CYD Options History — March 2014

In March 2014, CYD traded between $20.58 and $21.72. ATM implied volatility averaged 36.9%, placing in the 35.7% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 1.7% (HV 20d: 35.2%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.17.

Notable Days

  • 2014-03-25: Highest Volume — 122 contracts
  • 2014-03-31: Largest IV drop — 14.7% change
  • 2014-03-07: Highest IV Rank — 42.8%
  • 2014-03-05: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.21$20.58$21.72$21.45$21.18
Max Pain$22.02$20.00$22.50$20.00$22.50
ATM IV36.9%31.5%40.8%38.0%31.5%
Expected Move10.6%9.0%11.4%10.9%9.0%
HV 20d35.2%18.8%49.6%49.6%21.8%
HV 60d40.9%39.6%41.9%41.9%39.6%
IV Rank35.7%25.8%42.8%37.6%25.8%
IV Percentile52.3%27.0%75.4%60.7%27.0%
Term Structure5.0%-4.1%19.0%-2.5%19.0%
VWIV37.1%33.2%40.2%38.8%35.9%
Skew 25d3.1%-1.8%11.2%11.2%0.6%
Skew 10d6.6%-9.8%34.2%11.4%3.3%
Call IV 25d35.6%30.5%43.1%36.3%36.5%
Put IV 25d38.6%34.5%47.4%47.4%37.0%
Bid-Ask Spread %87.8774.6296.3388.2996.33
Gamma HHI0.470.400.520.470.42
Net GEX-45.0K-54.3K-36.3K-37.7K-53.1K
Net DEX863.1K712.0K1.0M806.4K847.6K
Net VEX-7.7K-8.4K-6.9K-8.4K-7.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.007.501.005.33
Total Volume2801222095
Total OI2,602.0482,4952,7212,5392,721

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$21.45$20.0038.0%10.9%49.6%37.6%0.0%11.2%-2.5%-37.7K806.4K-8.4K1.0088.29N/AN/A10107221,817
2014-03-04$21.02$20.0038.7%11.1%48.5%39.0%0.0%-1.0%5.7%-41.9K937.8K-8.3K0.0089.91N/AN/A1707321,827
2014-03-05$21.07$20.0039.8%11.4%47.5%41.0%38.8%0.8%0.4%-43.0K980.9K-8.4K0.0090.60N/AN/A107491,827
2014-03-06$21.72$20.0039.6%11.3%45.0%40.6%40.2%7.4%-4.1%-36.3K712.0K-8.4K0.0093.29N/AN/A5507491,827
2014-03-07$21.31$22.5040.8%10.6%45.6%42.8%39.0%2.3%3.3%-40.7K849.6K-8.2K0.0080.48N/AN/A107581,827
2014-03-10$21.21$22.5037.0%11.3%45.5%35.9%0.0%3.8%3.7%-41.0K898.0K-8.2K0.0078.03N/AN/A007591,827
2014-03-11$21.20$22.5037.6%10.9%45.4%37.0%0.0%3.8%3.6%-42.7K907.2K-7.9K0.0074.62N/AN/A007591,827
2014-03-12$21.20$22.5038.7%10.9%45.4%38.9%0.0%-1.8%4.1%-43.8K913.5K-7.8K0.0084.17N/AN/A1007591,827
2014-03-13$21.20$22.5037.4%10.7%45.3%36.5%36.8%2.6%6.0%-44.4K915.0K-7.8K1.0081.93N/AN/A227651,827
2014-03-14$21.21$22.5036.8%10.6%39.5%35.5%0.0%5.5%4.3%-47.0K922.5K-7.7K0.0084.23N/AN/A007651,825
2014-03-17$21.20$22.5038.6%11.1%39.5%38.7%0.0%4.0%7.0%-45.6K882.7K-7.5K0.0088.18N/AN/A007651,825
2014-03-18$21.46$22.5035.0%10.0%28.9%32.3%0.0%5.5%5.0%-41.9K809.1K-7.5K0.0089.02N/AN/A6007651,825
2014-03-19$21.37$22.5036.0%10.3%27.7%34.0%36.0%5.2%4.3%-42.7K806.5K-7.6K1.2090.16N/AN/A568251,825
2014-03-20$21.36$22.5032.1%9.2%27.7%26.9%33.2%4.0%7.9%-43.9K784.2K-7.3K1.0087.45N/AN/A118151,811
2014-03-21$21.20$22.5035.7%10.2%27.7%33.4%0.0%4.1%4.7%-47.1K817.2K-7.1K0.0089.67N/AN/A1008161,811
2014-03-24$21.20$22.5036.0%10.3%25.9%33.9%36.7%2.0%8.0%-48.8K828.7K-6.9K0.1989.07N/AN/A72147251,770
2014-03-25$21.39$22.5035.4%10.2%24.0%32.9%0.0%3.5%5.7%-46.5K744.0K-7.2K0.6989.07N/AN/A72507871,784
2014-03-26$21.20$22.5036.1%10.3%18.8%34.1%35.9%3.1%7.1%-48.8K762.5K-7.5K0.3291.32N/AN/A2588081,834
2014-03-27$20.58$22.5037.3%10.7%19.6%36.3%0.0%-1.4%5.2%-54.3K1.0M-7.4K1.7094.50N/AN/A10178231,842
2014-03-28$20.67$22.5037.0%10.6%19.7%35.8%0.0%-1.0%5.5%-54.2K976.3K-7.4K7.5094.85N/AN/A4308331,858
2014-03-31$21.18$22.5031.5%9.0%21.8%25.8%0.0%0.6%19.0%-53.1K847.6K-7.5K5.3396.33N/AN/A15808331,888