CBU Options History — August 2023

In August 2023, CBU traded between $46.44 and $54.98. ATM implied volatility averaged 47.6%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 18.6% (HV 20d: 29.0%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 2.23.

Notable Days

2023-08-28: Highest Volume — 45 contracts
2023-08-09: Largest IV drop — 35.4% change
2023-08-29: Highest IV Rank — 27.5%
2023-08-29: Largest Expected Move — 18.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$50.20	$46.44	$54.98	$54.98	$47.60
Max Pain	$55.00	$55.00	$55.00	$55.00	$55.00
ATM IV	47.6%	36.0%	65.8%	52.9%	47.6%
Expected Move	12.9%	10.3%	18.9%	15.2%	13.6%
HV 20d	29.0%	22.6%	36.9%	36.9%	25.5%
HV 60d	38.7%	34.5%	40.6%	40.6%	34.5%
IV Rank	16.9%	10.0%	27.5%	20.3%	16.9%
IV Percentile	65.2%	36.9%	90.5%	82.1%	67.1%
Term Structure	-8.6%	-37.9%	7.9%	-27.3%	-37.9%
VWIV	38.6%	28.4%	44.6%	44.6%	28.4%
Skew 25d	4.5%	-22.2%	68.4%	-0.7%	-22.2%
Skew 10d	11.2%	-53.4%	103.5%	8.4%	30.0%
Call IV 25d	59.7%	38.7%	84.9%	70.5%	67.1%
Put IV 25d	64.2%	45.0%	109.6%	69.8%	45.0%
Bid-Ask Spread %	117.29	100.89	124.26	116.22	118.15
Gamma HHI	0.39	0.29	0.50	0.36	0.33
Net GEX	4.9K	1.4K	7.2K	4.5K	6.8K
Net DEX	-28.5K	-88.2K	82.9K	-74.0K	-29.4K
Net VEX	-1.1K	-1.4K	-668	-1.3K	-1.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.23	0.00	18.50	0.50	18.50
Total Volume	5.87	0	45	6	0
Total OI	203.826	152	250	206	250

Daily Data (23 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
2023-08-01	$54.98	$55.00	52.9%	15.2%	36.9%	20.3%	44.6%	-0.7%	-27.3%	4.5K	-74.0K	-1.3K	0.50	116.22	4	2	129	77
2023-08-02	$54.84	$55.00	52.4%	15.0%	35.9%	20.0%	0.0%	1.0%	-15.6%	5.0K	-88.2K	-1.4K	0.00	124.26	0	1	130	76
2023-08-03	$54.31	$55.00	58.9%	13.0%	27.8%	23.6%	0.0%	27.4%	-14.6%	4.9K	-79.0K	-1.3K	0.00	100.89	0	1	130	76
2023-08-04	$53.76	$55.00	51.5%	10.5%	28.1%	19.5%	0.0%	1.1%	-1.9%	3.7K	-43.3K	-1.3K	0.00	114.14	1	0	130	77
2023-08-07	$54.73	$55.00	52.9%	12.1%	27.7%	20.3%	42.9%	10.1%	-14.5%	4.6K	-75.8K	-1.2K	0.00	114.06	14	0	130	77
2023-08-08	$53.80	$55.00	64.0%	12.2%	29.3%	26.5%	0.0%	10.1%	-14.5%	5.9K	-77.0K	-1.3K	0.00	113.37	0	0	144	77
2023-08-09	$52.29	$55.00	41.3%	11.9%	32.3%	13.9%	0.0%	-1.0%	-9.4%	4.2K	-23.2K	-1.2K	0.00	113.67	0	0	144	77
2023-08-10	$51.65	$55.00	37.9%	10.9%	33.0%	11.9%	0.0%	-0.5%	4.0%	4.0K	-13.1K	-1.2K	0.00	120.59	1	0	144	77
2023-08-11	$51.99	$55.00	37.3%	10.7%	32.5%	10.7%	0.0%	-3.4%	-8.3%	4.0K	-250	-1.1K	0.00	117.00	0	0	145	77
2023-08-14	$51.48	$55.00	36.0%	10.3%	31.7%	10.0%	0.0%	-3.6%	4.3%	2.7K	3.9K	-1.1K	0.00	122.15	0	0	145	77
2023-08-15	$49.83	$55.00	36.2%	10.4%	29.2%	10.1%	0.0%	-0.6%	4.8%	2.3K	35.9K	-1.0K	0.00	122.39	0	0	145	77
2023-08-16	$48.48	$55.00	38.2%	11.0%	29.4%	11.2%	0.0%	5.9%	-6.6%	1.4K	82.9K	-815	0.00	113.91	0	0	145	77
2023-08-17	$48.33	$55.00	47.3%	13.6%	29.3%	16.3%	0.0%	-0.7%	-18.6%	2.6K	39.8K	-750	0.09	122.50	11	1	145	65
2023-08-18	$48.87	$55.00	39.3%	11.3%	29.6%	11.8%	0.0%	-2.9%	-2.1%	5.7K	-6.7K	-1.0K	0.00	115.97	0	1	154	66
2023-08-21	$48.13	$55.00	44.3%	12.7%	28.9%	15.1%	0.0%	0.1%	-20.5%	6.2K	-59.8K	-1.0K	0.00	120.59	0	0	124	28
2023-08-22	$46.91	$55.00	57.4%	16.5%	30.0%	22.6%	0.0%	8.3%	-6.9%	5.3K	-27.0K	-858	0.00	117.90	10	0	124	28
2023-08-23	$47.42	$55.00	47.6%	13.7%	27.2%	17.0%	28.4%	-21.4%	0.4%	7.1K	-76.7K	-1.1K	1.00	113.13	2	2	134	28
2023-08-24	$47.07	$55.00	40.0%	11.5%	27.2%	12.6%	0.0%	2.8%	7.9%	6.5K	-42.7K	-883	0.00	120.51	0	0	136	30
2023-08-25	$47.36	$55.00	47.9%	13.7%	27.0%	17.1%	0.0%	-4.5%	-2.2%	6.5K	-50.5K	-947	0.00	123.45	0	0	136	30
2023-08-28	$47.12	$55.00	54.3%	15.6%	23.5%	20.8%	0.0%	28.2%	-1.2%	5.9K	-6.1K	-668	0.02	114.16	44	1	136	30
2023-08-29	$47.20	$55.00	65.8%	18.9%	22.6%	27.5%	0.0%	1.5%	-21.8%	7.2K	-46.7K	-936	18.50	120.95	2	37	180	31
2023-08-30	$46.44	$55.00	42.6%	12.2%	22.7%	14.0%	0.0%	68.4%	3.9%	5.0K	2.3K	-900	0.00	117.67	0	0	182	68
2023-08-31	$47.60	$55.00	47.6%	13.6%	25.5%	16.9%	0.0%	-22.2%	-37.9%	6.8K	-29.4K	-1.0K	0.00	118.15	0	0	182	68