CBU Options History — December 2023

In December 2023, CBU traded between $46.77 and $53.72. ATM implied volatility averaged 53.1%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 19.5% (HV 20d: 33.7%). Max pain ranged from $45.00 to $60.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.00.

Notable Days

2023-12-29: Highest Volume — 250 contracts
2023-12-13: Largest IV drop — 65.3% change
2023-12-12: Highest IV Rank — 57.5%
2023-12-05: Largest Expected Move — 12.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$50.67	$46.77	$53.72	$46.77	$52.24
Max Pain	$46.15	$45.00	$60.00	$60.00	$45.00
ATM IV	53.1%	29.1%	117.5%	41.4%	45.0%
Expected Move	10.6%	8.3%	12.9%	11.9%	12.9%
HV 20d	33.7%	28.4%	43.2%	43.2%	29.4%
HV 60d	37.1%	36.5%	37.8%	37.0%	37.2%
IV Rank	20.2%	6.2%	57.5%	13.4%	15.4%
IV Percentile	46.5%	4.4%	98.8%	34.1%	46.4%
Term Structure	1.3%	-11.0%	12.6%	8.2%	-1.5%
VWIV	37.1%	27.6%	49.0%	49.0%	37.5%
Skew 25d	-0.6%	-41.1%	15.7%	-41.1%	15.7%
Skew 10d	-11.8%	-69.2%	8.2%	-69.2%	4.6%
Call IV 25d	50.3%	39.7%	84.1%	84.1%	48.1%
Put IV 25d	49.7%	33.5%	65.8%	43.0%	63.8%
Bid-Ask Spread %	108.30	96.88	117.06	97.05	109.74
Gamma HHI	0.70	0.62	0.76	0.65	0.68
Net GEX	17.1K	12.6K	20.6K	12.6K	20.2K
Net DEX	-455.3K	-643.7K	-238.1K	-238.1K	-539.8K
Net VEX	-1.3K	-1.5K	-1.1K	-1.4K	-1.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.00	0.00	0.00	0.00	0.00
Total Volume	15.8	0	250	0	250
Total OI	363.25	341	389	341	389

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	Spread %	Call Vol	Put Vol	Call OI	Put OI
2023-12-01	$46.77	$60.00	41.4%	11.9%	43.2%	13.4%	0.0%	-41.1%	8.2%	12.6K	-238.1K	-1.4K	97.05	0	0	161	180
2023-12-04	$47.98	$0.00	62.6%	11.2%	41.0%	25.7%	0.0%	-3.8%	-0.4%	15.1K	-294.4K	-1.3K	105.79	0	1	161	180
2023-12-05	$47.36	$0.00	72.7%	12.9%	41.1%	31.5%	0.0%	-2.3%	-7.3%	13.7K	-282.7K	-1.4K	107.06	0	0	161	181
2023-12-06	$47.44	$0.00	80.9%	10.5%	40.3%	36.3%	0.0%	4.3%	1.1%	14.5K	-283.8K	-1.3K	108.05	10	0	161	181
2023-12-07	$48.13	$0.00	74.3%	10.5%	39.5%	32.4%	0.0%	2.2%	1.8%	14.0K	-296.1K	-1.5K	102.85	0	0	161	181
2023-12-08	$48.80	$0.00	66.9%	9.5%	38.0%	28.1%	0.0%	6.4%	6.5%	15.8K	-343.2K	-1.3K	110.62	0	10	161	181
2023-12-11	$48.63	$0.00	106.8%	10.0%	38.2%	51.3%	0.0%	-9.3%	6.7%	15.6K	-327.1K	-1.3K	101.95	0	0	161	191
2023-12-12	$48.80	$0.00	117.5%	9.6%	38.2%	57.5%	49.0%	-0.2%	-0.4%	16.2K	-347.0K	-1.3K	110.44	0	1	161	191
2023-12-13	$51.23	$45.00	40.8%	11.7%	30.4%	13.0%	34.3%	-0.5%	1.6%	16.4K	-458.1K	-1.3K	113.93	1	0	161	192
2023-12-14	$51.80	$45.00	37.8%	10.8%	30.5%	11.3%	0.0%	1.9%	8.0%	19.3K	-517.0K	-1.3K	115.79	0	0	162	192
2023-12-15	$51.62	$45.00	32.2%	9.2%	30.1%	8.0%	0.0%	6.1%	4.1%	15.8K	-516.0K	-1.3K	112.61	0	5	162	192
2023-12-18	$51.72	$45.00	38.9%	11.1%	30.0%	11.9%	0.0%	8.3%	2.0%	18.5K	-496.4K	-1.3K	116.95	26	0	161	197
2023-12-19	$52.70	$45.00	35.4%	10.1%	30.0%	9.9%	0.0%	-2.1%	-1.9%	18.6K	-581.3K	-1.2K	100.29	2	0	184	197
2023-12-20	$52.44	$45.00	40.5%	11.6%	29.1%	12.9%	0.0%	6.0%	12.6%	16.1K	-544.7K	-1.3K	117.06	5	0	185	197
2023-12-21	$52.49	$45.00	34.3%	9.8%	29.1%	9.3%	27.6%	-2.1%	9.4%	18.3K	-560.7K	-1.2K	96.88	5	0	187	197
2023-12-22	$53.14	$45.00	29.1%	8.3%	29.0%	6.2%	0.0%	-6.1%	1.3%	20.5K	-612.3K	-1.2K	110.24	0	0	192	197
2023-12-26	$53.72	$45.00	37.8%	10.8%	28.4%	11.3%	0.0%	6.0%	-11.0%	20.6K	-643.7K	-1.1K	107.70	0	0	192	197
2023-12-27	$53.28	$45.00	34.8%	10.0%	28.7%	9.6%	0.0%	-2.7%	-6.3%	19.2K	-609.5K	-1.1K	116.97	0	0	192	197
2023-12-28	$53.06	$45.00	32.9%	9.4%	29.1%	8.4%	0.0%	0.8%	-8.2%	20.4K	-613.9K	-1.1K	104.14	0	0	192	197
2023-12-29	$52.24	$45.00	45.0%	12.9%	29.4%	15.4%	37.5%	15.7%	-1.5%	20.2K	-539.8K	-1.2K	109.74	250	0	192	197