CBU Options History — March 2024

In March 2024, CBU traded between $43.47 and $47.80. ATM implied volatility averaged 66.7%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 32.9% (HV 20d: 33.8%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.57.

Notable Days

2024-03-06: Highest Volume — 256 contracts
2024-03-26: Largest IV spike — 117.6% change
2024-03-12: Highest IV Rank — 76.4%
2024-03-01: Largest Expected Move — 20.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.89	$43.47	$47.80	$45.08	$47.80
Max Pain	$46.25	$45.00	$50.00	$45.00	$45.00
ATM IV	66.7%	24.5%	152.7%	71.9%	52.3%
Expected Move	13.1%	7.0%	20.6%	20.6%	15.0%
HV 20d	33.8%	27.9%	38.6%	37.0%	34.4%
HV 60d	32.4%	30.6%	34.4%	31.2%	34.4%
IV Rank	25.5%	0.0%	76.4%	26.4%	21.7%
IV Percentile	62.8%	0.0%	99.6%	92.9%	62.7%
Term Structure	-4.7%	-30.0%	19.3%	-30.0%	-28.1%
VWIV	37.5%	22.2%	46.3%	41.7%	41.6%
Skew 25d	0.2%	-28.0%	10.3%	0.9%	-28.0%
Skew 10d	8.7%	-41.0%	44.7%	-41.0%	-1.5%
Call IV 25d	66.2%	48.1%	93.6%	93.6%	70.2%
Put IV 25d	66.4%	39.9%	94.5%	94.5%	42.2%
Bid-Ask Spread %	123.84	116.72	130.75	121.22	116.72
Gamma HHI	0.34	0.25	0.44	0.40	0.44
Net GEX	1.4K	-4.7K	11.8K	-3.5K	11.8K
Net DEX	-113.5K	-349.1K	78.0K	53.5K	-349.1K
Net VEX	-2.3K	-3.1K	-715	-715	-2.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.57	0.00	2.00	0.00	0.50
Total Volume	17.95	0	256	10	12
Total OI	378.1	153	453	153	450

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
2024-03-01	$45.08	$45.00	71.9%	20.6%	37.0%	26.4%	0.0%	0.9%	-30.0%	-3.5K	53.5K	-715	0.00	121.22	10	0	42	111
2024-03-04	$44.77	$50.00	80.2%	14.3%	37.1%	31.6%	0.0%	6.5%	-8.8%	-3.3K	37.5K	-909	0.00	119.61	0	0	52	111
2024-03-05	$46.39	$50.00	82.7%	9.7%	38.6%	33.2%	0.0%	-0.4%	3.1%	-4.7K	17.2K	-827	0.00	118.80	0	0	52	111
2024-03-06	$47.09	$50.00	90.7%	13.0%	38.5%	38.1%	0.0%	10.3%	-3.2%	-1.6K	-11.4K	-773	1.00	127.08	128	128	52	111
2024-03-07	$47.28	$50.00	95.2%	13.1%	38.2%	40.8%	0.0%	1.6%	-7.6%	-198	-182.2K	-2.5K	0.00	124.35	0	0	180	239
2024-03-08	$47.38	$50.00	96.0%	10.0%	38.1%	41.3%	41.7%	-9.9%	19.3%	2.6K	-166.0K	-2.8K	0.50	118.73	2	1	180	239
2024-03-11	$47.38	$45.00	125.5%	13.6%	37.6%	59.6%	0.0%	2.5%	-7.7%	337	-166.7K	-2.7K	0.00	127.58	0	0	182	240
2024-03-12	$46.20	$45.00	152.7%	14.0%	38.0%	76.4%	0.0%	8.4%	-3.1%	2.1K	-100.4K	-2.9K	0.00	124.11	1	0	182	240
2024-03-13	$45.73	$45.00	45.0%	12.9%	27.9%	9.8%	0.0%	10.1%	2.2%	3.0K	-177.8K	-2.7K	0.00	127.92	0	0	183	240
2024-03-14	$43.47	$45.00	46.0%	13.2%	30.5%	13.7%	46.3%	0.1%	-3.9%	-350	30.0K	-2.9K	2.00	122.44	10	20	183	240
2024-03-15	$44.47	$45.00	42.1%	12.1%	28.4%	10.5%	0.0%	9.0%	-8.5%	-80	78.0K	-2.8K	0.00	126.60	0	0	193	260
2024-03-18	$44.41	$45.00	35.3%	10.1%	28.3%	5.0%	35.6%	-15.1%	0.9%	-2.6K	-47.7K	-2.8K	0.00	117.95	20	0	182	227
2024-03-19	$44.47	$45.00	36.5%	10.5%	28.0%	6.0%	0.0%	9.4%	-2.0%	809	-92.8K	-3.0K	0.00	118.52	0	1	202	227
2024-03-20	$46.38	$45.00	49.5%	14.2%	31.7%	16.5%	0.0%	0.3%	-2.9%	2.3K	-222.6K	-2.2K	0.00	129.51	0	10	202	228
2024-03-21	$46.23	$45.00	47.6%	13.6%	31.5%	15.0%	0.0%	-1.5%	-6.5%	3.7K	-186.1K	-2.9K	0.00	126.56	0	0	202	238
2024-03-22	$45.22	$45.00	51.3%	14.7%	32.6%	17.9%	0.0%	0.7%	-6.6%	3.8K	-153.4K	-3.1K	0.00	126.03	0	0	202	238
2024-03-25	$45.44	$45.00	24.5%	7.0%	32.5%	0.0%	22.2%	-8.8%	12.8%	2.0K	-156.1K	-2.7K	0.50	121.80	10	5	202	238
2024-03-26	$45.55	$45.00	53.2%	15.3%	32.5%	22.4%	0.0%	-0.0%	-17.8%	2.1K	-187.1K	-2.7K	0.00	130.51	0	1	212	238
2024-03-27	$47.11	$45.00	56.1%	16.1%	34.4%	24.7%	0.0%	8.2%	4.1%	9.3K	-285.7K	-2.2K	0.00	130.75	0	0	212	239
2024-03-28	$47.80	$45.00	52.3%	15.0%	34.4%	21.7%	41.6%	-28.0%	-28.1%	11.8K	-349.1K	-2.2K	0.00	116.72	0	12	212	238