CBU Options History — December 2022

In December 2022, CBU traded between $58.81 and $65.08. ATM implied volatility averaged 36.4%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 11.1% (HV 20d: 25.2%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 5.09.

Notable Days

2022-12-19: Highest Volume — 34 contracts
2022-12-09: Largest IV spike — 79.9% change
2022-12-13: Highest IV Rank — 33.6%
2022-12-02: Largest Expected Move — 13.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$61.89	$58.81	$65.08	$64.89	$62.61
Max Pain	$60.88	$60.00	$65.00	$65.00	$60.00
ATM IV	36.4%	18.4%	76.8%	45.8%	26.8%
Expected Move	8.8%	5.3%	13.7%	13.1%	7.7%
HV 20d	25.2%	21.4%	29.3%	27.6%	24.4%
HV 60d	41.1%	25.9%	75.7%	75.3%	26.0%
IV Rank	11.1%	1.0%	33.6%	16.3%	5.7%
IV Percentile	49.7%	0.8%	98.0%	86.9%	21.4%
Term Structure	-4.1%	-23.1%	6.5%	-17.6%	-3.9%
VWIV	36.5%	23.7%	50.1%	45.6%	50.1%
Skew 25d	-2.9%	-24.5%	14.0%	-24.5%	-7.7%
Skew 10d	-1.9%	-20.9%	12.8%	-11.7%	2.4%
Call IV 25d	41.6%	23.3%	63.8%	63.8%	39.4%
Put IV 25d	38.7%	21.8%	47.3%	39.3%	31.7%
Bid-Ask Spread %	121.86	110.00	129.10	129.10	116.82
Gamma HHI	0.31	0.21	0.70	0.34	0.23
Net GEX	12.0K	-47.2K	33.5K	33.3K	5.6K
Net DEX	-88.4K	-369.1K	127.7K	-369.1K	-8.5K
Net VEX	-1.4K	-1.8K	-831	-1.8K	-1.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.09	0.00	15.00	0.00	0.28
Total Volume	5.333	0	34	0	0
Total OI	307	259	335	300	330

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
2022-12-01	$64.89	$65.00	45.8%	13.1%	27.6%	16.3%	0.0%	-24.5%	-17.6%	33.3K	-369.1K	-1.8K	0.00	129.10	0	0	257	43
2022-12-02	$65.08	$65.00	47.8%	13.7%	26.6%	17.5%	0.0%	14.0%	-23.1%	33.5K	-352.8K	-1.7K	0.00	127.96	0	0	257	43
2022-12-05	$62.45	$0.00	39.4%	8.4%	29.3%	12.7%	0.0%	-9.0%	-3.3%	26.8K	-207.4K	-1.5K	0.00	127.08	0	0	257	43
2022-12-06	$62.18	$0.00	42.3%	8.1%	29.3%	14.4%	0.0%	1.0%	-2.0%	26.9K	-207.4K	-1.5K	0.00	128.25	0	0	257	43
2022-12-07	$62.01	$0.00	34.6%	9.9%	29.2%	10.1%	0.0%	5.0%	-1.4%	27.2K	-151.9K	-1.5K	0.00	120.45	0	0	257	43
2022-12-08	$61.78	$0.00	28.5%	8.6%	28.9%	6.7%	0.0%	-5.0%	-0.0%	21.3K	-77.7K	-1.1K	0.00	122.36	0	0	257	43
2022-12-09	$61.70	$65.00	51.3%	9.8%	21.4%	19.4%	45.6%	-1.6%	-5.7%	27.8K	-223.3K	-1.7K	0.00	124.25	0	10	267	43
2022-12-12	$62.22	$60.00	66.8%	8.7%	21.8%	28.0%	0.0%	0.9%	-3.8%	24.0K	-203.8K	-1.5K	0.00	124.84	0	0	267	53
2022-12-13	$61.89	$60.00	76.8%	8.9%	21.8%	33.6%	0.0%	0.9%	-1.8%	21.3K	-104.0K	-1.1K	0.00	127.27	0	0	267	56
2022-12-14	$60.06	$60.00	31.9%	9.1%	23.6%	8.6%	0.0%	0.7%	-5.8%	11.8K	-21.8K	-831	0.00	127.36	0	3	267	56
2022-12-15	$58.81	$60.00	29.7%	8.5%	24.2%	7.4%	0.0%	-0.9%	-7.3%	10.6K	-33.2K	-875	0.00	125.85	0	10	267	58
2022-12-16	$59.78	$60.00	32.5%	9.3%	24.9%	8.9%	39.2%	2.5%	-6.2%	-47.2K	127.7K	-862	0.00	125.48	11	0	267	68
2022-12-19	$60.37	$60.00	30.9%	8.9%	25.0%	8.0%	0.0%	-21.9%	-8.0%	3.7K	2.7K	-1.0K	0.00	127.89	0	34	207	52
2022-12-20	$61.11	$60.00	27.0%	7.7%	25.5%	5.8%	23.7%	8.0%	-5.8%	720	44.4K	-1.4K	15.00	113.94	1	15	207	80
2022-12-21	$61.67	$60.00	19.6%	5.6%	25.1%	1.7%	0.0%	-1.8%	6.2%	2.2K	11.2K	-1.7K	0.00	115.83	0	0	207	95
2022-12-22	$61.44	$60.00	26.6%	7.6%	25.0%	5.6%	0.0%	-0.3%	6.5%	113	38.4K	-1.7K	0.00	116.71	0	0	207	95
2022-12-23	$62.27	$60.00	28.8%	8.2%	25.0%	6.8%	0.0%	-3.1%	-11.1%	3.4K	-15.7K	-1.7K	0.00	112.81	0	0	207	95
2022-12-27	$62.34	$60.00	33.6%	9.6%	23.6%	9.5%	0.0%	-12.4%	3.4%	4.2K	-8.0K	-1.7K	0.00	120.79	0	0	207	95
2022-12-28	$61.81	$60.00	18.4%	5.3%	23.7%	1.0%	23.7%	-1.5%	4.9%	1.7K	1.5K	-1.7K	0.28	110.00	18	5	207	95
2022-12-29	$63.12	$60.00	25.4%	7.3%	24.3%	4.9%	50.1%	-4.0%	-1.1%	12.0K	-97.3K	-1.6K	0.00	113.99	0	5	225	100
2022-12-30	$62.61	$60.00	26.8%	7.7%	24.4%	5.7%	0.0%	-7.7%	-3.9%	5.6K	-8.5K	-1.6K	0.00	116.82	0	0	225	105