CYD Options History — July 2015

In July 2015, CYD traded between $14.88 and $16.83. ATM implied volatility averaged 36.4%, placing in the 40.4% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 11.5% (HV 20d: 25.0%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.88.

Notable Days

  • 2015-07-29: Highest Volume — 680 contracts
  • 2015-07-15: Largest IV drop — 62.0% change
  • 2015-07-13: Highest IV Rank — 100.0%
  • 2015-07-31: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.71$14.88$16.83$16.83$14.96
Max Pain$17.73$17.50$20.00$20.00$17.50
ATM IV36.4%26.0%68.6%33.6%38.3%
Expected Move9.6%7.5%11.0%9.6%11.0%
HV 20d25.0%21.1%28.4%28.4%24.0%
HV 60d28.4%27.0%29.1%27.1%28.9%
IV Rank40.4%14.1%100.0%41.8%38.9%
IV Percentile71.6%25.4%100.0%66.7%90.5%
Term Structure-1.1%-5.6%9.7%-1.5%-5.6%
VWIV37.2%33.7%45.1%45.1%40.9%
Skew 25d-3.0%-10.0%8.1%3.4%-9.0%
Skew 10d-6.5%-15.8%13.1%4.3%-14.4%
Call IV 25d39.5%28.6%49.8%33.7%49.8%
Put IV 25d36.4%32.2%41.3%37.0%40.9%
Bid-Ask Spread %94.2886.44103.1386.44100.59
Gamma HHI0.480.360.590.360.46
Net GEX6.9K-2.0K16.0K3.0K-2.0K
Net DEX499.2K353.1K606.9K395.2K592.7K
Net VEX-1.7K-2.3K-1.1K-2.1K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.413.130.770.63
Total Volume530.682246680454637
Total OI1,667.8641,1542,0501,1542,050

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$16.83$20.0033.6%9.6%28.4%41.8%45.1%3.4%-1.5%3.0K395.2K-2.1K0.7786.44N/AN/A257197634520
2015-07-02$16.69$20.0029.7%8.5%28.4%30.5%44.0%-0.9%-3.2%8.2K353.1K-2.2K0.7893.71N/AN/A257200734520
2015-07-06$16.69$17.5027.4%9.6%28.4%23.9%36.2%0.9%-2.2%7.4K361.8K-2.3K3.1388.59N/AN/A64200734543
2015-07-07$16.74$17.5030.9%9.4%26.9%34.2%36.2%-3.5%-2.9%7.5K388.5K-2.3K2.6295.85N/AN/A68178734543
2015-07-08$16.02$17.5038.1%9.5%26.5%54.9%36.7%0.0%-1.8%5.3K507.4K-1.8K2.6295.64N/AN/A68178733539
2015-07-09$15.97$17.5041.2%10.4%21.7%63.7%34.5%2.7%-4.2%5.4K490.5K-1.8K0.4694.72N/AN/A414192733539
2015-07-10$15.85$17.5033.9%9.8%21.1%42.6%36.1%-1.5%-2.0%10.8K459.7K-2.0K0.5687.47N/AN/A4102311,087525
2015-07-13$16.07$17.5053.9%8.0%22.3%100.0%34.0%0.3%8.3%10.8K464.2K-2.0K0.6088.15N/AN/A3882311,085544
2015-07-14$16.13$17.5068.6%8.5%22.0%100.0%37.1%-4.3%5.6%10.8K422.3K-2.2K0.5488.95N/AN/A4282311,085544
2015-07-15$15.69$17.5026.0%7.5%23.1%14.1%34.3%-2.0%9.7%13.9K466.8K-1.9K0.54103.13N/AN/A4292311,185544
2015-07-16$15.77$17.5032.4%9.3%23.6%26.9%36.9%-5.3%-2.1%10.0K528.1K-1.9K0.5292.22N/AN/A4422311,186594
2015-07-17$15.86$17.5028.6%8.2%24.0%19.2%34.3%-3.2%8.9%16.0K447.2K-2.1K0.7092.05N/AN/A3322311,299594
2015-07-20$15.28$17.5033.8%9.7%26.3%29.7%34.5%-3.9%-2.8%8.1K563.5K-1.5K0.5797.60N/AN/A3291861,286577
2015-07-21$15.42$17.5034.7%9.9%27.0%31.5%34.8%-4.2%-3.0%7.9K573.9K-1.6K0.5794.49N/AN/A3291861,286597
2015-07-22$15.27$17.5033.9%9.7%26.5%30.0%33.7%8.1%-3.3%5.7K601.7K-1.4K0.60101.78N/AN/A3111861,286597
2015-07-23$15.26$17.5033.7%9.7%26.1%29.6%34.6%-5.3%-2.6%5.3K606.9K-1.4K0.6095.35N/AN/A3111861,286597
2015-07-24$15.28$17.5034.5%9.9%25.7%31.2%35.4%-4.0%-1.8%4.6K557.4K-1.3K0.5792.88N/AN/A3251861,286556
2015-07-27$15.03$17.5037.2%10.7%25.6%36.7%39.1%-8.6%-3.1%3.7K561.8K-1.3K0.5797.51N/AN/A3251861,293556
2015-07-28$14.96$17.5037.5%10.7%24.0%37.2%37.8%-10.0%-5.4%1.3K598.9K-1.1K0.4698.24N/AN/A4011861,293556
2015-07-29$14.95$17.5036.6%10.5%24.0%35.3%40.8%-9.1%-4.4%3.8K513.9K-1.2K0.4189.57N/AN/A4841961,334529
2015-07-30$14.88$17.5037.5%10.7%23.7%37.1%40.2%-7.5%-5.0%4.0K526.6K-1.1K0.6399.30N/AN/A3912461,421529
2015-07-31$14.96$17.5038.3%11.0%24.0%38.9%40.9%-9.0%-5.6%-2.0K592.7K-1.3K0.63100.59N/AN/A3912461,421629