CYD Options History — October 2015

In October 2015, CYD traded between $12.23 and $13.80. ATM implied volatility averaged 43.8%, placing in the 47.8% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 13.2% (HV 20d: 30.6%). Max pain ranged from $12.50 to $20.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.42.

Notable Days

  • 2015-10-06: Highest Volume — 523 contracts
  • 2015-10-08: Largest IV spike — 25.4% change
  • 2015-10-13: Highest IV Rank — 70.4%
  • 2015-10-28: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.17$12.23$13.80$12.23$13.01
Max Pain$18.52$12.50$20.00$12.50$17.50
ATM IV43.8%37.5%54.5%43.6%46.1%
Expected Move11.9%10.8%13.4%12.5%13.2%
HV 20d30.6%21.5%33.4%21.5%29.6%
HV 60d31.3%28.8%32.8%28.8%32.8%
IV Rank47.8%34.6%70.4%47.3%52.6%
IV Percentile92.0%77.0%99.6%95.6%96.4%
Term Structure-2.5%-9.5%8.1%-0.8%-3.1%
VWIV37.2%31.1%46.9%43.5%46.9%
Skew 25d-0.2%-4.3%4.8%4.8%-4.3%
Skew 10d2.2%-5.9%7.7%7.5%-5.9%
Call IV 25d43.2%38.5%53.6%43.3%53.6%
Put IV 25d43.0%38.4%49.3%48.1%49.3%
Bid-Ask Spread %96.5077.08103.5977.8399.78
Gamma HHI0.470.430.670.670.50
Net GEX-9.7K-10.6K-8.7K-10.5K-9.0K
Net DEX200.9K122.1K494.2K494.2K200.7K
Net VEX-1.7K-1.9K-1.6K-1.6K-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.280.590.590.35
Total Volume345.6820523309378
Total OI1,3791,1991,4191,1991,391

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$12.23$12.5043.6%12.5%21.5%47.3%43.5%4.8%-0.8%-10.5K494.2K-1.6K0.5977.83N/AN/A194115525674
2015-10-02$12.69$12.5045.2%12.9%26.5%50.7%44.7%2.7%-1.6%-10.6K483.9K-1.6K0.3377.08N/AN/A353115525674
2015-10-05$13.15$20.0045.1%11.4%29.9%50.6%0.0%-1.3%-3.8%-8.7K176.0K-1.9K0.0097.17N/AN/A00745664
2015-10-06$13.15$20.0039.2%11.7%29.9%38.1%34.3%-0.5%-5.0%-9.2K180.7K-1.9K0.2894.61N/AN/A408115745674
2015-10-07$13.02$20.0041.8%11.5%29.5%43.6%32.9%-1.7%-4.5%-9.4K190.0K-1.9K0.4598.58N/AN/A253115745674
2015-10-08$13.44$20.0052.4%11.6%31.9%65.9%31.1%2.2%-1.3%-9.4K132.5K-1.8K0.4596.92N/AN/A253115745674
2015-10-09$13.49$20.0043.7%11.3%31.9%47.6%31.8%0.7%-2.6%-10.0K134.2K-1.8K0.4596.06N/AN/A253115745674
2015-10-12$13.25$20.0053.2%11.5%30.8%67.5%33.6%-2.3%-4.7%-10.4K167.5K-1.8K0.4596.66N/AN/A253115745674
2015-10-13$13.17$20.0054.5%11.6%30.9%70.4%35.7%-2.5%-5.2%-10.3K173.8K-1.8K0.4598.70N/AN/A253115745674
2015-10-14$13.04$20.0042.3%12.1%31.0%44.7%35.8%-3.6%-4.2%-9.3K191.9K-1.8K0.4599.00N/AN/A253115745674
2015-10-15$13.24$20.0042.5%12.2%31.6%45.0%36.5%-0.1%-4.6%-9.8K169.4K-1.8K0.4598.06N/AN/A253115745674
2015-10-16$13.15$20.0040.8%11.7%31.7%41.5%35.8%1.7%-3.7%-9.6K180.8K-1.7K0.46100.35N/AN/A252115745674
2015-10-19$13.02$20.0042.6%12.2%30.7%45.4%34.9%3.5%-4.1%-9.7K208.9K-1.7K0.4796.05N/AN/A20797699652
2015-10-20$13.18$20.0041.9%12.0%29.3%43.9%35.4%1.5%-3.2%-10.0K194.6K-1.7K0.4799.62N/AN/A20797699652
2015-10-21$12.94$20.0041.1%11.8%30.2%42.1%37.6%-2.3%-1.0%-9.5K215.4K-1.7K0.4196.21N/AN/A23897699652
2015-10-22$13.41$17.5039.2%11.2%32.3%38.1%36.1%-1.0%3.0%-9.9K160.9K-1.6K0.4198.86N/AN/A23897732652
2015-10-23$13.80$17.5037.5%10.8%33.1%34.6%35.6%-3.0%-9.5%-10.1K122.1K-1.6K0.4199.92N/AN/A23897730652
2015-10-26$13.62$17.5040.9%11.7%33.2%41.8%37.5%1.7%3.0%-10.3K125.4K-1.6K0.40103.59N/AN/A24297730652
2015-10-27$13.36$17.5038.9%11.2%33.4%37.5%37.1%2.9%8.1%-9.9K155.6K-1.6K0.39101.36N/AN/A24797734652
2015-10-28$13.25$17.5046.8%13.4%32.5%54.2%42.5%-0.3%-5.5%-9.5K176.3K-1.7K0.3998.64N/AN/A24797739652
2015-10-29$13.19$17.5044.0%12.6%31.6%48.3%41.4%-2.9%-1.0%-9.4K185.5K-1.6K0.3997.98N/AN/A24797739652
2015-10-30$13.01$17.5046.1%13.2%29.6%52.6%46.9%-4.3%-3.1%-9.0K200.7K-1.6K0.3599.78N/AN/A28197739652