CYD Options History — March 2015

In March 2015, CYD traded between $19.11 and $19.90. ATM implied volatility averaged 26.5%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 6.8% (HV 20d: 19.7%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 2.61.

Notable Days

  • 2015-03-05: Highest Volume — 378 contracts
  • 2015-03-09: Largest IV spike — 10.9% change
  • 2015-03-27: Highest IV Rank — 20.9%
  • 2015-03-27: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.49$19.11$19.90$19.39$19.65
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV26.5%24.9%28.1%28.0%25.5%
Expected Move7.6%7.1%8.1%8.0%7.3%
HV 20d19.7%16.8%25.3%25.1%19.4%
HV 60d23.1%21.3%24.3%24.1%21.4%
IV Rank17.1%13.3%20.9%20.7%14.8%
IV Percentile22.8%8.7%41.7%33.7%14.3%
Term Structure3.3%-0.5%5.5%1.8%5.2%
VWIV27.1%24.9%29.1%29.1%25.8%
Skew 25d0.3%-5.8%5.9%-4.2%1.7%
Skew 10d3.8%-8.5%42.0%-6.7%-0.6%
Call IV 25d27.6%25.4%30.6%28.7%29.2%
Put IV 25d27.9%20.0%32.1%24.5%30.9%
Bid-Ask Spread %98.6392.16105.0694.32102.51
Gamma HHI0.470.380.710.590.43
Net GEX-18.0K-59.5K-2.8K-35.2K-11.8K
Net DEX166.0K50.2K272.8K202.6K231.8K
Net VEX-1.9K-2.3K-1.6K-2.3K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.610.006.443.874.83
Total Volume119.1820378365210
Total OI1,454.3187621,8631,724783

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$19.39$17.5028.0%8.0%25.1%20.7%29.1%-4.2%1.8%-35.2K202.6K-2.3K3.8794.32N/AN/A752902201,504
2015-03-03$19.23$17.5027.9%8.0%25.3%20.4%28.8%-4.9%0.3%-40.3K243.1K-2.3K3.8792.16N/AN/A752902201,504
2015-03-04$19.15$17.5026.3%7.5%19.0%16.8%27.9%-4.6%-0.5%-59.5K184.5K-2.0K6.44101.96N/AN/A452902251,504
2015-03-05$19.32$17.5025.1%7.8%18.2%13.9%28.9%-1.0%2.1%-6.0K95.9K-1.7K3.8596.54N/AN/A783002451,504
2015-03-06$19.56$17.5025.0%7.6%16.9%13.8%27.5%-1.4%3.9%-14.3K92.2K-1.8K3.6594.20N/AN/A782852351,514
2015-03-09$19.64$17.5027.8%7.6%16.8%20.1%0.0%0.8%3.5%-7.7K50.2K-1.8K0.0093.20N/AN/A102551,516
2015-03-10$19.11$17.5027.9%7.9%19.3%20.4%0.0%2.6%3.7%-34.3K198.9K-2.0K0.0095.95N/AN/A1002561,516
2015-03-11$19.16$17.5026.5%7.6%19.0%17.1%0.0%3.5%2.9%-38.7K217.6K-1.9K0.0096.32N/AN/A002461,516
2015-03-12$19.42$17.5026.8%7.7%19.6%17.9%0.0%5.9%2.9%-11.1K108.8K-1.7K0.0097.02N/AN/A0102461,516
2015-03-13$19.46$17.5026.5%7.6%19.3%17.2%0.0%4.9%3.9%-18.9K101.0K-1.7K0.0098.46N/AN/A002461,508
2015-03-16$19.51$17.5027.6%7.9%19.2%19.6%0.0%5.9%2.9%-17.7K112.1K-1.7K0.0098.21N/AN/A0102461,508
2015-03-17$19.43$17.5027.0%7.7%19.0%18.3%0.0%3.5%3.5%-10.0K121.4K-1.6K0.0098.16N/AN/A0662461,518
2015-03-18$19.75$17.5026.7%7.6%19.5%17.5%0.0%0.3%3.5%-9.0K99.0K-1.9K0.5592.59N/AN/A22122461,584
2015-03-19$19.84$17.5026.5%7.6%19.4%17.1%0.0%1.4%4.0%-2.8K68.8K-2.0K0.00102.56N/AN/A002671,596
2015-03-20$19.39$17.5026.8%7.7%19.9%17.8%26.9%-5.8%3.3%-11.9K151.1K-2.0K0.75100.13N/AN/A432671,596
2015-03-23$19.61$17.5024.9%7.1%19.9%13.3%24.9%0.2%5.4%-11.9K239.1K-2.0K0.38102.88N/AN/A83167595
2015-03-24$19.90$17.5024.9%7.2%20.4%13.6%0.0%1.0%5.5%-9.9K190.6K-1.9K5.00102.18N/AN/A15175598
2015-03-25$19.84$17.5024.9%7.1%20.4%13.3%24.9%-2.1%4.4%-9.4K195.6K-2.0K0.13102.10N/AN/A81175603
2015-03-26$19.51$17.5026.1%7.5%19.7%16.2%25.7%-1.5%4.1%-11.2K238.2K-2.0K3.63101.02N/AN/A48174170603
2015-03-27$19.36$17.5028.1%8.1%19.3%20.9%0.0%-1.9%2.7%-13.0K272.8K-1.9K0.00105.06N/AN/A100170603
2015-03-30$19.49$17.5026.3%7.5%19.4%16.6%27.5%1.1%4.3%-10.6K236.9K-1.9K4.83102.26N/AN/A36174180603
2015-03-31$19.65$17.5025.5%7.3%19.4%14.8%25.8%1.7%5.2%-11.8K231.8K-1.8K4.83102.51N/AN/A36174180603