CYD Options History — August 2015

In August 2015, CYD traded between $14.19 and $15.25. ATM implied volatility averaged 37.8%, placing in the 37.8% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 10.2% (HV 20d: 27.6%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.47.

Notable Days

  • 2015-08-10: Highest Volume — 928 contracts
  • 2015-08-12: Largest IV drop — 24.6% change
  • 2015-08-10: Highest IV Rank — 51.2%
  • 2015-08-31: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.81$14.19$15.25$14.93$14.68
Max Pain$15.38$15.00$17.50$17.50$15.00
ATM IV37.8%28.3%44.4%39.5%44.1%
Expected Move10.4%8.1%12.6%11.3%12.6%
HV 20d27.6%19.3%37.6%24.0%37.6%
HV 60d29.1%27.2%31.8%28.7%30.2%
IV Rank37.8%18.7%51.2%41.3%50.5%
IV Percentile81.9%46.0%98.0%93.3%98.0%
Term Structure-2.3%-9.0%2.9%-6.0%-5.7%
VWIV36.9%28.3%47.1%41.1%44.1%
Skew 25d-0.8%-13.4%9.0%3.4%-1.4%
Skew 10d-1.4%-24.0%14.7%5.4%-2.4%
Call IV 25d37.4%28.7%57.1%41.3%45.0%
Put IV 25d36.7%30.0%44.7%44.7%43.6%
Bid-Ask Spread %101.4495.85106.12101.58105.50
Gamma HHI0.550.380.740.470.69
Net GEX-11.1K-30.8K-3.3K-3.3K-6.1K
Net DEX564.8K311.2K834.4K576.4K324.4K
Net VEX-1.7K-2.2K-1.0K-1.1K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.470.003.700.000.46
Total Volume562.61919281218
Total OI2,001.3331,0632,6012,0301,092

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$14.93$17.5039.5%11.3%24.0%41.3%0.0%3.4%-6.0%-3.3K576.4K-1.1K0.00101.58N/AN/A101,421609
2015-08-04$14.71$17.5037.9%10.9%24.0%38.1%41.1%-11.5%-4.6%-7.2K651.8K-1.0K0.7795.85N/AN/A3202461,421629
2015-08-05$14.82$17.5042.5%12.2%19.9%47.4%47.1%-13.4%-9.0%-4.2K626.2K-1.1K0.7796.38N/AN/A3202461,426629
2015-08-06$14.79$0.0042.7%9.8%19.9%47.7%34.1%1.2%-1.5%-5.3K636.4K-1.0K0.71100.95N/AN/A3452461,426629
2015-08-07$14.74$15.0043.3%9.7%19.9%49.0%33.7%0.4%-1.5%-4.3K618.5K-1.1K0.71101.38N/AN/A3452461,451629
2015-08-10$14.87$15.0044.4%9.7%19.3%51.2%33.9%-0.1%-0.7%-5.9K612.5K-1.0K1.69102.69N/AN/A3455831,451629
2015-08-11$15.25$15.0041.1%10.4%21.8%44.5%0.0%-5.6%-3.6%-15.2K649.6K-2.2K0.00101.08N/AN/A3201,4511,046
2015-08-12$14.49$15.0031.0%8.9%26.5%24.1%31.0%-8.6%1.4%-19.3K834.4K-1.9K1.8898.64N/AN/A3105831,4661,066
2015-08-13$14.68$15.0032.8%9.4%27.0%27.8%32.9%-1.1%-1.1%-16.7K796.7K-2.0K1.87101.13N/AN/A3125831,5271,066
2015-08-14$15.09$15.0034.2%9.8%29.0%30.6%34.2%3.5%-1.2%-15.1K673.4K-2.1K1.99102.72N/AN/A2935831,5291,066
2015-08-17$15.01$15.0035.3%10.1%26.0%32.7%37.1%2.1%-3.9%-19.7K638.0K-2.0K1.99103.08N/AN/A2935831,5351,066
2015-08-18$15.14$15.0028.3%8.1%26.0%18.7%28.3%3.4%2.9%-19.5K655.9K-1.9K2.03100.68N/AN/A2935941,5351,066
2015-08-19$15.00$15.0029.1%8.3%25.9%20.2%0.0%3.0%2.3%-24.4K658.1K-1.8K0.00101.52N/AN/A051,5351,045
2015-08-20$15.00$15.0031.1%8.9%25.9%24.4%31.1%2.9%1.1%-30.8K682.7K-1.8K1.84102.20N/AN/A2925361,5351,060
2015-08-21$15.01$15.0035.4%10.2%25.9%33.0%35.4%3.5%-1.0%-5.5K603.7K-1.8K1.81101.66N/AN/A2925281,5351,060
2015-08-24$14.19$15.0041.4%11.9%32.2%45.1%41.8%-3.2%-1.7%-7.5K352.2K-1.8K3.70106.12N/AN/A125462457606
2015-08-25$14.81$15.0037.4%10.7%36.0%37.1%37.4%9.0%-0.3%-5.9K311.2K-1.8K3.1298.62N/AN/A148462457607
2015-08-26$14.45$15.0041.9%12.0%37.0%46.0%41.8%-1.7%-5.4%-5.8K324.0K-1.9K3.10103.58N/AN/A149462483607
2015-08-27$14.71$15.0038.8%11.1%37.6%39.9%38.8%-0.3%-2.5%-5.9K321.9K-1.9K0.45101.37N/AN/A14967483607
2015-08-28$14.71$15.0041.2%11.8%37.6%44.8%41.2%-1.3%-5.5%-5.5K312.5K-1.9K0.46103.52N/AN/A14969483607
2015-08-31$14.68$15.0044.1%12.6%37.6%50.5%44.1%-1.4%-5.7%-6.1K324.4K-1.8K0.46105.50N/AN/A14969483609