CBU Options History — January 2023

In January 2023, CBU traded between $54.76 and $64.66. ATM implied volatility averaged 33.8%, placing in the 9.6% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 5.6% (HV 20d: 28.2%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.74.

Notable Days

2023-01-23: Highest Volume — 61 contracts
2023-01-09: Largest IV spike — 59.1% change
2023-01-10: Highest IV Rank — 22.1%
2023-01-04: Largest Expected Move — 12.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$60.70	$54.76	$64.66	$62.29	$57.35
Max Pain	$60.00	$60.00	$60.00	$60.00	$60.00
ATM IV	33.8%	22.2%	56.2%	36.4%	28.0%
Expected Move	8.6%	6.4%	12.0%	10.4%	8.0%
HV 20d	28.2%	19.7%	41.8%	24.4%	41.8%
HV 60d	27.3%	25.6%	31.8%	25.9%	31.8%
IV Rank	9.6%	3.2%	22.1%	11.1%	6.4%
IV Percentile	49.1%	4.4%	95.2%	67.9%	28.2%
Term Structure	-6.6%	-17.8%	5.4%	-12.2%	-7.4%
VWIV	26.1%	19.9%	33.0%	31.1%	20.5%
Skew 25d	0.7%	-25.1%	16.8%	-3.3%	-5.0%
Skew 10d	15.7%	-14.5%	42.0%	-2.8%	24.8%
Call IV 25d	40.0%	26.1%	62.3%	53.9%	34.7%
Put IV 25d	40.7%	20.9%	50.6%	50.6%	29.7%
Bid-Ask Spread %	119.42	108.77	125.61	118.50	110.08
Gamma HHI	0.32	0.22	0.67	0.22	0.33
Net GEX	-3.5K	-78.0K	17.0K	4.7K	-6.6K
Net DEX	23.6K	-176.4K	230.6K	-1.5K	93.1K
Net VEX	-1.2K	-1.6K	-757	-1.6K	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.74	0.00	2.00	2.00	0.00
Total Volume	6.2	0	61	0	8
Total OI	336.55	292	363	330	323

Daily Data (20 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
2023-01-03	$62.29	$60.00	36.4%	10.4%	24.4%	11.1%	0.0%	-3.3%	-12.2%	4.7K	-1.5K	-1.6K	0.00	118.50	0	0	225	105
2023-01-04	$61.80	$60.00	41.9%	12.0%	19.7%	14.2%	0.0%	-11.7%	-14.1%	1.8K	17.7K	-1.5K	0.00	123.67	0	0	225	105
2023-01-05	$61.64	$60.00	33.9%	6.7%	19.7%	9.7%	0.0%	-1.8%	1.9%	-10.2K	82.9K	-1.1K	0.00	108.77	0	0	225	105
2023-01-06	$63.86	$60.00	33.7%	6.6%	23.4%	9.6%	0.0%	9.8%	-0.9%	13.3K	-130.7K	-1.6K	0.00	122.40	0	0	235	115
2023-01-09	$63.31	$60.00	53.5%	8.3%	23.6%	20.6%	0.0%	14.3%	-8.1%	6.8K	-55.1K	-1.4K	0.00	124.37	0	0	235	115
2023-01-10	$64.09	$60.00	56.2%	8.4%	23.9%	22.1%	0.0%	0.9%	-6.4%	12.9K	-130.0K	-1.5K	0.00	124.71	0	0	245	115
2023-01-11	$64.14	$60.00	29.8%	8.6%	23.8%	7.4%	0.0%	0.9%	-5.9%	13.6K	-139.1K	-1.6K	0.00	124.55	0	0	245	115
2023-01-12	$64.19	$60.00	29.6%	8.5%	23.7%	7.3%	0.0%	1.0%	-9.3%	13.7K	-138.8K	-1.5K	0.00	124.75	0	0	245	115
2023-01-13	$64.66	$60.00	30.6%	8.8%	20.5%	7.9%	0.0%	1.5%	-7.6%	17.0K	-176.4K	-1.5K	0.00	125.47	0	0	245	115
2023-01-17	$63.12	$60.00	32.6%	9.3%	21.0%	9.0%	0.0%	1.6%	-17.8%	11.6K	-101.3K	-1.3K	0.00	125.18	0	0	245	115
2023-01-18	$60.05	$60.00	30.8%	8.8%	27.7%	8.0%	31.1%	-25.1%	-3.1%	-8.6K	138.0K	-1.1K	2.00	114.60	1	2	245	115
2023-01-19	$59.86	$60.00	32.7%	9.4%	27.5%	9.0%	0.0%	1.1%	-7.2%	-2.6K	95.9K	-1.1K	0.00	125.61	0	0	246	117
2023-01-20	$60.33	$60.00	33.5%	9.6%	27.3%	9.5%	0.0%	4.4%	0.4%	-78.0K	9.2K	-1.3K	0.00	115.53	0	0	246	117
2023-01-23	$61.00	$60.00	25.6%	7.4%	27.4%	5.1%	31.4%	4.1%	1.2%	-5.3K	63.1K	-852	0.00	124.31	0	61	207	85
2023-01-24	$60.30	$60.00	22.2%	6.4%	27.6%	3.2%	22.3%	5.4%	-5.4%	-9.0K	86.0K	-841	0.00	115.61	5	0	207	86
2023-01-25	$55.48	$60.00	24.6%	7.1%	39.7%	4.5%	23.9%	-18.6%	5.4%	-12.8K	202.0K	-757	2.00	117.04	3	6	210	86
2023-01-26	$54.76	$60.00	32.5%	9.3%	39.7%	8.9%	19.9%	16.8%	-16.2%	-13.6K	230.6K	-801	0.26	116.06	23	6	213	90
2023-01-27	$56.06	$60.00	32.9%	9.4%	41.1%	9.1%	26.5%	6.0%	-13.4%	-9.9K	169.7K	-929	0.00	117.48	0	2	233	91
2023-01-30	$55.73	$60.00	33.9%	9.7%	39.9%	9.7%	33.0%	11.2%	-6.0%	-8.0K	157.4K	-1.0K	0.17	109.74	6	1	233	91
2023-01-31	$57.35	$60.00	28.0%	8.0%	41.8%	6.4%	20.5%	-5.0%	-7.4%	-6.6K	93.1K	-1.1K	0.00	110.08	8	0	231	92