CYD Options History — September 2014

In September 2014, CYD traded between $18.54 and $20.73. ATM implied volatility averaged 23.8%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 11.4% (HV 20d: 12.4%). 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 1.96.

Notable Days

  • 2014-09-18: Highest Volume — 83 contracts
  • 2014-09-03: Largest IV spike — 37.2% change
  • 2014-09-08: Highest IV Rank — 15.4%
  • 2014-09-30: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.78$18.54$20.73$20.73$18.54
Max Pain$20.95$20.00$22.50$22.50$20.00
ATM IV23.8%19.1%27.1%19.1%23.9%
Expected Move8.0%7.6%8.7%8.1%8.7%
HV 20d12.4%8.1%19.4%11.1%19.4%
HV 60d17.0%16.3%18.1%17.1%18.1%
IV Rank9.1%0.0%15.4%0.0%9.3%
IV Percentile3.4%0.0%11.5%0.0%4.4%
Term Structure5.6%-0.7%13.3%4.5%9.6%
VWIV28.7%27.7%30.2%27.7%30.2%
Skew 25d1.7%-9.0%19.8%-9.0%-2.5%
Skew 10d3.3%-3.5%32.3%2.4%4.7%
Call IV 25d24.5%20.1%28.1%25.9%24.8%
Put IV 25d26.2%16.9%44.6%16.9%22.3%
Bid-Ask Spread %59.0249.8468.9359.4362.00
Gamma HHI0.540.320.770.550.32
Net GEX-46.2K-126.7K-4.5K-36.4K-9.2K
Net DEX275.1K45.8K690.8K45.8K368.9K
Net VEX-2.4K-2.8K-1.9K-2.8K-1.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.960.009.000.000.04
Total Volume16.762083058
Total OI1,0478771,2321,076937

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$20.73$22.5019.1%8.1%11.1%0.0%0.0%-9.0%4.5%-36.4K45.8K-2.8K0.0059.43N/AN/A00408668
2014-09-03$20.56$22.5026.2%8.2%10.6%13.6%27.7%3.8%-0.5%-34.0K126.0K-2.8K0.0056.08N/AN/A100408668
2014-09-04$20.47$22.5020.9%8.1%10.8%3.5%28.4%-4.7%-0.7%-40.1K168.3K-2.8K0.2054.24N/AN/A51418668
2014-09-05$20.57$22.5025.6%8.2%9.4%12.5%30.2%-1.2%4.3%-37.8K118.7K-2.8K0.0057.66N/AN/A02423669
2014-09-08$20.35$22.5027.1%8.1%10.4%15.4%0.0%-2.4%5.5%-44.2K173.0K-2.7K0.0050.80N/AN/A03423671
2014-09-09$20.32$22.5025.0%8.1%9.9%11.4%0.0%-2.3%5.9%-53.9K210.7K-2.7K0.0049.84N/AN/A00423673
2014-09-10$20.18$22.5023.2%8.1%10.2%7.9%0.0%5.0%6.0%-53.7K276.7K-2.6K2.4359.65N/AN/A717423673
2014-09-11$20.25$22.5024.2%8.0%8.1%9.8%28.3%1.3%5.5%-85.4K243.6K-2.6K0.0357.58N/AN/A341423690
2014-09-12$20.10$20.0024.3%8.1%8.4%10.0%28.2%3.2%5.0%-55.0K297.5K-2.7K0.0060.04N/AN/A30451691
2014-09-15$19.79$20.0024.3%8.0%9.9%10.0%27.9%0.5%5.3%-82.3K456.1K-2.5K1.0064.62N/AN/A1010452691
2014-09-16$20.05$20.0023.7%7.9%11.2%8.8%28.5%19.8%6.0%-107.4K327.6K-2.5K0.0059.29N/AN/A05462682
2014-09-17$19.88$20.0023.6%8.0%11.3%8.7%0.0%0.9%5.2%-126.7K406.5K-2.5K0.0062.87N/AN/A00462687
2014-09-18$19.81$20.0023.2%8.0%11.3%7.9%0.0%0.6%6.0%-102.8K461.4K-2.4K4.9361.52N/AN/A1469462687
2014-09-19$19.45$20.0025.3%7.8%11.7%11.9%28.1%-1.0%4.1%-62.9K690.8K-2.3K0.0057.83N/AN/A020476756
2014-09-22$19.11$20.0024.1%7.9%12.7%9.5%0.0%7.3%2.3%-5.8K208.6K-2.0K0.0058.74N/AN/A00465412
2014-09-23$19.05$20.0022.8%7.8%12.7%7.2%0.0%1.7%3.4%-5.4K219.5K-2.0K9.0056.93N/AN/A19465412
2014-09-24$19.42$20.0025.8%7.6%15.0%12.8%0.0%6.4%10.5%-4.5K171.7K-2.1K0.0057.41N/AN/A00466421
2014-09-25$18.81$20.0021.7%8.3%18.2%5.1%29.4%-0.0%8.1%-5.9K247.4K-2.0K0.0058.48N/AN/A032466421
2014-09-26$19.06$20.0025.0%7.8%19.1%11.4%0.0%8.6%13.3%-7.3K244.5K-1.9K0.0065.46N/AN/A041466431
2014-09-29$18.87$20.0021.8%8.0%19.1%5.2%0.0%-1.1%8.5%-9.4K314.6K-2.0K0.0068.93N/AN/A00466471
2014-09-30$18.54$20.0023.9%8.7%19.4%9.3%30.2%-2.5%9.6%-9.2K368.9K-1.9K0.0462.00N/AN/A562466471