CBU Options History — July 2022

In July 2022, CBU traded between $61.72 and $67.33. ATM implied volatility averaged 33.5%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 14.5% (HV 20d: 19.1%). Max pain ranged from $65.00 to $65.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.17.

Notable Days

2022-07-14: Highest Volume — 147 contracts
2022-07-06: Largest IV spike — 71.5% change
2022-07-06: Highest IV Rank — 54.7%
2022-07-19: Largest Expected Move — 10.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$64.58	$61.72	$67.33	$64.30	$67.33
Max Pain	$65.00	$65.00	$65.00	$65.00	$65.00
ATM IV	33.5%	23.5%	59.3%	35.5%	27.9%
Expected Move	8.0%	6.6%	10.6%	10.2%	8.0%
HV 20d	19.1%	16.7%	21.3%	21.1%	18.0%
HV 60d	22.0%	20.3%	22.6%	22.4%	20.3%
IV Rank	21.4%	8.5%	54.7%	23.9%	14.1%
IV Percentile	42.7%	2.4%	97.2%	65.5%	24.2%
Term Structure	-2.5%	-14.6%	11.6%	-14.6%	1.6%
VWIV	34.4%	24.5%	50.4%	28.2%	36.0%
Skew 25d	9.3%	0.0%	21.6%	0.0%	8.7%
Skew 10d	6.1%	-19.1%	29.0%	-16.5%	-18.1%
Call IV 25d	25.3%	16.7%	30.0%	30.0%	25.4%
Put IV 25d	34.6%	28.1%	50.5%	30.0%	34.2%
Bid-Ask Spread %	109.93	93.86	123.13	108.65	119.64
Gamma HHI	0.30	0.22	0.39	0.30	0.33
Net GEX	4.3K	-3.2K	11.4K	1.7K	11.4K
Net DEX	-34.1K	-144.3K	81.3K	-9.3K	-144.3K
Net VEX	-1.1K	-1.6K	-797	-1.1K	-1.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.17	0.10	0.31	0.15	0.31
Total Volume	127.65	103	147	131	127
Total OI	186.4	171	223	171	223

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
2022-07-01	$64.30	$65.00	35.5%	10.2%	21.1%	23.9%	28.2%	0.0%	-14.6%	1.7K	-9.3K	-1.1K	0.15	108.65	114	17	132	39
2022-07-05	$64.06	$65.00	34.6%	8.0%	21.1%	22.7%	26.8%	1.8%	-3.7%	-641	16.4K	-1.0K	0.15	98.00	114	17	133	39
2022-07-06	$64.39	$65.00	59.3%	8.0%	21.3%	54.7%	48.1%	20.9%	-8.7%	2.6K	5.4K	-1.1K	0.15	112.14	114	17	133	39
2022-07-07	$63.73	$65.00	52.0%	7.8%	21.3%	45.3%	26.0%	5.0%	-5.4%	178	-664	-1.1K	0.15	114.94	114	17	133	40
2022-07-08	$64.05	$65.00	31.5%	8.1%	20.0%	18.7%	27.6%	19.1%	-9.3%	-1.9K	30.0K	-957	0.15	114.54	116	17	133	40
2022-07-11	$63.59	$65.00	41.0%	7.4%	18.7%	31.1%	34.7%	2.3%	-2.5%	-3.2K	28.3K	-958	0.14	110.79	125	17	135	40
2022-07-12	$63.24	$65.00	54.7%	6.6%	17.6%	48.8%	41.8%	21.6%	-0.6%	2.6K	-5.2K	-1.0K	0.14	109.67	125	17	145	40
2022-07-13	$62.44	$65.00	23.5%	6.8%	17.7%	8.5%	28.1%	5.2%	5.3%	-276	81.3K	-797	0.14	104.50	125	17	145	40
2022-07-14	$61.72	$65.00	25.3%	7.2%	18.0%	10.7%	30.8%	14.6%	11.6%	1.7K	38.0K	-897	0.18	110.28	125	22	145	40
2022-07-15	$63.04	$65.00	29.3%	8.4%	19.0%	16.0%	42.1%	5.9%	-4.5%	4.6K	39.2K	-1.0K	0.19	106.93	117	22	145	45
2022-07-18	$63.01	$65.00	31.0%	8.9%	16.7%	18.1%	43.9%	3.6%	-5.6%	4.4K	-21.2K	-928	0.10	106.16	116	12	145	35
2022-07-19	$64.96	$65.00	37.1%	10.6%	19.6%	26.0%	50.4%	12.3%	-6.6%	8.8K	-78.7K	-1.1K	0.13	111.28	91	12	149	35
2022-07-20	$65.44	$65.00	29.5%	8.5%	19.6%	16.2%	40.9%	4.8%	-8.1%	8.4K	-93.3K	-1.1K	0.13	109.60	91	12	149	35
2022-07-21	$65.43	$65.00	24.7%	7.1%	19.7%	9.9%	34.6%	9.2%	-3.3%	6.2K	-70.0K	-1.0K	0.13	104.85	91	12	149	35
2022-07-22	$65.07	$65.00	25.8%	7.4%	19.6%	11.4%	29.5%	9.6%	0.5%	5.8K	-67.7K	-1.0K	0.13	93.86	91	12	149	35
2022-07-25	$65.92	$65.00	26.7%	7.7%	18.2%	12.6%	33.8%	7.3%	3.2%	8.9K	-111.7K	-964	0.13	114.42	96	12	149	35
2022-07-26	$66.22	$65.00	26.2%	7.5%	18.2%	11.9%	26.4%	3.2%	4.5%	7.7K	-106.6K	-1.0K	0.27	104.41	111	30	151	35
2022-07-27	$66.75	$65.00	28.9%	8.3%	18.2%	15.4%	33.1%	17.6%	-6.4%	8.0K	-100.0K	-1.5K	0.27	123.13	111	30	166	53
2022-07-28	$66.87	$65.00	26.5%	7.6%	18.0%	12.2%	24.5%	13.4%	3.3%	9.7K	-111.2K	-1.6K	0.31	120.81	97	30	166	53
2022-07-29	$67.33	$65.00	27.9%	8.0%	18.0%	14.1%	36.0%	8.7%	1.6%	11.4K	-144.3K	-1.6K	0.31	119.64	97	30	170	53