CYD Options History — June 2015

In June 2015, CYD traded between $16.74 and $19.13. ATM implied volatility averaged 26.7%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 8.0% (HV 20d: 34.7%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.68.

Notable Days

  • 2015-06-19: Highest Volume — 558 contracts
  • 2015-06-03: Largest IV drop — 23.9% change
  • 2015-06-01: Highest IV Rank — 70.7%
  • 2015-06-01: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.10$16.74$19.13$18.51$16.74
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV26.7%21.1%43.6%43.6%23.2%
Expected Move7.6%6.1%12.5%12.5%6.6%
HV 20d34.7%28.3%40.0%28.3%32.1%
HV 60d26.9%23.2%28.4%23.2%27.0%
IV Rank21.9%5.9%70.7%70.7%11.8%
IV Percentile25.5%0.8%94.8%94.8%4.0%
Term Structure3.2%-16.2%14.0%-15.9%6.5%
VWIV26.7%18.3%46.5%46.5%26.6%
Skew 25d2.1%-10.9%12.0%-10.9%5.4%
Skew 10d10.4%-7.2%45.5%-7.2%4.1%
Call IV 25d27.6%19.4%50.8%50.8%26.1%
Put IV 25d29.7%23.9%40.7%39.9%31.5%
Bid-Ask Spread %90.2326.78108.3978.2982.45
Gamma HHI0.410.270.610.440.39
Net GEX-2.2K-9.0K7.7K-6.7K2.2K
Net DEX402.1K206.9K553.7K553.7K394.2K
Net VEX-2.6K-3.0K-2.1K-2.3K-2.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.680.043.582.650.76
Total Volume366.409128558274456
Total OI1,178.4551,0071,4531,0141,130

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$18.51$20.0043.6%12.5%28.3%70.7%46.5%-10.9%-15.9%-6.7K553.7K-2.3K2.6578.29N/AN/A75199436578
2015-06-02$19.13$20.0039.2%11.2%30.9%57.9%39.1%-0.4%-16.2%-2.3K351.2K-2.5K0.0486.29N/AN/A1235449558
2015-06-03$18.24$20.0029.8%8.5%34.8%31.0%38.5%1.4%2.2%-800424.1K-2.6K1.28101.25N/AN/A152194572578
2015-06-04$18.06$20.0026.2%7.3%34.8%20.6%19.3%-0.3%2.8%-2.8K462.5K-2.5K1.2126.78N/AN/A160193564573
2015-06-05$18.00$20.0026.3%7.4%34.3%20.8%20.1%5.7%2.7%-4.1K443.7K-2.4K1.1987.38N/AN/A162193572561
2015-06-08$17.48$20.0026.8%7.2%35.2%22.2%23.5%1.9%3.3%-9.0K535.6K-2.1K3.0674.80N/AN/A63193572561
2015-06-09$18.15$20.0023.4%7.4%38.1%12.4%27.2%3.2%4.5%-8.1K446.6K-2.4K2.8098.32N/AN/A69193577559
2015-06-10$18.79$20.0024.8%7.1%40.0%16.5%24.3%0.4%2.7%7.7K206.9K-3.0K3.5885.65N/AN/A74265612559
2015-06-11$18.40$20.0025.5%7.3%39.9%18.6%21.2%0.3%4.4%-120406.3K-2.8K2.8081.10N/AN/A74207612609
2015-06-12$18.41$20.0022.7%6.5%37.7%10.4%21.9%-2.2%14.0%-5.8K448.3K-2.8K2.9694.57N/AN/A70207612634
2015-06-15$18.54$20.0021.1%6.1%36.2%5.9%21.3%-1.0%12.4%-5.7K465.5K-2.7K2.9696.59N/AN/A70207612634
2015-06-16$18.52$20.0022.1%6.3%35.5%8.8%20.3%0.1%11.5%-6.5K469.1K-2.6K2.9696.82N/AN/A70207612634
2015-06-17$18.43$20.0024.2%6.9%35.2%14.9%23.2%3.1%8.4%-7.2K491.5K-2.6K2.96102.86N/AN/A70207612641
2015-06-18$18.33$20.0029.9%8.6%34.6%31.3%18.3%6.6%-0.4%-8.7K482.7K-2.6K0.59105.15N/AN/A350207612641
2015-06-19$18.11$20.0024.3%7.0%34.5%15.1%25.2%10.6%5.6%412354.4K-2.9K0.5994.74N/AN/A351207812641
2015-06-22$17.96$20.0025.4%7.3%32.8%18.1%24.6%3.1%4.9%831264.8K-2.9K0.85103.32N/AN/A231197577596
2015-06-23$18.07$20.0025.8%7.4%32.7%19.3%25.5%12.0%4.1%942275.4K-2.9K0.85101.82N/AN/A231197577596
2015-06-24$18.19$20.0025.3%7.3%32.8%17.9%25.3%5.9%6.2%722246.1K-2.9K0.8580.14N/AN/A232197579596
2015-06-25$17.76$20.0024.5%7.0%33.5%15.5%28.6%1.8%4.8%1.7K336.8K-2.7K0.6595.94N/AN/A301197582596
2015-06-26$17.45$20.0026.8%7.7%33.8%22.4%33.0%0.2%0.5%2.0K397.0K-2.5K0.65102.31N/AN/A301197591596
2015-06-29$16.91$20.0025.9%7.4%35.0%19.8%34.6%0.0%0.8%1.8K389.9K-2.2K0.64108.39N/AN/A310197591520
2015-06-30$16.74$20.0023.2%6.6%32.1%11.8%26.6%5.4%6.5%2.2K394.2K-2.2K0.7682.45N/AN/A259197610520