CBU Options History — July 2023

In July 2023, CBU traded between $44.25 and $54.27. ATM implied volatility averaged 49.6%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 11.6% (HV 20d: 38.0%). Max pain ranged from $40.00 to $55.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.25.

Notable Days

2023-07-28: Highest Volume — 10 contracts
2023-07-05: Largest IV spike — 46.9% change
2023-07-07: Highest IV Rank — 29.9%
2023-07-05: Largest Expected Move — 18.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$48.33	$44.25	$54.27	$48.19	$54.27
Max Pain	$54.25	$40.00	$55.00	$55.00	$55.00
ATM IV	49.6%	35.9%	70.2%	44.7%	39.4%
Expected Move	13.1%	10.3%	18.8%	12.8%	11.3%
HV 20d	38.0%	33.1%	42.9%	42.9%	37.2%
HV 60d	40.9%	39.7%	42.0%	40.5%	40.7%
IV Rank	18.4%	10.8%	29.9%	15.7%	12.7%
IV Percentile	71.3%	42.1%	93.3%	68.7%	49.2%
Term Structure	-7.5%	-17.5%	3.1%	-0.7%	-6.2%
VWIV	47.4%	40.4%	53.8%	40.4%	42.4%
Skew 25d	3.6%	-14.6%	27.5%	12.4%	11.6%
Skew 10d	2.3%	-26.3%	37.4%	-26.3%	14.4%
Call IV 25d	58.1%	27.6%	75.5%	61.1%	52.6%
Put IV 25d	61.7%	42.3%	84.3%	73.5%	64.3%
Bid-Ask Spread %	115.41	101.06	131.36	127.99	114.55
Gamma HHI	0.28	0.20	0.37	0.27	0.37
Net GEX	641	-1.6K	3.9K	-1.6K	3.0K
Net DEX	56.8K	-58.3K	140.3K	140.3K	-58.3K
Net VEX	-989	-1.3K	-724	-957	-1.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.25	0.00	8.00	0.00	1.00
Total Volume	1.7	0	10	1	4
Total OI	199.3	194	208	203	206

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
2023-07-03	$48.19	$55.00	44.7%	12.8%	42.9%	15.7%	40.4%	12.4%	-0.7%	-1.6K	140.3K	-957	0.00	127.99	1	0	117	86
2023-07-05	$47.35	$40.00	65.7%	18.8%	41.3%	27.4%	0.0%	27.5%	-14.2%	-565	103.0K	-879	0.00	131.36	0	0	118	76
2023-07-06	$44.74	$55.00	66.3%	11.4%	41.7%	27.8%	0.0%	14.7%	3.1%	-686	105.7K	-837	8.00	119.43	1	8	118	76
2023-07-07	$44.45	$55.00	70.2%	13.8%	38.2%	29.9%	0.0%	3.7%	-8.7%	-1.1K	123.5K	-771	0.00	120.31	0	2	119	75
2023-07-10	$44.25	$55.00	49.1%	12.2%	38.2%	18.2%	0.0%	-2.9%	-2.9%	-1.2K	96.5K	-891	0.00	105.14	0	0	119	77
2023-07-11	$44.31	$55.00	66.2%	13.5%	38.4%	27.7%	0.0%	19.4%	0.7%	-668	69.3K	-1.0K	0.00	107.60	0	0	119	77
2023-07-12	$44.74	$55.00	44.9%	12.9%	35.1%	15.8%	0.0%	0.3%	-9.6%	-844	114.7K	-801	0.00	103.39	0	0	119	77
2023-07-13	$45.20	$55.00	42.6%	12.2%	34.3%	14.5%	0.0%	-1.9%	-10.2%	-820	96.4K	-833	0.00	114.54	0	1	119	77
2023-07-14	$44.81	$55.00	39.1%	11.2%	33.1%	12.6%	0.0%	-2.4%	-7.0%	-1.1K	108.3K	-724	0.00	119.84	0	0	119	78
2023-07-17	$46.27	$55.00	44.7%	12.8%	34.4%	15.7%	47.2%	8.6%	-11.9%	-691	90.5K	-867	0.00	114.14	1	0	119	78
2023-07-18	$48.76	$55.00	53.8%	15.4%	40.1%	20.8%	0.0%	1.0%	-17.5%	512	46.9K	-1.0K	0.00	119.45	1	0	120	78
2023-07-19	$50.03	$55.00	45.7%	13.1%	40.9%	16.3%	0.0%	-0.4%	-5.3%	751	26.5K	-1.0K	0.00	114.20	0	0	120	78
2023-07-20	$50.21	$55.00	35.9%	10.3%	39.8%	10.8%	0.0%	1.2%	-0.4%	703	51.5K	-970	0.00	108.97	0	0	120	78
2023-07-21	$49.81	$55.00	46.5%	13.3%	36.4%	16.7%	0.0%	-14.6%	-11.4%	3.9K	19.4K	-1.1K	0.00	116.30	1	0	130	78
2023-07-24	$50.79	$55.00	39.8%	11.4%	36.6%	13.0%	0.0%	2.5%	1.8%	1.6K	29.9K	-1.1K	0.00	101.06	0	0	129	73
2023-07-25	$50.92	$55.00	52.7%	15.1%	36.4%	20.2%	52.9%	-0.2%	-11.6%	2.4K	8.9K	-1.2K	0.00	119.39	1	0	129	73
2023-07-26	$52.64	$55.00	44.3%	12.7%	37.9%	15.5%	53.8%	0.6%	-14.3%	3.0K	-25.0K	-1.2K	2.00	118.43	1	2	130	73
2023-07-27	$52.19	$55.00	52.2%	15.0%	38.2%	19.9%	0.0%	1.4%	-8.1%	3.3K	9.4K	-1.1K	0.00	122.06	0	0	129	75
2023-07-28	$52.64	$55.00	47.8%	13.7%	38.2%	17.5%	42.4%	-11.5%	-16.2%	2.9K	-22.3K	-1.2K	0.25	110.09	8	2	129	75
2023-07-31	$54.27	$55.00	39.4%	11.3%	37.2%	12.7%	0.0%	11.6%	-6.2%	3.0K	-58.3K	-1.3K	1.00	114.55	2	2	129	77