CBU Options History — October 2023

In October 2023, CBU traded between $37.20 and $42.84. ATM implied volatility averaged 52.0%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded above realized volatility by 26.5% (HV 20d: 25.6%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.27.

Notable Days

2023-10-19: Highest Volume — 256 contracts
2023-10-24: Largest IV spike — 62.1% change
2023-10-04: Highest IV Rank — 40.2%
2023-10-04: Largest Expected Move — 25.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.00	$37.20	$42.84	$41.70	$39.98
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	52.0%	35.4%	87.7%	42.7%	54.6%
Expected Move	14.4%	10.1%	25.2%	12.2%	15.7%
HV 20d	25.6%	19.7%	37.3%	23.5%	37.3%
HV 60d	26.7%	23.9%	28.8%	28.0%	28.8%
IV Rank	19.5%	9.9%	40.2%	14.1%	21.0%
IV Percentile	68.2%	21.4%	97.2%	51.2%	82.1%
Term Structure	-8.4%	-45.7%	11.3%	8.5%	-19.3%
VWIV	48.5%	47.3%	49.8%	47.3%	49.8%
Skew 25d	-0.4%	-54.5%	98.4%	17.5%	-2.5%
Skew 10d	0.0%	-67.7%	111.9%	61.0%	-8.1%
Call IV 25d	67.0%	39.8%	106.6%	55.1%	86.3%
Put IV 25d	66.5%	31.9%	205.0%	72.5%	83.7%
Bid-Ask Spread %	107.46	92.85	120.23	119.72	111.83
Gamma HHI	0.27	0.22	0.38	0.23	0.27
Net GEX	741	-2.3K	3.2K	203	-2.0K
Net DEX	-23.5K	-112.6K	47.7K	-10.5K	-41.5K
Net VEX	-907	-2.0K	-309	-487	-1.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.27	0.00	1.00	0.00	0.00
Total Volume	13.182	0	256	0	0
Total OI	347.818	272	527	277	473

Daily Data (22 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
2023-10-02	$41.70	$40.00	42.7%	12.2%	23.5%	14.1%	0.0%	17.5%	8.5%	203	-10.5K	-487	0.00	119.72	0	0	213	64
2023-10-03	$41.93	$40.00	55.1%	15.8%	22.1%	21.3%	0.0%	13.4%	-23.2%	2.2K	-32.0K	-678	0.00	111.80	0	0	213	64
2023-10-04	$42.20	$40.00	87.7%	25.2%	21.8%	40.2%	0.0%	37.8%	-45.7%	1.4K	-24.7K	-534	0.00	111.97	0	0	213	64
2023-10-05	$42.41	$40.00	70.4%	13.6%	22.0%	30.2%	0.0%	8.9%	-8.2%	1.7K	-29.5K	-559	0.00	95.34	0	0	213	64
2023-10-06	$42.52	$40.00	42.3%	12.4%	21.3%	13.9%	47.3%	11.3%	-2.6%	1.7K	-28.5K	-529	0.00	102.63	0	1	213	64
2023-10-09	$42.53	$40.00	52.7%	13.5%	20.7%	19.9%	0.0%	-4.8%	-1.4%	578	-17.1K	-499	0.00	97.23	0	0	213	64
2023-10-10	$42.84	$40.00	50.3%	12.1%	20.5%	18.5%	0.0%	-10.9%	0.2%	606	-25.3K	-397	0.00	104.80	0	5	213	64
2023-10-11	$42.52	$40.00	45.9%	13.2%	20.4%	16.0%	0.0%	-7.8%	-6.8%	2.2K	-39.7K	-430	0.00	103.63	0	0	213	59
2023-10-12	$41.87	$40.00	49.5%	14.2%	19.7%	18.0%	0.0%	-9.2%	-10.6%	2.0K	-31.4K	-461	0.00	104.22	0	0	213	59
2023-10-13	$41.02	$40.00	43.4%	12.4%	20.3%	14.5%	0.0%	-6.9%	4.5%	1.4K	-23.5K	-447	0.00	108.82	0	0	213	59
2023-10-16	$42.30	$40.00	52.0%	14.9%	22.1%	19.5%	0.0%	-8.5%	-9.6%	1.9K	-34.6K	-396	0.00	104.74	0	0	213	59
2023-10-17	$42.62	$40.00	49.3%	14.1%	22.3%	17.9%	0.0%	-10.8%	-8.5%	1.8K	-33.6K	-387	0.00	92.85	0	0	213	59
2023-10-18	$42.16	$40.00	47.2%	13.5%	22.1%	16.7%	0.0%	5.8%	-2.7%	448	-35.6K	-309	0.00	108.22	2	0	213	59
2023-10-19	$41.62	$40.00	46.7%	13.4%	20.6%	16.4%	0.0%	-12.1%	11.3%	2.5K	-36.7K	-434	1.00	105.93	128	128	213	59
2023-10-20	$39.88	$40.00	40.0%	11.5%	25.7%	12.5%	0.0%	-12.0%	-10.2%	3.2K	-34.7K	-1.9K	0.07	105.82	14	1	340	187
2023-10-23	$39.82	$40.00	38.9%	11.2%	24.0%	11.9%	0.0%	-21.8%	1.8%	558	-112.6K	-2.0K	0.00	105.57	2	0	273	187
2023-10-24	$37.20	$40.00	63.1%	18.1%	33.4%	25.9%	0.0%	98.4%	-16.6%	-884	27.6K	-1.6K	0.00	109.57	0	7	275	187
2023-10-25	$37.98	$40.00	58.9%	16.9%	34.7%	23.5%	49.8%	-3.6%	-20.6%	-2.3K	47.7K	-1.7K	0.00	113.51	0	1	275	195
2023-10-26	$39.03	$40.00	55.8%	16.0%	35.8%	21.7%	0.0%	-0.9%	-18.8%	-283	-3.9K	-1.7K	0.00	113.14	0	1	275	196
2023-10-27	$38.52	$40.00	63.0%	18.1%	35.9%	25.9%	0.0%	-54.5%	-11.0%	-982	6.5K	-1.6K	0.00	112.51	0	0	275	198
2023-10-30	$39.32	$40.00	35.4%	10.1%	36.8%	9.9%	0.0%	-36.5%	5.8%	-1.5K	-2.8K	-1.4K	0.00	120.23	0	0	275	198
2023-10-31	$39.98	$40.00	54.6%	15.7%	37.3%	21.0%	0.0%	-2.5%	-19.3%	-2.0K	-41.5K	-1.6K	0.00	111.83	0	0	275	198