CYD Options History — June 2014

In June 2014, CYD traded between $19.90 and $21.25. ATM implied volatility averaged 28.9%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 6.4% (HV 20d: 22.6%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.92.

Notable Days

  • 2014-06-26: Highest Volume — 246 contracts
  • 2014-06-03: Largest IV drop — 27.6% change
  • 2014-06-02: Highest IV Rank — 30.4%
  • 2014-06-23: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.64$19.90$21.25$20.94$21.22
Max Pain$19.50$15.00$20.00$20.00$20.00
ATM IV28.9%24.5%33.8%33.8%26.2%
Expected Move8.8%7.0%10.3%9.7%9.4%
HV 20d22.6%14.5%33.5%33.5%17.9%
HV 60d26.6%26.0%27.1%26.5%26.2%
IV Rank21.2%13.0%30.4%30.4%16.3%
IV Percentile14.2%2.0%28.2%28.2%3.6%
Term Structure4.8%-5.4%17.5%-3.4%17.5%
VWIV32.0%28.1%35.7%28.1%32.6%
Skew 25d-2.8%-16.1%7.8%5.2%-1.6%
Skew 10d-0.8%-18.0%37.8%4.3%2.3%
Call IV 25d31.5%23.6%39.1%31.3%34.1%
Put IV 25d28.7%22.9%36.5%36.5%32.4%
Bid-Ask Spread %82.0043.27103.9495.1851.60
Gamma HHI0.360.290.460.420.32
Net GEX21.6K96941.2K7.3K23.6K
Net DEX31.1K-366.7K301.2K140.5K-364.9K
Net VEX-3.6K-4.1K-3.1K-3.8K-3.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.920.0010.000.310.00
Total Volume4302462170
Total OI1,818.2381,5511,9901,6251,851

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$20.94$20.0033.8%9.7%33.5%30.4%0.0%5.2%-3.4%7.3K140.5K-3.8K0.3195.18N/AN/A165698927
2014-06-03$21.00$20.0024.5%7.0%30.6%13.0%28.1%-2.0%7.4%8.2K137.2K-3.7K0.0094.58N/AN/A044700927
2014-06-04$20.66$20.0030.3%8.7%30.4%23.8%30.1%7.8%-2.5%969301.2K-3.8K0.03101.46N/AN/A1775700966
2014-06-05$20.93$20.0026.3%7.6%30.6%16.4%0.0%6.3%8.5%22.2K-40.7K-3.8K0.00103.94N/AN/A02876966
2014-06-06$21.08$20.0026.3%9.3%30.6%16.3%0.0%-1.1%3.8%18.0K-68.0K-4.0K0.1390.36N/AN/A405876968
2014-06-09$21.01$20.0029.9%8.8%30.6%23.1%34.1%-6.4%1.9%21.2K-104.7K-4.0K0.1385.03N/AN/A8010916968
2014-06-10$21.12$20.0032.5%8.5%21.9%27.9%0.0%4.4%10.8%26.6K-304.3K-4.1K0.0089.74N/AN/A07986968
2014-06-11$20.88$20.0029.1%9.0%21.9%21.5%32.9%1.1%6.2%30.5K-203.1K-3.9K0.0091.12N/AN/A050986964
2014-06-12$20.55$20.0032.1%9.2%21.2%27.2%0.0%-13.1%-5.4%25.9K-75.9K-3.9K0.0090.14N/AN/A00986974
2014-06-13$20.27$20.0029.1%8.4%21.6%21.7%0.0%-16.1%-1.1%26.9K48.9K-3.8K0.5091.50N/AN/A21986974
2014-06-16$20.06$20.0027.6%7.9%21.4%18.8%0.0%-4.4%9.2%29.9K194.4K-3.6K0.0091.23N/AN/A00986974
2014-06-17$19.90$20.0026.4%7.6%20.6%16.5%0.0%-6.6%7.7%36.0K273.3K-3.4K5.0093.49N/AN/A630986974
2014-06-18$20.07$20.0028.4%8.1%21.0%20.2%0.0%-8.6%4.2%38.6K237.1K-3.5K0.0089.88N/AN/A009861,004
2014-06-19$20.27$20.0028.7%8.2%20.3%20.9%0.0%-5.6%6.5%33.8K118.0K-3.5K10.0090.74N/AN/A110975991
2014-06-20$20.31$20.0027.2%7.8%20.3%18.1%28.4%-3.2%7.9%41.2K48.5K-3.3K0.8393.86N/AN/A65976985
2014-06-23$20.39$0.0028.9%10.3%14.5%21.2%35.7%-6.7%2.7%9.3K188.9K-3.1K0.0059.04N/AN/A031710841
2014-06-24$20.25$15.0026.8%10.2%14.6%17.3%0.0%-8.1%6.4%9.1K218.4K-3.2K2.0061.79N/AN/A12710872
2014-06-25$20.42$15.0027.7%9.9%14.6%19.0%33.5%-6.1%8.9%7.9K234.1K-3.2K0.1543.27N/AN/A274710874
2014-06-26$20.94$20.0032.6%9.3%17.2%28.0%32.4%1.8%2.2%12.4K41.0K-3.3K0.1751.82N/AN/A21036737878
2014-06-27$21.25$20.0032.9%9.5%18.0%28.5%32.6%4.0%2.2%23.6K-366.7K-4.0K5.6762.14N/AN/A317937914
2014-06-30$21.22$20.0026.2%9.4%17.9%16.3%0.0%-1.6%17.5%23.6K-364.9K-3.9K0.0051.60N/AN/A700937914