CBU Options History — January 2024

In January 2024, CBU traded between $45.87 and $52.30. ATM implied volatility averaged 40.0%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 14.0% (HV 20d: 26.0%). Max pain ranged from $35.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.37.

Notable Days

2024-01-16: Highest Volume — 16 contracts
2024-01-31: Largest IV spike — 97.4% change
2024-01-31: Highest IV Rank — 26.5%
2024-01-31: Largest Expected Move — 20.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$49.26	$45.87	$52.30	$52.30	$45.87
Max Pain	$37.38	$35.00	$45.00	$45.00	$40.00
ATM IV	40.0%	30.1%	71.2%	31.3%	71.2%
Expected Move	11.2%	8.6%	20.4%	9.0%	20.4%
HV 20d	26.0%	21.8%	31.6%	23.3%	31.6%
HV 60d	36.6%	34.2%	38.4%	37.2%	34.3%
IV Rank	10.0%	3.5%	26.5%	5.3%	26.5%
IV Percentile	27.4%	2.4%	92.5%	5.2%	92.5%
Term Structure	-2.3%	-24.2%	17.0%	17.0%	-24.2%
VWIV	39.1%	30.1%	46.9%	39.3%	36.9%
Skew 25d	16.1%	-13.4%	41.7%	0.3%	21.8%
Skew 10d	7.1%	-41.0%	55.6%	-41.0%	19.4%
Call IV 25d	37.5%	26.6%	45.3%	36.9%	45.3%
Put IV 25d	53.6%	28.7%	79.8%	37.2%	67.1%
Bid-Ask Spread %	101.04	85.23	115.27	104.36	110.30
Gamma HHI	0.63	0.46	0.84	0.63	0.70
Net GEX	42.5K	14.7K	80.4K	80.4K	14.7K
Net DEX	-467.8K	-895.4K	-177.8K	-895.4K	-177.8K
Net VEX	-1.2K	-2.0K	-660	-2.0K	-679
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.37	0.00	11.00	0.00	0.00
Total Volume	3.905	0	16	1	1
Total OI	550.333	388	657	639	413

Daily Data (21 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
2024-01-02	$52.30	$45.00	31.3%	9.0%	23.3%	5.3%	0.0%	0.3%	17.0%	80.4K	-895.4K	-2.0K	0.00	104.36	1	0	442	197
2024-01-03	$50.14	$45.00	51.1%	14.7%	27.6%	17.1%	0.0%	-10.3%	-15.0%	58.0K	-654.8K	-1.8K	0.00	115.27	0	0	443	197
2024-01-04	$50.13	$35.00	45.2%	12.1%	27.1%	13.6%	0.0%	13.0%	-1.7%	59.6K	-660.3K	-1.8K	0.00	99.95	0	0	443	197
2024-01-05	$50.80	$35.00	43.1%	12.6%	27.3%	12.4%	0.0%	4.8%	0.2%	65.7K	-684.5K	-1.8K	0.00	100.90	0	0	443	197
2024-01-08	$51.23	$35.00	50.7%	11.4%	27.1%	16.9%	0.0%	18.5%	-2.2%	67.1K	-834.5K	-1.8K	0.00	101.85	0	1	443	197
2024-01-09	$50.30	$35.00	42.9%	10.4%	27.8%	12.3%	0.0%	5.5%	-1.3%	57.5K	-555.0K	-1.3K	0.00	98.00	0	0	443	198
2024-01-10	$50.03	$35.00	35.7%	10.2%	27.8%	8.0%	39.3%	3.6%	3.0%	49.6K	-486.0K	-1.2K	0.00	99.98	0	8	443	198
2024-01-11	$49.72	$35.00	34.9%	10.0%	27.9%	7.5%	0.0%	21.7%	-3.7%	48.7K	-462.3K	-1.2K	0.00	103.23	0	0	443	198
2024-01-12	$49.19	$35.00	34.6%	9.9%	21.8%	7.3%	0.0%	15.3%	-1.2%	54.1K	-568.6K	-1.4K	0.00	104.91	0	0	443	198
2024-01-16	$48.33	$35.00	37.5%	10.8%	21.9%	9.1%	0.0%	26.2%	-6.8%	47.2K	-529.8K	-1.1K	0.07	106.48	15	1	443	198
2024-01-17	$47.62	$35.00	31.9%	9.1%	22.2%	5.7%	0.0%	23.1%	-4.6%	40.0K	-462.8K	-1.0K	0.00	105.39	13	0	458	199
2024-01-18	$47.89	$35.00	36.2%	10.4%	22.4%	8.3%	0.0%	19.1%	1.0%	45.9K	-487.3K	-958	0.00	104.10	0	0	447	199
2024-01-19	$49.08	$35.00	40.1%	11.5%	23.3%	10.6%	42.1%	31.7%	-1.6%	20.0K	-316.8K	-818	0.00	105.47	4	0	447	199
2024-01-22	$50.42	$35.00	37.6%	10.8%	25.6%	9.1%	41.9%	22.2%	5.3%	28.3K	-431.3K	-860	3.00	90.59	1	3	190	198
2024-01-23	$49.16	$35.00	33.2%	9.5%	26.9%	6.5%	32.7%	33.3%	-3.2%	31.1K	-352.3K	-815	1.00	105.82	1	1	191	201
2024-01-24	$48.53	$40.00	30.1%	8.6%	26.5%	4.7%	0.0%	40.1%	-0.2%	22.9K	-279.9K	-761	0.00	104.84	2	0	190	202
2024-01-25	$47.95	$40.00	35.5%	10.2%	25.9%	7.9%	0.0%	17.5%	-3.1%	22.0K	-224.5K	-660	11.00	93.76	1	11	192	202
2024-01-26	$48.68	$40.00	30.5%	8.7%	26.9%	3.5%	30.1%	1.4%	4.1%	31.8K	-268.7K	-774	0.00	85.23	14	0	193	212
2024-01-29	$48.91	$40.00	49.8%	14.3%	27.1%	13.4%	46.9%	-13.4%	-12.8%	26.9K	-246.3K	-675	0.00	90.94	2	0	197	212
2024-01-30	$48.27	$40.00	36.1%	10.3%	27.0%	4.9%	42.7%	41.7%	1.6%	21.2K	-245.7K	-702	0.00	90.50	2	0	199	212
2024-01-31	$45.87	$40.00	71.2%	20.4%	31.6%	26.5%	36.9%	21.8%	-24.2%	14.7K	-177.8K	-679	0.00	110.30	0	1	201	212