CBU Options History — August 2022

In August 2022, CBU traded between $52.40 and $72.60. ATM implied volatility averaged 33.7%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded below realized volatility by 53.2% (HV 20d: 87.0%). 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 10 of 23 days. Put/call ratio averaged 0.22.

Notable Days

  • 2022-08-31: Highest Volume — 216 contracts
  • 2022-08-17: Largest IV spike — 967.3% change
  • 2022-08-17: Highest IV Rank — 100.0%
  • 2022-08-17: Largest Expected Move — 56.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.05$52.40$72.60$68.31$65.58
Max Pain$69.25$65.00$70.00$65.00$70.00
ATM IV33.7%16.5%195.8%26.5%31.0%
Expected Move9.6%5.3%56.1%7.6%8.9%
HV 20d87.0%15.4%166.3%17.6%166.1%
HV 60d54.3%18.1%95.7%18.9%95.7%
IV Rank13.1%0.0%100.0%12.3%8.1%
IV Percentile25.9%0.0%100.0%16.3%44.8%
Term Structure-7.4%-162.6%11.1%11.1%-11.7%
VWIV30.7%25.7%43.5%26.7%43.5%
Skew 25d-1.8%-34.7%17.4%-3.1%0.6%
Skew 10d6.1%-24.4%70.3%65.2%1.3%
Call IV 25d33.7%14.3%113.2%22.8%42.3%
Put IV 25d31.8%19.8%78.5%19.8%42.9%
Bid-Ask Spread %117.43106.90126.06114.92122.92
Gamma HHI0.380.280.530.410.28
Net GEX22.1K1.3K46.8K12.9K20.3K
Net DEX-305.0K-771.9K-35.2K-176.4K-167.7K
Net VEX-2.3K-4.0K-1.2K-1.5K-3.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.220.001.000.310.27
Total Volume53.6090216127216
Total OI254.304223380223278

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-08-01$68.31$65.0026.5%7.6%17.6%12.3%26.7%-3.1%11.1%12.9K-176.4K-1.5K0.31114.92973017053
2022-08-02$68.04$65.0026.9%7.7%17.6%12.9%31.0%-4.1%9.2%12.4K-173.2K-1.5K0.31112.06973017053
2022-08-03$69.25$65.0030.1%8.6%18.4%16.9%26.8%-9.6%4.4%16.0K-228.0K-1.5K0.25114.981183017053
2022-08-04$67.79$0.0033.3%7.7%19.8%21.1%0.0%17.4%-2.0%13.3K-204.3K-1.6K0.29115.741183417053
2022-08-05$68.28$0.0021.6%8.0%19.9%6.0%0.0%-1.6%-5.0%15.0K-182.7K-1.5K0.32116.461053417057
2022-08-08$68.24$0.0044.4%8.3%19.6%35.5%25.7%-8.3%-2.3%17.2K-250.9K-1.6K0.30117.181153417357
2022-08-09$68.06$70.0016.5%7.7%19.4%0.0%0.0%-6.4%-8.1%18.9K-203.2K-1.5K0.00121.040018357
2022-08-10$69.46$70.0020.4%5.8%19.3%5.0%0.0%-8.1%6.4%22.1K-288.8K-1.6K0.00108.7517018357
2022-08-11$70.19$70.0026.7%7.6%18.2%13.1%0.0%-1.1%-4.8%25.4K-357.5K-1.7K0.00112.070018957
2022-08-12$71.40$70.0023.4%6.7%17.9%8.8%0.0%15.1%-4.2%26.8K-445.6K-1.7K0.00116.252018957
2022-08-15$71.80$70.0025.4%7.3%17.7%11.5%0.0%-17.3%-5.4%27.0K-423.8K-1.7K0.00126.060018757
2022-08-16$72.60$70.0018.4%5.3%15.4%2.4%0.0%13.9%3.4%23.6K-503.2K-1.5K0.00122.862018757
2022-08-17$52.40$70.00195.8%56.1%118.7%100.0%0.0%-34.7%-162.6%1.3K-35.2K-1.2K0.00124.5467018857
2022-08-18$71.73$70.0023.2%6.6%165.6%3.7%0.0%3.8%1.7%36.1K-582.8K-2.6K0.00113.7072025257
2022-08-19$70.51$70.0024.6%7.1%165.8%4.5%0.0%7.6%5.6%46.8K-771.9K-4.0K0.00124.211032357
2022-08-22$68.62$70.0020.6%5.9%166.1%2.3%0.0%6.6%-0.7%29.6K-402.2K-3.6K0.00106.9001222024
2022-08-23$68.05$70.0023.7%6.8%166.1%4.0%0.0%5.0%1.8%25.0K-361.7K-3.7K0.00117.900022036
2022-08-24$67.46$70.0021.5%6.2%166.2%2.8%0.0%-0.5%-0.6%27.1K-267.4K-3.3K1.00114.561122036
2022-08-25$67.92$70.0033.6%9.6%166.2%9.5%0.0%-14.0%-7.2%25.8K-325.5K-3.4K0.00121.510022137
2022-08-26$67.47$70.0035.3%10.1%166.2%10.5%0.0%-0.1%-8.8%24.7K-306.5K-3.5K0.00117.640022137
2022-08-29$65.97$70.0025.9%7.4%166.3%5.2%0.0%2.0%5.5%20.7K-135.1K-2.7K0.00114.610023147
2022-08-30$65.95$70.0027.1%7.8%166.3%5.9%0.0%-4.7%4.3%20.9K-220.7K-3.4K0.00123.960023147
2022-08-31$65.58$70.0031.0%8.9%166.1%8.1%43.5%0.6%-11.7%20.3K-167.7K-3.0K0.27122.921704623147