CYD Options History — July 2014

In July 2014, CYD traded between $20.46 and $21.70. ATM implied volatility averaged 36.6%, placing in the 35.4% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 17.4% (HV 20d: 19.2%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.46.

Notable Days

  • 2014-07-29: Highest Volume — 197 contracts
  • 2014-07-10: Largest IV spike — 44.5% change
  • 2014-07-31: Highest IV Rank — 56.1%
  • 2014-07-31: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.12$20.46$21.70$21.43$20.47
Max Pain$21.14$20.00$22.50$20.00$22.50
ATM IV36.6%24.4%47.7%24.4%47.7%
Expected Move9.2%9.0%9.4%9.3%9.4%
HV 20d19.2%17.0%22.7%18.2%22.3%
HV 60d25.1%23.7%26.0%25.7%23.7%
IV Rank35.4%12.9%56.1%12.9%56.1%
IV Percentile48.2%1.2%84.5%1.2%84.5%
Term Structure-4.2%-13.3%11.7%6.2%-13.3%
VWIV31.7%28.5%32.6%32.6%31.5%
Skew 25d1.9%-4.3%10.7%1.8%10.3%
Skew 10d5.9%-19.0%71.2%3.2%19.7%
Call IV 25d37.6%24.6%45.3%27.6%45.3%
Put IV 25d39.5%26.7%55.6%29.3%55.6%
Bid-Ask Spread %52.8837.8969.2547.7455.27
Gamma HHI0.380.330.430.330.34
Net GEX38.1K28.6K48.5K28.6K33.3K
Net DEX-567.5K-915.0K-247.0K-527.2K-247.0K
Net VEX-3.6K-4.1K-3.0K-3.9K-3.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.002.781.331.74
Total Volume36.3640197281
Total OI2,098.6821,9412,2661,9412,031

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$21.43$20.0024.4%9.3%18.2%12.9%0.0%1.8%6.2%28.6K-527.2K-3.9K1.3347.74N/AN/A12161,010931
2014-07-02$21.40$20.0026.6%9.3%17.1%16.9%32.6%-4.0%3.1%29.6K-577.0K-3.9K0.0146.65N/AN/A16011,018934
2014-07-03$21.70$20.0028.5%9.4%17.2%20.4%0.0%6.2%11.7%39.9K-903.8K-4.1K0.0069.25N/AN/A401,178935
2014-07-07$21.66$20.0026.8%9.0%17.1%17.3%0.0%-4.0%-3.3%36.4K-915.0K-3.7K0.0054.01N/AN/A101,174935
2014-07-08$21.63$20.0027.1%9.0%17.0%17.8%0.0%-3.1%-3.4%38.0K-891.6K-3.9K0.1051.40N/AN/A1011,173935
2014-07-09$21.36$20.0025.5%9.2%17.7%14.8%0.0%-1.5%-2.6%37.8K-763.1K-3.8K0.0041.26N/AN/A7501,176936
2014-07-10$21.03$20.0036.8%9.2%18.1%35.9%0.0%0.5%-4.1%42.7K-683.9K-4.0K0.1437.89N/AN/A80111,251936
2014-07-11$20.76$20.0036.2%9.4%17.8%34.8%32.6%-4.3%-1.9%47.8K-567.2K-4.0K2.7855.23N/AN/A9251,269940
2014-07-14$20.56$20.0037.4%9.3%17.4%36.9%0.0%-2.5%-2.8%48.5K-425.9K-3.9K0.0039.88N/AN/A001,275965
2014-07-15$21.02$20.0037.7%9.2%18.4%37.5%32.5%3.1%-3.8%41.8K-667.4K-3.7K0.2264.23N/AN/A1841,275955
2014-07-16$20.71$20.0038.6%9.3%19.1%39.3%32.6%3.0%-5.6%47.3K-547.4K-3.8K0.0061.36N/AN/A0491,281954
2014-07-17$21.01$20.0039.3%9.0%19.5%40.5%28.5%3.9%-5.7%37.3K-608.4K-3.7K1.1052.70N/AN/A21231,246992
2014-07-18$21.22$22.5037.8%9.3%19.5%37.6%0.0%-2.7%-5.7%42.0K-730.3K-3.8K0.0052.29N/AN/A101,2651,001
2014-07-21$21.57$22.5039.4%9.1%20.1%40.6%31.8%1.7%-6.4%38.7K-591.1K-3.4K0.0256.71N/AN/A5011,066952
2014-07-22$21.64$22.5037.1%9.0%20.1%36.4%0.0%4.3%-4.8%37.8K-631.3K-3.4K0.0055.35N/AN/A2001,072953
2014-07-23$21.32$22.5040.1%9.4%20.8%42.0%0.0%2.9%-6.5%34.5K-500.1K-3.5K0.0052.52N/AN/A101,073953
2014-07-24$21.13$22.5040.4%9.2%21.1%42.6%0.0%2.8%-5.0%35.9K-434.3K-3.4K0.0052.47N/AN/A001,086953
2014-07-25$20.89$22.5043.8%9.2%19.6%48.8%0.0%-0.7%-8.1%32.1K-343.1K-3.5K0.0060.61N/AN/A001,086953
2014-07-28$21.21$22.5044.0%9.3%19.7%49.2%0.0%7.4%-8.8%43.1K-427.1K-3.0K0.0056.92N/AN/A101,086953
2014-07-29$20.54$22.5043.8%9.2%22.7%48.8%0.0%6.5%-9.3%31.1K-247.1K-3.1K1.7445.47N/AN/A721251,087904
2014-07-30$20.46$22.5045.5%9.1%22.3%52.1%0.0%10.7%-11.3%34.7K-255.6K-3.1K0.0054.04N/AN/A081,152871
2014-07-31$20.47$22.5047.7%9.4%22.3%56.1%31.5%10.3%-13.3%33.3K-247.0K-3.1K0.0055.27N/AN/A011,152879