CBU Options History — September 2023

In September 2023, CBU traded between $40.73 and $47.08. ATM implied volatility averaged 52.8%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 28.6% (HV 20d: 24.2%). Max pain ranged from $40.00 to $55.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.90.

Notable Days

2023-09-18: Highest Volume — 15 contracts
2023-09-13: Largest IV drop — 75.3% change
2023-09-12: Highest IV Rank — 75.4%
2023-09-22: Largest Expected Move — 19.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.33	$40.73	$47.08	$47.08	$42.27
Max Pain	$45.75	$40.00	$55.00	$55.00	$40.00
ATM IV	52.8%	34.1%	148.5%	45.0%	46.2%
Expected Move	12.8%	9.8%	19.0%	12.9%	13.2%
HV 20d	24.2%	22.6%	25.8%	25.5%	23.4%
HV 60d	31.3%	27.9%	34.1%	33.6%	27.9%
IV Rank	20.0%	9.1%	75.4%	15.5%	16.1%
IV Percentile	63.0%	26.6%	99.6%	61.1%	63.9%
Term Structure	-4.0%	-25.2%	22.7%	-3.8%	3.7%
VWIV	36.1%	32.8%	40.5%	37.8%	32.8%
Skew 25d	11.1%	-35.9%	39.7%	-35.9%	15.2%
Skew 10d	10.9%	-56.0%	61.8%	-6.9%	21.7%
Call IV 25d	45.5%	33.0%	78.7%	78.7%	49.0%
Put IV 25d	56.6%	36.5%	80.9%	42.8%	64.2%
Bid-Ask Spread %	114.41	93.70	125.60	120.11	114.96
Gamma HHI	0.28	0.23	0.35	0.33	0.26
Net GEX	3.0K	575	6.1K	6.1K	2.1K
Net DEX	-10.2K	-65.2K	40.1K	-50.7K	-32.5K
Net VEX	-669	-995	-317	-995	-610
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.90	0.00	4.00	0.00	4.00
Total Volume	2.25	0	15	0	0
Total OI	264.8	247	277	250	277

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
2023-09-01	$47.08	$55.00	45.0%	12.9%	25.5%	15.5%	0.0%	-35.9%	-3.8%	6.1K	-50.7K	-995	0.00	120.11	0	0	182	68
2023-09-05	$45.70	$50.00	34.1%	11.8%	25.0%	9.1%	37.8%	1.7%	-2.5%	4.3K	17.2K	-734	0.00	93.70	10	0	182	68
2023-09-06	$44.88	$50.00	41.1%	12.6%	25.1%	13.2%	33.2%	39.7%	-7.4%	5.0K	-9.6K	-928	0.00	105.05	2	0	191	68
2023-09-07	$44.81	$50.00	50.7%	12.8%	24.1%	18.8%	0.0%	9.6%	-5.7%	4.5K	-3.1K	-791	0.00	112.03	0	2	193	68
2023-09-08	$45.37	$50.00	51.6%	14.6%	25.1%	19.3%	0.0%	11.7%	-14.9%	4.5K	-16.8K	-827	0.00	109.53	0	0	193	70
2023-09-11	$44.59	$50.00	90.4%	10.9%	24.9%	41.7%	0.0%	20.4%	7.9%	3.8K	29.7K	-741	0.00	122.74	0	0	193	70
2023-09-12	$43.99	$50.00	148.5%	9.8%	24.9%	75.4%	0.0%	19.6%	0.7%	3.8K	31.7K	-650	0.00	122.00	0	0	193	70
2023-09-13	$43.53	$50.00	36.7%	10.5%	23.2%	10.6%	0.0%	15.0%	-12.1%	3.3K	23.9K	-838	0.00	125.60	0	0	193	70
2023-09-14	$44.30	$50.00	37.1%	10.6%	23.4%	10.9%	0.0%	17.3%	-7.1%	3.1K	40.1K	-626	0.00	123.79	0	0	194	70
2023-09-15	$43.70	$50.00	37.9%	10.9%	23.6%	11.3%	0.0%	23.0%	-3.5%	4.5K	-29.4K	-622	0.00	122.88	0	0	194	57
2023-09-18	$42.66	$50.00	39.4%	11.3%	23.7%	12.2%	40.5%	2.9%	-25.2%	1.6K	2.4K	-317	0.50	115.77	10	5	192	55
2023-09-19	$42.62	$40.00	39.7%	11.4%	23.6%	12.4%	0.0%	14.6%	-17.0%	1.7K	-5.8K	-402	0.00	113.93	10	0	202	59
2023-09-20	$42.06	$40.00	54.3%	15.6%	22.6%	20.8%	0.0%	22.4%	-11.1%	1.7K	-35.3K	-432	0.00	116.32	0	0	212	59
2023-09-21	$41.01	$40.00	45.1%	12.9%	22.8%	15.5%	32.8%	18.5%	22.7%	3.7K	-65.2K	-754	4.00	111.82	1	4	212	59
2023-09-22	$40.73	$40.00	66.3%	19.0%	22.8%	27.8%	0.0%	15.9%	-14.8%	981	-12.4K	-695	0.00	118.42	0	0	213	63
2023-09-25	$41.70	$40.00	44.6%	12.8%	24.9%	15.2%	0.0%	-15.4%	5.0%	1.5K	-21.1K	-624	0.00	102.23	0	0	213	63
2023-09-26	$41.71	$40.00	48.9%	14.0%	25.0%	17.7%	0.0%	5.5%	-1.2%	1.4K	-24.1K	-621	0.00	111.36	0	1	213	63
2023-09-27	$41.65	$40.00	52.4%	15.0%	24.9%	19.7%	0.0%	4.4%	0.4%	575	-14.7K	-562	0.00	116.08	0	0	213	64
2023-09-28	$42.33	$40.00	46.8%	13.4%	25.8%	16.5%	0.0%	16.2%	5.4%	1.7K	-27.6K	-614	0.00	109.94	0	0	213	64
2023-09-29	$42.27	$40.00	46.2%	13.2%	23.4%	16.1%	0.0%	15.2%	3.7%	2.1K	-32.5K	-610	0.00	114.96	0	0	213	64