CYD Options History — August 2014

In August 2014, CYD traded between $20.02 and $20.73. ATM implied volatility averaged 33.6%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 15.7% (HV 20d: 17.9%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.39.

Notable Days

  • 2014-08-14: Highest Volume — 580 contracts
  • 2014-08-11: Largest IV drop — 45.7% change
  • 2014-08-07: Highest IV Rank — 67.4%
  • 2014-08-04: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.47$20.02$20.73$20.53$20.67
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV33.6%21.8%53.8%46.5%21.8%
Expected Move8.6%8.0%9.5%9.3%8.1%
HV 20d17.9%11.1%21.9%21.6%11.1%
HV 60d19.5%17.2%23.7%23.6%17.2%
IV Rank23.3%0.0%67.4%53.9%0.0%
IV Percentile32.0%0.0%94.0%82.9%0.0%
Term Structure0.4%-11.6%6.7%-11.6%6.7%
VWIV29.7%24.2%33.6%33.2%28.4%
Skew 25d4.3%-9.0%16.4%-0.9%4.9%
Skew 10d8.3%-6.3%37.9%-3.4%8.0%
Call IV 25d27.0%18.2%45.8%45.8%20.3%
Put IV 25d31.3%22.0%45.0%45.0%25.2%
Bid-Ask Spread %55.0939.5470.5147.3060.01
Gamma HHI0.530.350.850.350.53
Net GEX16.9K-30.3K107.8K35.5K-30.3K
Net DEX-71.7K-548.2K191.0K-274.6K94.2K
Net VEX-2.7K-3.1K-1.7K-3.0K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.001.620.140.05
Total Volume45.5240580122
Total OI1,605.6191,0012,6472,0321,055

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$20.53$22.5046.5%9.3%21.6%53.9%33.2%-0.9%-11.6%35.5K-274.6K-3.0K0.0047.30N/AN/A011,152880
2014-08-04$20.56$22.5049.3%9.5%21.7%59.0%0.0%2.8%-1.0%39.4K-302.2K-2.8K0.0041.45N/AN/A001,152881
2014-08-05$20.31$22.5049.4%9.4%21.9%59.3%31.9%-9.0%-0.0%35.1K-157.9K-2.6K0.0044.92N/AN/A071,152881
2014-08-06$20.31$22.5051.6%9.3%21.7%63.3%33.6%2.2%-0.0%36.7K-171.5K-2.7K0.0039.54N/AN/A041,152888
2014-08-07$20.03$22.5053.8%9.2%21.5%67.4%24.8%3.6%-0.5%32.0K-42.3K-2.5K0.1457.15N/AN/A2131,152892
2014-08-08$20.02$22.5051.7%9.3%21.2%63.5%32.3%1.9%0.6%32.9K-3.8K-2.4K0.1443.00N/AN/A70101,153895
2014-08-11$20.20$22.5028.1%8.9%21.3%19.6%31.2%-1.9%3.9%91.8K-192.4K-2.1K1.1458.59N/AN/A56641,223895
2014-08-12$20.14$22.5026.8%8.8%19.5%17.3%0.0%2.3%3.0%107.8K-213.8K-2.1K0.0063.30N/AN/A1001,250885
2014-08-13$20.49$22.5038.6%8.6%20.0%39.2%0.0%4.7%2.8%74.7K-473.8K-1.9K0.0054.55N/AN/A001,259857
2014-08-14$20.48$22.5025.3%8.3%19.2%2.5%24.2%-3.3%4.8%81.5K-548.2K-1.7K1.6254.65N/AN/A2213591,259857
2014-08-15$20.50$22.5026.7%8.4%18.8%4.9%0.0%16.4%1.8%52.1K-439.5K-3.1K0.0057.72N/AN/A071,4451,202
2014-08-18$20.51$22.5028.1%8.5%17.6%7.9%29.4%7.1%-1.5%-25.6K191.0K-3.0K0.0057.88N/AN/A012353648
2014-08-19$20.58$22.5026.8%8.2%17.6%5.1%0.0%8.3%-2.5%-26.9K179.0K-3.0K0.0057.40N/AN/A300353660
2014-08-20$20.50$22.5027.2%8.2%17.0%5.9%0.0%8.0%-1.6%-24.9K177.8K-3.1K0.0063.71N/AN/A60383660
2014-08-21$20.73$22.5026.2%8.3%17.4%3.7%0.0%5.3%0.1%-24.0K114.4K-3.0K0.0062.54N/AN/A020389660
2014-08-22$20.73$22.5025.0%8.2%16.9%1.3%0.0%8.3%3.8%-23.2K73.2K-3.0K0.0061.10N/AN/A08389646
2014-08-25$20.64$22.5026.9%8.6%16.0%5.3%0.0%7.5%-1.2%-25.1K114.5K-2.9K0.0070.51N/AN/A00389646
2014-08-26$20.69$22.5023.4%8.0%11.1%0.0%0.0%1.0%-0.2%-25.7K116.3K-2.9K0.0053.27N/AN/A00389646
2014-08-27$20.60$22.5026.9%8.1%11.1%7.3%28.7%15.6%-1.1%-28.9K151.7K-2.8K0.0553.76N/AN/A201389646
2014-08-28$20.65$22.5024.6%8.2%11.2%2.5%28.8%6.0%1.5%-29.2K101.4K-2.9K0.0054.59N/AN/A04408647
2014-08-29$20.67$22.5021.8%8.1%11.1%0.0%28.4%4.9%6.7%-30.3K94.2K-2.9K0.0060.01N/AN/A022408647