5%	20.4%	30.3%	-2.9%	-0.7%	-3.2K	90.1K	-915	0.32	106.58	85	27	103	50
2022-06-15	$63.11	$65.00	33.5%	9.6%	18.3%	21.3%	33.1%	0.6%	-7.6%	-2.2K	73.7K	-790	0.32	124.01	85	27	103	50
2022-06-16	$61.61	$65.00	27.7%	7.9%	20.0%	13.8%	21.9%	4.8%	5.8%	-3.2K	148.6K	-660	0.32	118.25	85	27	103	50
2022-06-17	$62.13	$65.00	24.6%	7.1%	20.3%	9.8%	27.0%	9.4%	4.6%	388	121.4K	-752	0.23	119.30	115	27	103	50
2022-06-21	$62.46	$65.00	29.9%	8.6%	20.4%	16.7%	33.5%	24.3%	11.5%	3.2K	10.6K	-1.1K	0.15	114.95	113	17	131	39
2022-06-22	$62.59	$65.00	40.0%	11.5%	19.6%	29.7%	33.8%	-14.1%	-15.4%	4.3K	-21.7K	-1.3K	0.15	120.61	113	17	132	39
2022-06-23	$62.14	$65.00	31.3%	9.0%	19.6%	18.5%	31.9%	4.4%	-10.6%	4.2K	-33.7K	-1.4K	0.15	117.98	113	17	132	39
2022-06-24	$63.70	$65.00	45.3%	13.0%	21.7%	36.6%	45.2%	-14.8%	-19.6%	2.6K	15.7K	-1.1K	0.15	118.64	113	17	132	39
2022-06-27	$63.78	$65.00	50.8%	14.6%	21.1%	43.8%	50.2%	-6.2%	-27.6%	3.5K	-13.0K	-1.2K	0.15	115.66	113	17	132	39
2022-06-28	$63.56	$65.00	24.9%	7.1%	21.0%	10.2%	22.6%	8.8%	5.5%	-979	8.5K	-1.2K	0.15	115.85	113	17	132	39
2022-06-29	$63.29	$65.00	25.2%	7.2%	21.0%	10.6%	25.3%	1.8%	-3.6%	-2.1K	31.1K	-1.1K	0.15	116.35	113	17	132	39
2022-06-30	$63.15	$65.00	35.7%	10.2%	20.9%	24.2%	37.2%	8.0%	-6.3%	-1.6K	67.3K	-854	0.15	118.00	113	17	132	39