CYD Options History — January 2014

In January 2014, CYD traded between $19.74 and $22.73. ATM implied volatility averaged 36.6%, placing in the 35.1% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 5.0% (HV 20d: 41.6%). Max pain ranged from $19.60 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.87.

Notable Days

  • 2014-01-07: Highest Volume — 655 contracts
  • 2014-01-13: Largest IV spike — 22.8% change
  • 2014-01-24: Highest IV Rank — 42.9%
  • 2014-01-24: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.64$19.74$22.73$19.74$21.25
Max Pain$19.64$19.60$20.00$20.00$19.60
ATM IV36.6%28.4%40.9%40.8%39.4%
Expected Move10.7%10.1%11.7%11.7%11.3%
HV 20d41.6%29.5%48.4%30.9%43.6%
HV 60d39.2%36.2%41.3%36.3%39.8%
IV Rank35.1%20.0%42.9%42.9%40.2%
IV Percentile60.4%26.2%81.0%81.0%73.0%
Term Structure4.7%-2.7%7.4%-2.7%7.4%
VWIV38.5%35.7%43.6%40.8%43.6%
Skew 25d6.1%-0.6%28.1%10.2%8.1%
Skew 10d14.6%3.1%50.0%16.1%25.3%
Call IV 25d36.8%30.3%42.1%37.6%34.9%
Put IV 25d42.8%39.5%58.5%47.7%43.0%
Bid-Ask Spread %90.5485.1298.7393.6492.62
Gamma HHI0.260.220.290.220.27
Net GEX27.6K15.0K43.1K15.0K22.6K
Net DEX-366.8K-884.8K245.9K245.9K-15.9K
Net VEX-9.4K-10.6K-6.3K-6.3K-8.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.870.0031.001.0131.00
Total Volume66.8570655281128
Total OI3,270.5712,4823,4952,4823,433

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$19.74$20.0040.8%11.7%30.9%42.9%40.8%10.2%-2.7%15.0K245.9K-6.3K1.0193.64N/AN/A1401411,4551,027
2014-01-03$20.30$20.0037.0%10.6%30.8%35.8%0.0%28.1%1.7%18.7K66.7K-7.3K0.0098.73N/AN/A001,5671,168
2014-01-06$20.75$19.6039.5%11.7%29.5%40.5%0.0%3.5%1.3%23.7K-168.8K-7.5K0.0086.75N/AN/A001,5671,168
2014-01-07$22.12$19.6033.3%10.5%36.5%29.0%37.6%4.2%4.5%37.3K-808.3K-7.7K3.4685.12N/AN/A1475081,5671,168
2014-01-08$21.71$19.6028.4%10.4%36.8%20.0%0.0%1.2%5.9%24.3K-406.9K-10.4K3.7086.24N/AN/A10371,6781,636
2014-01-09$22.73$19.6033.8%10.3%39.9%30.0%36.3%5.8%5.3%30.7K-884.8K-10.6K0.0086.82N/AN/A701,6881,673
2014-01-10$21.83$19.6033.2%10.3%42.8%28.9%0.0%3.7%5.6%25.0K-405.8K-10.5K0.0088.02N/AN/A1501,6861,673
2014-01-13$22.21$19.6040.8%10.6%43.1%42.8%37.9%2.4%4.9%27.5K-641.4K-10.3K0.0086.64N/AN/A2301,6961,673
2014-01-14$22.15$19.6035.7%10.7%43.0%33.5%0.0%-0.6%4.3%27.5K-600.3K-10.2K0.0088.11N/AN/A9301,7071,673
2014-01-15$22.21$19.6033.6%10.4%43.0%29.6%0.0%3.5%5.6%32.7K-802.0K-10.4K0.0089.30N/AN/A001,7781,673
2014-01-16$21.97$19.6036.1%10.3%42.7%34.1%35.9%2.9%6.0%29.5K-579.7K-10.3K0.0089.06N/AN/A4401,7781,673
2014-01-17$22.04$19.6035.2%10.1%42.5%32.6%0.0%4.8%6.2%35.2K-662.4K-10.3K0.0092.01N/AN/A801,8221,673
2014-01-21$22.41$19.6035.9%10.3%42.7%33.8%35.7%4.4%7.2%40.7K-652.4K-10.0K0.0089.71N/AN/A1101,7391,653
2014-01-22$22.67$19.6036.6%10.5%42.7%35.1%36.3%4.8%6.3%43.1K-814.8K-9.8K0.5088.41N/AN/A1471,7441,653
2014-01-23$22.23$19.6035.9%10.3%43.4%33.8%0.0%7.3%6.5%39.3K-574.4K-9.7K0.0090.17N/AN/A0351,7441,660
2014-01-24$21.03$19.6040.9%11.7%48.1%42.9%0.0%1.7%3.0%18.2K53.7K-9.6K0.0092.14N/AN/A2001,7441,695
2014-01-27$20.95$19.6038.3%11.0%47.6%38.2%0.0%5.7%6.2%15.5K170.1K-9.2K0.0096.61N/AN/A001,7441,695
2014-01-28$21.45$19.6037.1%10.7%48.3%36.1%0.0%4.0%6.4%25.5K-109.8K-9.4K0.0091.32N/AN/A001,7441,695
2014-01-29$21.29$19.6040.0%11.5%48.4%41.2%42.2%11.0%1.5%21.9K-17.3K-9.3K0.4596.63N/AN/A1151,7441,695
2014-01-30$21.50$19.6037.2%10.7%48.2%36.1%0.0%10.4%5.7%26.2K-94.5K-9.1K0.0093.21N/AN/A001,7331,700
2014-01-31$21.25$19.6039.4%11.3%43.6%40.2%43.6%8.1%7.4%22.6K-15.9K-8.9K31.0092.62N/AN/A41241,7331,700