CBU Options History — September 2024 In September 2024, CBU traded between $56.34 and $60.34. ATM implied volatility averaged 42.4%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 18.4% (HV 20d: 24.0%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2024-09-30 : Highest Volume — 5 contracts2024-09-11 : Largest IV drop — 50.9% change2024-09-10 : Highest IV Rank — 32.3%2024-09-04 : Largest Expected Move — 13.8%Monthly Statistics Metric Avg Min Max Open Close Price $58.15 $56.34 $60.34 $60.34 $57.90 Max Pain $60.00 $60.00 $60.00 $60.00 $60.00 ATM IV 42.4% 28.2% 65.9% 46.5% 46.3% Expected Move 10.7% 8.1% 13.8% 13.3% 13.3% HV 20d 24.0% 20.3% 27.1% 27.1% 21.7% HV 60d 34.8% 34.3% 35.3% 34.9% 34.9% IV Rank 14.0% 3.0% 32.3% 17.2% 17.1% IV Percentile 32.5% 2.4% 81.3% 43.7% 44.4% Term Structure -7.4% -21.0% 3.4% -14.7% -21.0% VWIV 46.7% 46.7% 46.7% 46.7% 46.7% Skew 25d -10.0% -35.1% 7.4% -7.7% -18.8% Skew 10d -2.0% -50.2% 5.2% -33.9% 1.4% Call IV 25d 52.7% 44.4% 66.3% 65.3% 65.0% Put IV 25d 42.6% 31.1% 57.6% 57.6% 46.2% Bid-Ask Spread % 123.84 119.16 126.40 120.27 125.83 Gamma HHI 0.20 0.19 0.20 0.20 0.20 Net GEX 31.6K 26.2K 35.2K 33.0K 32.1K Net DEX -780.0K -989.0K -570.1K -989.0K -747.7K Net VEX -5.0K -5.7K -4.5K -5.7K -4.6K 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 0.45 0 5 0 5 Total OI 497.25 477 506 505 479
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 2024-09-03 $60.34 $60.00 46.5% 13.3% 27.1% 17.2% 0.0% -7.7% -14.7% 33.0K -989.0K -5.7K 0.00 120.27 0 0 388 117 2024-09-04 $60.08 $60.00 48.0% 13.8% 26.5% 18.4% 0.0% -35.1% -17.9% 32.1K -955.8K -5.7K 0.00 126.39 0 0 388 117 2024-09-05 $58.94 $0.00 50.8% 9.2% 26.7% 20.5% 0.0% 7.4% -3.5% 30.7K -864.3K -5.6K 0.00 123.91 0 0 388 117 2024-09-06 $58.23 $0.00 54.6% 8.8% 26.5% 23.5% 0.0% 1.4% -0.8% 29.7K -766.4K -5.5K 0.00 122.29 0 0 388 117 2024-09-09 $57.28 $0.00 65.6% 10.5% 26.8% 32.1% 0.0% 1.2% 1.0% 28.9K -680.0K -5.2K 0.00 123.91 0 0 388 117 2024-09-10 $56.93 $0.00 65.9% 10.2% 26.1% 32.3% 0.0% 1.0% 3.4% 28.0K -625.5K -5.1K 0.00 122.81 1 0 388 117 2024-09-11 $56.50 $0.00 32.3% 9.3% 25.4% 6.1% 0.0% -2.7% 1.6% 26.2K -593.2K -5.1K 0.00 119.16 0 0 389 117 2024-09-12 $56.34 $0.00 28.2% 8.1% 25.2% 3.0% 0.0% -5.9% -3.0% 28.4K -570.1K -4.9K 0.00 124.85 0 0 389 117 2024-09-13 $57.45 $0.00 29.6% 8.5% 24.4% 4.0% 0.0% -10.7% 0.0% 30.7K -706.7K -5.0K 0.00 124.30 0 0 389 117 2024-09-16 $58.03 $0.00 36.6% 10.5% 23.1% 9.5% 0.0% -13.2% -9.2% 31.1K -778.8K -5.1K 0.00 124.99 0 0 389 117 2024-09-17 $58.20 $0.00 35.4% 10.1% 23.0% 8.5% 0.0% -14.7% -4.4% 33.2K -826.9K -5.1K 0.00 124.50 0 0 389 117 2024-09-18 $58.52 $0.00 36.0% 10.3% 22.2% 9.0% 0.0% -16.7% -9.0% 33.0K -898.6K -5.0K 0.00 125.44 0 0 389 117 2024-09-19 $60.16 $0.00 37.2% 10.7% 24.3% 9.9% 0.0% -13.3% -6.4% 35.2K -970.5K -5.2K 0.00 126.37 0 0 389 117 2024-09-20 $58.77 $0.00 37.3% 10.7% 25.8% 10.0% 0.0% -18.7% -11.6% 34.5K -808.5K -4.9K 0.00 126.40 1 0 389 117 2024-09-23 $59.31 $0.00 39.3% 11.3% 20.3% 11.6% 0.0% -17.6% -8.9% 35.0K -876.6K -4.8K 0.00 125.69 0 0 371 106 2024-09-24 $58.07 $0.00 39.3% 11.3% 21.4% 11.6% 46.7% -16.4% -12.7% 32.5K -791.5K -4.8K 0.00 122.36 1 0 371 106 2024-09-25 $57.53 $60.00 40.9% 11.7% 21.3% 12.8% 0.0% -14.2% -17.1% 32.9K -728.3K -4.7K 0.00 123.79 0 0 372 106 2024-09-26 $57.24 $60.00 41.3% 11.8% 20.8% 13.2% 0.0% 6.6% -6.6% 32.7K -717.6K -4.5K 0.00 120.30 0 0 372 106 2024-09-27 $57.12 $60.00 36.3% 10.4% 20.8% 9.3% 0.0% -12.7% -7.8% 32.6K -704.2K -4.5K 0.00 123.16 1 0 372 106 2024-09-30 $57.90 $60.00 46.3% 13.3% 21.7% 17.1% 0.0% -18.8% -21.0% 32.1K -747.7K -4.6K 0.00 125.83 5 0 373 106
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