CBU Options History — September 2022

In September 2022, CBU traded between $60.31 and $80.82. ATM implied volatility averaged 43.5%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 101.6% (HV 20d: 145.1%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.26.

Notable Days

2022-09-29: Highest Volume — 235 contracts
2022-09-06: Largest IV spike — 110.3% change
2022-09-14: Highest IV Rank — 46.5%
2022-09-14: Largest Expected Move — 28.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$65.39	$60.31	$80.82	$65.05	$60.31
Max Pain	$65.48	$65.00	$70.00	$70.00	$65.00
ATM IV	43.5%	22.0%	99.9%	37.1%	26.4%
Expected Move	10.2%	6.3%	28.6%	10.6%	7.6%
HV 20d	145.1%	125.7%	187.9%	166.0%	126.8%
HV 60d	109.0%	95.5%	119.2%	95.7%	119.2%
IV Rank	15.0%	3.1%	46.5%	11.5%	5.5%
IV Percentile	54.3%	2.8%	99.6%	75.0%	17.1%
Term Structure	-4.9%	-24.1%	10.5%	-24.1%	10.5%
VWIV	33.1%	23.7%	43.8%	36.6%	43.8%
Skew 25d	4.0%	-23.0%	50.9%	-5.7%	5.4%
Skew 10d	7.4%	-17.3%	42.7%	-4.5%	37.2%
Call IV 25d	36.1%	16.9%	53.4%	30.6%	42.5%
Put IV 25d	40.1%	22.0%	104.1%	24.9%	47.9%
Bid-Ask Spread %	116.97	106.14	126.91	126.91	116.86
Gamma HHI	0.30	0.28	0.41	0.29	0.30
Net GEX	15.4K	9.6K	19.7K	19.2K	11.3K
Net DEX	-204.7K	-1.1M	66.6K	-182.1K	-34.0K
Net VEX	-2.7K	-4.4K	-1.5K	-3.1K	-2.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.26	0.00	0.37	0.26	0.37
Total Volume	95.333	0	235	0	235
Total OI	276	268	304	278	304

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
2022-09-01	$65.05	$70.00	37.1%	10.6%	166.0%	11.5%	0.0%	-5.7%	-24.1%	19.2K	-182.1K	-3.1K	0.00	126.91	0	0	231	47
2022-09-02	$64.56	$70.00	27.8%	8.0%	166.0%	6.3%	0.0%	26.6%	-3.9%	18.3K	-154.5K	-2.8K	0.00	124.64	0	0	231	47
2022-09-06	$63.27	$65.00	58.5%	8.2%	166.1%	23.4%	36.6%	5.8%	-7.2%	17.4K	-179.8K	-3.0K	0.26	119.62	175	46	231	47
2022-09-07	$63.89	$65.00	34.1%	9.2%	166.1%	9.8%	33.5%	2.8%	-3.2%	16.0K	-77.0K	-2.5K	0.26	106.49	178	46	231	47
2022-09-08	$64.17	$65.00	50.6%	7.9%	165.9%	19.0%	0.0%	0.9%	-4.8%	15.9K	-67.9K	-2.4K	0.00	124.45	0	0	231	47
2022-09-09	$65.01	$65.00	54.3%	8.2%	166.0%	21.1%	0.0%	1.3%	-7.7%	19.6K	-118.1K	-2.7K	0.00	125.72	0	0	231	47
2022-09-12	$65.19	$65.00	66.1%	8.2%	165.8%	27.6%	0.0%	1.0%	-3.5%	17.5K	-74.6K	-2.3K	0.00	125.25	0	0	231	47
2022-09-13	$63.07	$65.00	80.4%	9.0%	166.1%	35.6%	37.5%	-23.0%	-5.9%	16.9K	-229.1K	-3.1K	0.26	120.08	178	46	231	47
2022-09-14	$80.25	$65.00	99.9%	28.6%	187.9%	46.5%	0.0%	35.5%	-21.1%	10.0K	-1.1M	-4.4K	0.00	121.30	0	0	231	47
2022-09-15	$80.82	$65.00	95.9%	27.5%	141.5%	44.3%	0.0%	50.9%	2.4%	9.6K	-1.1M	-4.4K	0.00	116.83	0	0	231	47
2022-09-16	$63.52	$65.00	23.9%	6.9%	125.7%	4.1%	27.4%	-1.9%	2.7%	14.5K	-94.2K	-2.6K	0.26	111.32	178	46	231	47
2022-09-19	$65.42	$65.00	25.1%	7.2%	126.2%	4.8%	0.0%	9.6%	1.2%	18.2K	-156.6K	-2.7K	0.00	106.14	0	0	221	47
2022-09-20	$66.00	$65.00	27.1%	7.8%	126.0%	5.9%	0.0%	-4.3%	-4.1%	19.7K	-163.9K	-2.7K	0.00	110.86	0	0	221	47
2022-09-21	$64.75	$65.00	29.5%	8.4%	126.1%	7.2%	0.0%	-12.9%	-10.2%	18.4K	-37.9K	-2.1K	0.00	117.46	0	0	221	47
2022-09-22	$64.31	$65.00	26.4%	7.6%	126.1%	5.5%	0.0%	-4.5%	2.2%	14.8K	-185.0K	-2.9K	0.00	118.06	2	0	221	47
2022-09-23	$63.85	$65.00	32.5%	9.3%	126.1%	8.9%	0.0%	-9.6%	-8.9%	16.3K	-135.5K	-2.7K	0.00	113.41	0	0	223	47
2022-09-26	$64.28	$65.00	39.3%	11.3%	126.1%	12.7%	35.2%	-6.3%	-19.5%	15.6K	-202.3K	-2.9K	0.28	119.82	164	46	223	47
2022-09-27	$62.01	$65.00	31.5%	9.0%	126.5%	8.4%	31.3%	8.2%	-3.8%	12.9K	-49.9K	-2.0K	0.28	109.02	163	46	223	47
2022-09-28	$62.53	$65.00	24.9%	7.1%	126.5%	4.7%	23.7%	4.6%	-2.2%	11.4K	-6.5K	-2.0K	0.27	111.66	172	46	224	47
2022-09-29	$60.98	$65.00	22.0%	6.3%	126.8%	3.1%	29.0%	0.1%	8.5%	10.1K	66.6K	-1.5K	0.37	110.41	172	63	234	47
2022-09-30	$60.31	$65.00	26.4%	7.6%	126.8%	5.5%	43.8%	5.4%	10.5%	11.3K	-34.0K	-2.2K	0.37	116.86	172	63	234	70