CYD Options History — December 2014

In December 2014, CYD traded between $16.82 and $19.87. ATM implied volatility averaged 28.3%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 8.2% (HV 20d: 20.1%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 4.08.

Notable Days

  • 2014-12-29: Highest Volume — 224 contracts
  • 2014-12-10: Largest IV spike — 20.7% change
  • 2014-12-18: Highest IV Rank — 37.9%
  • 2014-12-16: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.88$16.82$19.87$17.06$19.00
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV28.3%23.9%35.5%29.5%23.9%
Expected Move8.1%7.5%8.8%8.2%8.1%
HV 20d20.1%14.7%27.5%14.8%26.6%
HV 60d21.6%20.4%23.2%20.4%23.1%
IV Rank21.3%11.2%37.9%24.1%11.2%
IV Percentile25.2%4.4%48.0%30.2%4.4%
Term Structure-0.2%-5.9%9.2%-1.6%1.6%
VWIV27.0%23.4%29.6%26.7%23.4%
Skew 25d1.0%-6.1%9.3%1.5%-1.5%
Skew 10d-0.2%-10.4%11.8%-1.1%-4.7%
Call IV 25d27.9%24.4%32.8%32.8%26.3%
Put IV 25d28.9%23.6%38.4%34.3%24.8%
Bid-Ask Spread %90.5871.1195.7790.5590.51
Gamma HHI0.370.290.460.340.39
Net GEX1.2K-2723.7K-159506
Net DEX8.9K-342.9K203.0K137.4K-88.8K
Net VEX-1.9K-2.3K-1.7K-2.0K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.080.007.352.340.00
Total Volume112.455522414710
Total OI819.636751899797899

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$17.06$17.5029.5%8.2%14.8%24.1%26.7%1.5%-1.6%-159137.4K-2.0K2.3490.55N/AN/A44103417380
2014-12-02$16.82$17.5029.2%8.0%14.7%23.4%27.3%3.1%-1.5%-137203.0K-1.8K2.5890.85N/AN/A40103418380
2014-12-03$17.19$17.5024.9%7.6%16.8%13.5%25.9%-4.4%0.9%176138.5K-1.9K2.6687.88N/AN/A3593428380
2014-12-04$16.90$17.5026.8%7.7%17.5%17.8%0.0%-1.2%-1.1%699165.7K-1.9K5.0095.77N/AN/A210433369
2014-12-05$16.87$17.5028.5%7.5%17.2%21.8%25.9%-1.7%0.1%680173.2K-1.8K2.3195.36N/AN/A3683431380
2014-12-08$17.02$17.5027.4%7.9%17.8%19.1%26.2%-1.7%-0.2%427158.8K-1.8K2.7371.11N/AN/A3390431380
2014-12-09$17.15$17.5027.1%7.7%18.0%18.5%26.0%0.1%-0.4%912142.7K-1.8K5.0093.82N/AN/A1890436378
2014-12-10$16.98$17.5032.7%8.0%18.0%31.4%26.8%-1.5%1.2%1.1K152.3K-1.8K4.8392.44N/AN/A1887436378
2014-12-11$17.00$17.5027.0%8.0%18.1%18.3%25.9%0.7%1.3%855170.4K-1.8K4.8395.66N/AN/A1887436380
2014-12-12$17.15$17.5028.7%8.2%16.2%22.2%26.6%-0.3%-0.2%547131.1K-1.8K4.8393.45N/AN/A1887436380
2014-12-15$17.67$17.5031.1%8.3%18.7%27.6%25.3%5.1%-2.2%957-15.2K-1.9K4.5888.17N/AN/A1987436380
2014-12-16$17.55$17.5031.6%8.8%18.9%29.0%28.8%7.8%-0.7%-26022.5K-1.9K5.7991.38N/AN/A19110436384
2014-12-17$17.52$17.5029.4%8.3%18.9%23.9%27.8%1.8%-0.7%-27264.8K-1.9K5.7991.93N/AN/A19110436404
2014-12-18$17.91$17.5035.5%8.5%20.3%37.9%29.3%8.5%-5.9%1.4K-26.9K-2.0K5.7988.87N/AN/A19110436404
2014-12-19$18.34$17.5029.9%8.4%21.7%25.1%0.0%-0.3%-0.6%2.3K-173.1K-1.9K0.0089.37N/AN/A50436391
2014-12-22$18.74$17.5025.1%8.6%22.7%13.8%29.6%-0.5%9.2%3.6K-165.2K-1.8K5.0087.36N/AN/A25125402349
2014-12-23$19.01$17.5024.1%8.4%23.0%11.6%29.0%1.4%1.4%3.5K-193.9K-1.9K4.3288.11N/AN/A25108406375
2014-12-24$19.40$17.5027.2%7.7%23.6%18.7%27.2%9.3%-0.5%3.1K-279.7K-1.9K4.3693.18N/AN/A25109406385
2014-12-26$19.87$17.5031.3%8.0%24.4%28.3%26.9%0.0%-3.5%3.7K-342.9K-1.7K7.3593.61N/AN/A26191408386
2014-12-29$19.17$17.5025.5%8.0%27.5%14.8%27.6%-6.1%-1.9%184-79.9K-2.2K5.5990.75N/AN/A34190409489
2014-12-30$19.15$17.5026.2%7.8%27.1%16.4%23.4%2.5%1.3%1.7K-99.4K-2.0K0.0092.74N/AN/A130409479
2014-12-31$19.00$17.5023.9%8.1%26.6%11.2%0.0%-1.5%1.6%506-88.8K-2.3K0.0090.51N/AN/A010420479