CYD Options History — February 2015

In February 2015, CYD traded between $18.24 and $19.73. ATM implied volatility averaged 32.8%, placing in the 31.7% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 7.7% (HV 20d: 25.1%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 15.65.

Notable Days

  • 2015-02-19: Highest Volume — 1,138 contracts
  • 2015-02-04: Largest IV spike — 42.8% change
  • 2015-02-18: Highest IV Rank — 44.3%
  • 2015-02-18: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.19$18.24$19.73$18.24$19.47
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV32.8%25.8%38.3%31.9%26.3%
Expected Move9.7%7.4%11.0%9.2%7.5%
HV 20d25.1%19.5%27.7%19.5%24.9%
HV 60d23.9%21.6%24.5%21.6%24.3%
IV Rank31.7%15.6%44.3%29.7%16.7%
IV Percentile49.9%14.7%77.8%47.6%18.3%
Term Structure-0.4%-5.7%4.4%4.4%1.8%
VWIV29.8%25.0%33.8%25.0%26.9%
Skew 25d-1.1%-10.8%6.9%6.9%-3.3%
Skew 10d15.7%-11.4%58.3%13.7%-4.8%
Call IV 25d34.7%26.4%42.7%26.4%26.7%
Put IV 25d33.6%23.5%41.3%33.2%23.5%
Bid-Ask Spread %95.5390.80106.70102.1492.67
Gamma HHI0.640.430.840.430.56
Net GEX-3.6K-74.6K25.7K2.4K-30.6K
Net DEX-40.6K-421.8K585.1K111.0K171.2K
Net VEX-2.2K-3.4K-1.5K-2.1K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio15.650.00188.670.223.67
Total Volume3101221,138122369
Total OI1,522.5261,2412,5221,2411,725

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-02-02$18.24$17.5031.9%9.2%19.5%29.7%25.0%6.9%4.4%2.4K111.0K-2.1K0.22102.14N/AN/A10022600641
2015-02-03$19.13$17.5025.8%7.4%26.1%15.6%29.8%4.9%4.3%15.8K-184.0K-2.2K7.8595.69N/AN/A26204700674
2015-02-04$18.83$17.5036.9%10.6%26.4%41.0%33.8%-6.4%-1.6%12.2K-81.2K-2.3K7.85106.70N/AN/A26204705682
2015-02-05$19.27$0.0033.8%9.8%27.7%34.1%0.0%4.7%-0.7%17.2K-247.5K-2.1K4.6495.04N/AN/A44204705682
2015-02-06$19.38$0.0027.6%10.0%27.7%19.8%0.0%-0.6%-0.4%19.2K-327.7K-2.0K5.0790.80N/AN/A44223725682
2015-02-09$19.53$0.0028.9%10.0%25.4%22.8%0.0%1.4%-0.4%25.0K-421.8K-2.1K8.6293.67N/AN/A26224725685
2015-02-10$19.32$0.0031.8%10.1%25.6%29.4%0.0%-0.7%-0.3%21.9K-310.7K-2.1K8.6293.74N/AN/A26224727683
2015-02-11$19.38$0.0035.0%10.0%24.9%36.9%0.0%0.3%-2.2%24.4K-291.6K-1.9K7.1995.06N/AN/A27194727683
2015-02-12$19.19$0.0035.4%10.1%25.0%37.7%0.0%-1.1%-0.4%20.3K-229.4K-1.9K7.1994.28N/AN/A27194729687
2015-02-13$19.11$0.0032.1%9.2%24.7%30.0%0.0%0.3%2.8%17.5K-177.7K-1.7K8.07102.10N/AN/A27218729687
2015-02-17$19.29$0.0036.2%10.4%24.7%39.5%0.0%-2.1%-2.8%25.7K-257.9K-1.7K8.0792.84N/AN/A27218729678
2015-02-18$19.12$0.0038.3%11.0%24.7%44.3%0.0%-1.4%-4.0%17.9K-195.3K-1.6K8.0794.25N/AN/A27218729678
2015-02-19$19.26$0.0034.6%9.9%24.8%35.9%28.6%-3.7%-1.6%24.5K-261.6K-1.5K188.6794.00N/AN/A61,132729663
2015-02-20$18.88$17.5035.1%10.1%25.3%37.0%0.0%-3.4%-0.7%-64.3K305.6K-3.4K0.0093.12N/AN/A12707291,793
2015-02-23$19.08$17.5032.5%9.3%24.7%31.1%31.3%-1.0%-0.0%-74.6K549.8K-2.9K15.3394.42N/AN/A182761061,485
2015-02-24$19.15$17.5038.2%11.0%24.8%44.2%32.8%-2.5%-5.7%-59.6K585.1K-3.1K2.3493.04N/AN/A1222861091,487
2015-02-25$19.28$17.5036.0%10.3%24.8%39.0%33.1%-10.8%-2.6%-59.3K375.7K-2.9K2.3498.94N/AN/A1222862181,497
2015-02-26$19.73$17.5026.4%7.6%25.1%17.0%26.8%-3.4%1.7%-24.8K116.9K-2.2K3.5492.59N/AN/A822902181,497
2015-02-27$19.47$17.5026.3%7.5%24.9%16.7%26.9%-3.3%1.8%-30.6K171.2K-2.3K3.6792.67N/AN/A792902211,504