CBU Options History — October 2022

In October 2022, CBU traded between $59.90 and $63.98. ATM implied volatility averaged 33.1%, placing in the 9.3% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 33.8% (HV 20d: 66.9%). 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 9 of 21 days. Put/call ratio averaged 0.29.

Notable Days

2022-10-31: Highest Volume — 244 contracts
2022-10-17: Largest IV spike — 83.2% change
2022-10-11: Highest IV Rank — 18.5%
2022-10-28: Largest Expected Move — 12.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$61.73	$59.90	$63.98	$61.14	$62.60
Max Pain	$66.67	$65.00	$70.00	$65.00	$65.00
ATM IV	33.1%	20.7%	49.6%	26.9%	31.2%
Expected Move	9.1%	5.9%	12.7%	7.7%	8.9%
HV 20d	66.9%	25.1%	127.1%	126.9%	27.8%
HV 60d	119.4%	119.1%	119.7%	119.2%	119.7%
IV Rank	9.3%	2.3%	18.5%	5.8%	8.2%
IV Percentile	48.6%	1.6%	88.9%	21.0%	42.9%
Term Structure	-2.9%	-18.7%	11.5%	2.8%	-4.9%
VWIV	36.8%	25.3%	47.9%	39.0%	32.6%
Skew 25d	5.3%	-16.4%	30.0%	-11.1%	30.0%
Skew 10d	8.5%	-26.2%	39.6%	14.0%	23.4%
Call IV 25d	37.4%	25.3%	57.6%	50.6%	29.4%
Put IV 25d	42.7%	30.4%	67.1%	39.5%	59.3%
Bid-Ask Spread %	112.48	94.69	121.63	112.38	116.44
Gamma HHI	0.30	0.27	0.37	0.32	0.30
Net GEX	13.4K	7.5K	26.3K	7.5K	26.3K
Net DEX	-94.9K	-281.5K	73.1K	73.1K	-281.5K
Net VEX	-1.8K	-2.7K	-1.2K	-1.2K	-2.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.29	0.10	0.39	0.37	0.15
Total Volume	231.333	191	244	236	244
Total OI	283.905	243	306	304	281

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
2022-10-03	$61.14	$65.00	26.9%	7.7%	126.9%	5.8%	39.0%	-11.1%	2.8%	7.5K	73.1K	-1.2K	0.37	112.38	172	64	234	70
2022-10-04	$62.38	$65.00	26.5%	7.6%	127.0%	5.6%	41.8%	0.4%	-4.6%	15.5K	-169.5K	-2.7K	0.37	121.63	172	64	234	71
2022-10-05	$62.57	$65.00	40.0%	11.5%	127.0%	13.1%	45.0%	-16.4%	-18.7%	13.2K	-83.4K	-2.2K	0.37	116.81	172	64	234	71
2022-10-06	$62.05	$70.00	23.3%	7.6%	127.0%	3.8%	27.6%	2.4%	5.5%	12.5K	-4.8K	-1.9K	0.37	107.26	172	64	234	71
2022-10-07	$60.67	$70.00	41.0%	8.4%	127.1%	13.7%	33.0%	5.2%	-8.7%	10.5K	12.0K	-1.8K	0.37	111.75	172	64	234	71
2022-10-10	$60.99	$70.00	40.7%	9.1%	127.1%	13.5%	32.4%	-0.9%	-4.4%	7.9K	26.9K	-1.8K	0.37	108.00	172	64	234	71
2022-10-11	$61.38	$70.00	49.6%	11.1%	126.6%	18.5%	39.5%	6.6%	1.4%	12.7K	-91.2K	-2.2K	0.37	112.45	172	64	234	71
2022-10-12	$61.31	$70.00	36.1%	10.4%	88.7%	10.9%	39.8%	1.5%	2.5%	12.5K	-104.3K	-2.2K	0.37	121.58	172	64	234	71
2022-10-13	$63.09	$70.00	34.6%	9.9%	89.6%	10.1%	28.6%	2.4%	-10.7%	12.5K	-27.0K	-1.7K	0.39	107.14	164	64	234	71
2022-10-14	$62.76	$70.00	20.7%	5.9%	27.4%	2.3%	28.5%	9.9%	1.5%	12.6K	-30.8K	-1.8K	0.36	107.64	179	64	235	71
2022-10-17	$63.61	$65.00	37.9%	10.8%	25.6%	11.9%	39.8%	-10.2%	-15.9%	11.9K	-130.2K	-1.7K	0.36	115.73	179	64	222	53
2022-10-18	$63.98	$65.00	29.6%	8.5%	25.4%	7.3%	37.4%	-3.5%	-3.5%	16.0K	-220.4K	-2.1K	0.36	112.08	179	64	222	53
2022-10-19	$63.04	$65.00	29.8%	8.5%	25.1%	7.4%	41.0%	-5.3%	-9.4%	16.7K	-209.4K	-2.0K	0.36	115.42	179	64	222	53
2022-10-20	$59.90	$65.00	32.1%	9.2%	30.7%	8.7%	47.9%	14.8%	-4.1%	10.2K	-80.6K	-1.6K	0.35	109.50	179	62	222	53
2022-10-21	$61.00	$65.00	29.8%	8.5%	31.6%	7.4%	29.4%	14.5%	2.6%	13.0K	-74.6K	-1.4K	0.30	94.69	185	55	222	53
2022-10-24	$60.57	$65.00	26.0%	7.4%	31.4%	5.3%	47.0%	10.8%	3.2%	11.8K	-67.5K	-1.3K	0.10	113.18	173	18	215	28
2022-10-25	$60.21	$65.00	22.7%	6.5%	29.0%	3.5%	25.3%	4.1%	11.5%	11.1K	-67.9K	-1.5K	0.10	116.23	175	18	216	28
2022-10-26	$60.42	$65.00	34.9%	10.0%	28.8%	10.3%	42.9%	22.8%	-2.1%	11.3K	-57.6K	-1.2K	0.13	107.87	175	22	216	28
2022-10-27	$60.80	$65.00	37.9%	10.9%	27.6%	11.9%	36.7%	14.9%	1.2%	12.5K	-144.5K	-1.7K	0.10	116.39	210	22	216	28
2022-10-28	$61.85	$65.00	44.4%	12.7%	27.9%	15.5%	36.8%	18.0%	-7.0%	23.7K	-259.2K	-2.1K	0.10	117.97	210	22	253	28
2022-10-31	$62.60	$65.00	31.2%	8.9%	27.8%	8.2%	32.6%	30.0%	-4.9%	26.3K	-281.5K	-2.0K	0.15	116.44	212	32	253	28