CYD Options History — September 2015

In September 2015, CYD traded between $12.12 and $14.05. ATM implied volatility averaged 37.9%, placing in the 35.5% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 4.5% (HV 20d: 33.4%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.60.

Notable Days

  • 2015-09-25: Highest Volume — 311 contracts
  • 2015-09-02: Largest IV spike — 30.1% change
  • 2015-09-29: Highest IV Rank — 59.4%
  • 2015-09-29: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.26$12.12$14.05$13.94$12.47
Max Pain$14.17$12.50$15.00$15.00$12.50
ATM IV37.9%30.8%49.3%34.0%46.2%
Expected Move10.9%8.8%14.1%9.7%13.2%
HV 20d33.4%21.1%41.5%41.5%21.1%
HV 60d29.3%28.9%31.3%31.3%29.8%
IV Rank35.5%20.4%59.4%30.1%52.8%
IV Percentile77.8%49.2%99.2%65.9%98.4%
Term Structure1.5%-9.9%11.6%4.3%-4.7%
VWIV40.3%36.2%50.5%37.4%45.7%
Skew 25d1.4%-8.4%13.9%-2.1%2.7%
Skew 10d11.6%-10.7%90.6%-5.3%4.5%
Call IV 25d39.7%25.0%49.8%37.3%43.5%
Put IV 25d41.1%35.2%52.2%35.2%46.1%
Bid-Ask Spread %93.2648.02107.55104.58100.67
Gamma HHI0.610.510.790.770.67
Net GEX-10.3K-12.1K-6.2K-6.5K-10.4K
Net DEX473.9K364.8K538.7K364.8K500.2K
Net VEX-1.7K-1.9K-1.5K-1.8K-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.460.690.460.59
Total Volume243.2860311218309
Total OI1,154.191,0921,1991,0921,199

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$13.94$15.0034.0%9.7%41.5%30.1%37.4%-2.1%4.3%-6.5K364.8K-1.8K0.46104.58N/AN/A14969483609
2015-09-02$13.95$15.0044.2%12.7%41.3%48.9%50.5%-8.3%-9.9%-6.2K379.8K-1.8K0.65107.55N/AN/A14997483609
2015-09-03$13.89$15.0042.6%11.0%41.3%45.5%38.6%0.5%0.7%-8.4K414.6K-1.8K0.6199.51N/AN/A15897483651
2015-09-04$13.98$15.0034.0%11.2%41.4%27.2%38.9%1.7%1.4%-8.8K415.8K-1.9K0.6199.62N/AN/A15897468651
2015-09-08$13.89$15.0034.4%11.1%41.2%28.0%0.0%2.9%1.5%-10.7K446.1K-1.9K0.0048.02N/AN/A00468691
2015-09-09$14.05$15.0036.2%10.4%40.3%31.8%36.2%2.1%3.7%-10.0K458.8K-1.9K0.6197.49N/AN/A15897468701
2015-09-10$13.90$15.0037.0%10.6%36.4%33.5%38.0%2.3%2.3%-10.9K457.1K-1.9K0.6597.51N/AN/A158102468701
2015-09-11$13.80$15.0030.8%8.8%36.0%20.4%37.4%1.7%3.6%-10.9K471.0K-1.8K0.6558.32N/AN/A158102468701
2015-09-14$13.40$15.0039.0%11.2%35.2%37.7%36.8%7.7%1.7%-11.7K499.5K-1.7K0.6549.04N/AN/A158102468701
2015-09-15$13.35$15.0038.6%11.1%35.2%36.9%0.0%13.9%1.8%-11.5K482.9K-1.8K0.00104.58N/AN/A00468682
2015-09-16$13.35$15.0033.9%9.7%34.9%26.9%37.5%1.7%8.0%-11.9K495.0K-1.7K0.65100.73N/AN/A158102468692
2015-09-17$13.34$15.0037.4%10.7%34.9%34.3%38.4%0.1%2.5%-11.7K496.6K-1.7K0.65100.89N/AN/A158102468692
2015-09-18$13.32$15.0032.6%9.3%34.9%24.2%37.1%2.6%11.6%-12.0K495.9K-1.7K0.65100.62N/AN/A158102468692
2015-09-21$13.01$15.0034.4%9.9%35.3%28.0%40.0%-4.0%5.3%-12.1K524.2K-1.6K0.6999.64N/AN/A153106452692
2015-09-22$12.67$12.5035.4%10.1%31.2%30.1%38.8%-8.4%0.7%-11.7K538.7K-1.6K0.6696.26N/AN/A160106462696
2015-09-23$12.72$12.5034.6%9.9%25.8%28.5%37.4%-6.7%3.7%-11.7K534.6K-1.6K0.6296.60N/AN/A162101474701
2015-09-24$12.59$12.5037.4%10.7%25.0%34.2%47.2%-2.5%1.9%-10.8K499.9K-1.6K0.5398.60N/AN/A191101474662
2015-09-25$12.47$12.5037.6%10.8%23.2%34.7%37.1%6.0%1.2%-10.8K484.7K-1.6K0.4898.88N/AN/A210101506656
2015-09-28$12.33$12.5046.3%13.3%23.0%53.0%45.0%9.4%-3.9%-8.9K486.3K-1.6K0.4899.26N/AN/A210101525656
2015-09-29$12.12$12.5049.3%14.1%23.1%59.4%48.7%5.5%-6.4%-8.7K504.7K-1.5K0.59100.01N/AN/A194115525656
2015-09-30$12.47$12.5046.2%13.2%21.1%52.8%45.7%2.7%-4.7%-10.4K500.2K-1.6K0.59100.67N/AN/A194115525674