CBU Options History — March 2023

In March 2023, CBU traded between $51.63 and $60.45. ATM implied volatility averaged 54.9%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 21.4% (HV 20d: 33.5%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 8.68.

Notable Days

  • 2023-03-13: Highest Volume — 482 contracts
  • 2023-03-13: Largest IV spike — 171.6% change
  • 2023-03-13: Highest IV Rank — 97.2%
  • 2023-03-13: Largest Expected Move — 17.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.90$51.63$60.45$60.45$52.20
Max Pain$55.00$55.00$55.00$55.00$55.00
ATM IV54.9%32.6%190.9%43.9%48.9%
Expected Move12.2%6.6%17.0%12.6%14.0%
HV 20d33.5%18.2%46.1%26.2%45.6%
HV 60d34.9%30.6%38.7%31.6%38.7%
IV Rank21.4%9.0%97.2%15.3%18.0%
IV Percentile81.7%43.7%99.6%83.3%86.5%
Term Structure-5.3%-26.7%13.7%-21.4%10.9%
VWIV64.2%22.8%94.2%22.8%74.1%
Skew 25d1.4%-37.1%22.3%-29.4%10.2%
Skew 10d14.3%-2.3%41.0%3.8%3.9%
Call IV 25d52.4%37.2%70.3%65.0%55.7%
Put IV 25d53.9%31.7%79.3%35.6%65.9%
Bid-Ask Spread %113.2593.68127.53127.53109.31
Gamma HHI0.330.170.570.570.20
Net GEX-1.9K-13.3K10.1K10.1K-10.5K
Net DEX65.4K-158.6K281.8K-158.6K212.4K
Net VEX-1.9K-3.2K-939-1.3K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.680.0525.780.200.05
Total Volume26.522048204
Total OI458.391168660168646

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-03-01$60.45$55.0043.9%12.6%26.2%15.3%0.0%-29.4%-21.4%10.1K-158.6K-1.3K0.00127.530010464
2023-03-02$59.39$55.0045.6%13.1%25.5%16.2%0.0%-36.8%-25.3%7.4K-112.1K-1.3K0.00127.350010464
2023-03-03$59.47$55.0047.1%13.5%18.6%17.1%0.0%-37.1%-26.7%8.6K-137.5K-1.2K0.00126.700210464
2023-03-06$58.50$0.0053.0%8.2%18.2%20.4%0.0%1.0%-2.5%6.0K-88.9K-1.2K0.00125.320010466
2023-03-07$56.73$0.0032.6%8.8%20.0%9.0%0.0%-0.5%5.6%5.0K-48.2K-1.2K0.00114.240010466
2023-03-08$56.89$0.0036.3%7.8%19.2%11.0%0.0%-10.3%-7.2%5.7K-32.3K-1.1K0.20106.105110466
2023-03-09$54.41$0.0050.4%6.6%23.8%18.9%22.8%0.0%13.7%1.7K24.5K-1.1K0.00122.130110467
2023-03-10$54.06$55.0070.3%9.6%23.7%30.0%0.0%-3.2%-6.8%-28765.8K-9390.00123.500110468
2023-03-13$52.44$55.00190.9%17.0%24.8%97.2%60.5%22.3%-14.3%68150.6K-1.1K25.78124.241846410468
2023-03-14$53.99$55.00107.3%15.7%28.0%50.6%73.2%18.3%-5.2%526-8.9K-1.7K0.00109.64034122489
2023-03-15$53.80$55.0042.4%12.2%28.0%14.4%52.7%0.3%4.9%-3.7K81.0K-2.0K0.00121.5303122520
2023-03-16$56.55$55.0043.5%12.5%34.0%15.1%0.0%-2.9%-1.1%4.7K-52.2K-1.9K0.0593.68201122519
2023-03-17$53.62$55.0050.9%14.6%38.4%19.2%0.0%12.4%-8.2%-3.1K62.3K-2.2K0.0098.4200142518
2023-03-20$54.24$55.0049.7%14.2%38.6%18.5%0.0%6.0%-6.0%-8.2K181.1K-3.2K0.00103.4606128511
2023-03-21$56.20$55.0044.4%12.7%41.2%15.6%79.9%12.2%-8.0%-2.1K46.6K-2.6K0.00100.8905128517
2023-03-22$53.33$55.0044.6%12.8%44.8%15.7%0.0%14.4%-19.6%-13.2K173.8K-3.0K0.00109.97037128529
2023-03-23$52.00$55.0056.2%16.1%44.7%22.1%57.3%16.3%-11.2%-7.1K170.6K-2.2K0.00110.0601128516
2023-03-24$53.32$55.0042.2%12.1%46.1%14.3%63.1%7.0%-2.1%-4.5K141.7K-2.1K0.00113.2303128517
2023-03-27$53.47$55.0040.7%11.7%45.6%13.5%0.0%21.4%6.1%-11.1K253.7K-3.1K0.00104.3400128518
2023-03-28$53.04$55.0037.6%10.8%45.1%11.8%94.2%0.3%1.4%-11.0K229.3K-3.0K0.00109.1404128518
2023-03-29$52.86$55.0040.9%11.7%45.0%13.6%0.0%10.6%1.9%-7.0K167.6K-2.0K0.00109.5500128518
2023-03-30$51.63$55.0042.4%12.1%45.2%14.4%0.0%0.6%-1.1%-13.3K281.8K-2.6K0.00114.3900128518
2023-03-31$52.20$55.0048.9%14.0%45.6%18.0%74.1%10.2%10.9%-10.5K212.4K-2.1K0.00109.3104128518