CBU Options History — November 2022

In November 2022, CBU traded between $61.86 and $65.39. ATM implied volatility averaged 35.9%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 7.9% (HV 20d: 28.1%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.20.

Notable Days

2022-11-17: Highest Volume — 234 contracts
2022-11-03: Largest IV spike — 71.5% change
2022-11-07: Highest IV Rank — 22.0%
2022-11-30: Largest Expected Move — 13.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$63.98	$61.86	$65.39	$62.78	$64.84
Max Pain	$62.50	$60.00	$65.00	$65.00	$65.00
ATM IV	35.9%	23.1%	56.0%	23.1%	45.3%
Expected Move	9.6%	6.6%	13.0%	6.6%	13.0%
HV 20d	28.1%	25.3%	32.2%	26.9%	27.6%
HV 60d	91.2%	75.2%	119.7%	119.7%	75.3%
IV Rank	10.8%	3.7%	22.0%	3.7%	16.0%
IV Percentile	57.6%	4.4%	94.4%	4.4%	85.7%
Term Structure	-5.2%	-23.0%	6.9%	-1.7%	-21.0%
VWIV	33.6%	22.3%	55.0%	29.8%	25.8%
Skew 25d	-5.7%	-25.7%	37.1%	37.1%	-23.2%
Skew 10d	9.8%	-22.1%	45.7%	45.7%	-10.7%
Call IV 25d	50.6%	24.8%	64.6%	29.7%	61.4%
Put IV 25d	44.9%	32.3%	68.3%	66.9%	38.2%
Bid-Ask Spread %	120.81	110.60	129.28	116.41	128.96
Gamma HHI	0.32	0.27	0.39	0.29	0.37
Net GEX	31.8K	17.1K	48.4K	26.6K	30.4K
Net DEX	-329.6K	-527.3K	-156.6K	-246.8K	-324.4K
Net VEX	-2.0K	-2.6K	-1.5K	-2.0K	-1.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.20	0.00	0.24	0.19	0.00
Total Volume	180	0	234	204	0
Total OI	305	248	335	293	300

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
2022-11-01	$62.78	$65.00	23.1%	6.6%	26.9%	3.7%	29.8%	37.1%	-1.7%	26.6K	-246.8K	-2.0K	0.19	116.41	172	32	255	38
2022-11-02	$62.95	$65.00	27.9%	8.0%	26.9%	6.4%	55.0%	17.3%	-5.4%	31.0K	-362.1K	-2.5K	0.19	117.45	172	32	254	38
2022-11-03	$61.86	$0.00	47.9%	9.6%	27.5%	17.5%	37.3%	-2.5%	-5.1%	23.4K	-191.8K	-1.7K	0.18	115.95	182	32	254	38
2022-11-04	$63.51	$65.00	43.8%	11.6%	27.7%	15.2%	35.3%	-4.8%	-8.3%	27.2K	-311.7K	-2.0K	0.18	115.47	182	32	264	38
2022-11-07	$63.26	$65.00	56.0%	8.8%	27.7%	22.0%	27.7%	-1.7%	-1.2%	35.0K	-527.3K	-2.6K	0.18	120.76	182	32	274	38
2022-11-08	$62.86	$65.00	36.9%	8.8%	27.8%	11.4%	36.9%	30.6%	-4.4%	38.5K	-343.7K	-2.4K	0.23	118.19	182	42	274	38
2022-11-09	$62.00	$60.00	36.0%	10.3%	28.3%	10.9%	42.1%	5.6%	-7.3%	27.7K	-263.1K	-2.1K	0.23	120.37	182	42	274	48
2022-11-10	$65.28	$60.00	34.4%	9.9%	32.2%	10.0%	31.1%	-20.1%	-4.6%	30.7K	-306.4K	-1.6K	0.23	120.95	183	42	274	48
2022-11-11	$65.24	$60.00	32.6%	9.3%	32.1%	9.0%	31.4%	-18.0%	0.2%	32.8K	-439.9K	-2.2K	0.23	121.40	183	42	275	48
2022-11-14	$64.83	$60.00	32.3%	9.3%	32.0%	8.8%	33.1%	-14.8%	-1.8%	48.4K	-408.8K	-2.1K	0.23	126.65	183	42	276	48
2022-11-15	$65.28	$60.00	29.2%	8.4%	32.0%	7.1%	30.7%	-10.2%	6.9%	33.9K	-393.6K	-1.8K	0.23	120.60	183	42	276	48
2022-11-16	$64.49	$60.00	33.8%	9.7%	31.8%	9.7%	34.9%	-10.1%	-7.2%	46.1K	-401.4K	-1.9K	0.22	125.39	188	42	276	48
2022-11-17	$63.47	$60.00	28.9%	8.3%	26.1%	6.9%	29.9%	-14.2%	-1.4%	35.2K	-378.1K	-1.9K	0.24	123.86	188	46	283	48
2022-11-18	$63.94	$60.00	38.6%	11.1%	25.6%	12.3%	34.3%	-10.7%	-5.6%	17.1K	-156.6K	-1.7K	0.24	111.94	188	46	283	52
2022-11-21	$64.19	$60.00	27.1%	7.8%	25.3%	5.9%	22.3%	-10.4%	6.9%	18.6K	-181.8K	-1.5K	0.20	110.60	186	38	206	42
2022-11-22	$65.12	$60.00	38.2%	10.9%	25.4%	12.1%	35.7%	-7.9%	-15.1%	30.4K	-369.0K	-1.9K	0.21	118.99	186	39	247	42
2022-11-23	$64.54	$65.00	34.1%	9.8%	25.8%	9.8%	31.8%	-14.7%	-5.7%	30.1K	-385.8K	-1.9K	0.21	123.66	186	39	247	43
2022-11-25	$65.39	$65.00	34.8%	10.0%	26.0%	10.2%	0.0%	-15.3%	-6.3%	35.6K	-360.5K	-2.0K	0.00	125.16	0	0	247	43
2022-11-28	$63.77	$65.00	42.3%	12.1%	27.4%	14.4%	0.0%	-25.7%	-23.0%	30.3K	-293.5K	-1.8K	0.00	129.28	0	0	247	43
2022-11-29	$63.88	$65.00	31.2%	8.9%	27.1%	8.2%	25.8%	-5.9%	2.0%	37.9K	-274.8K	-1.8K	0.00	124.98	10	0	247	43
2022-11-30	$64.84	$65.00	45.3%	13.0%	27.6%	16.0%	0.0%	-23.2%	-21.0%	30.4K	-324.4K	-1.6K	0.00	128.96	0	0	257	43