CYD Options History — November 2015

In November 2015, CYD traded between $11.79 and $13.15. ATM implied volatility averaged 43.9%, placing in the 48.1% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 17.1% (HV 20d: 26.8%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.46.

Notable Days

  • 2015-11-12: Highest Volume — 434 contracts
  • 2015-11-11: Largest IV drop — 33.3% change
  • 2015-11-09: Highest IV Rank — 72.8%
  • 2015-11-04: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.29$11.79$13.15$13.15$11.85
Max Pain$12.88$12.50$15.00$15.00$12.50
ATM IV43.9%34.7%55.7%49.7%44.6%
Expected Move12.0%10.0%14.8%14.2%12.8%
HV 20d26.8%23.7%31.1%26.9%24.1%
HV 60d30.1%26.6%32.9%32.9%26.7%
IV Rank48.1%28.7%72.8%60.2%49.5%
IV Percentile86.3%58.3%99.6%98.0%92.5%
Term Structure-2.7%-9.1%3.8%-8.1%-2.8%
VWIV41.0%34.8%54.4%45.8%40.6%
Skew 25d4.9%-10.0%96.3%-0.6%-0.6%
Skew 10d6.7%-19.3%127.9%4.6%-3.4%
Call IV 25d41.6%28.8%60.5%53.0%46.5%
Put IV 25d46.4%35.3%135.7%52.4%45.8%
Bid-Ask Spread %101.8694.46107.9094.46105.60
Gamma HHI0.530.480.620.620.49
Net GEX-2.7K-7.9K906-7.9K673
Net DEX-5.1K-344.9K301.7K175.4K-330.0K
Net VEX-1.7K-1.9K-1.5K-1.6K-1.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.003.000.350.39
Total Volume258.504343780
Total OI1,501.39951,8171,4561,087

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$13.15$15.0049.7%14.2%26.9%60.2%45.8%-0.6%-8.1%-7.9K175.4K-1.6K0.3594.46N/AN/A28197804652
2015-11-03$13.14$15.0050.1%14.4%26.9%61.2%54.4%-8.9%-8.6%-7.8K180.9K-1.6K0.3197.72N/AN/A31497804652
2015-11-04$13.01$15.0051.7%14.8%26.9%64.5%41.9%8.6%-9.1%-4.9K198.0K-1.7K0.31104.04N/AN/A31197904652
2015-11-05$13.05$12.5042.9%11.7%24.2%45.9%41.2%0.4%-5.1%-5.7K197.0K-1.5K0.3396.93N/AN/A311102906652
2015-11-06$12.95$12.5047.3%11.6%24.3%55.2%0.0%9.7%-3.9%-5.8K190.2K-1.6K0.0099.93N/AN/A00906647
2015-11-09$12.79$12.5055.7%11.2%23.9%72.8%37.6%-3.0%-2.1%-5.8K198.2K-1.5K3.0096.86N/AN/A13906647
2015-11-10$12.07$12.5052.8%11.0%31.1%66.9%37.4%-10.0%-0.1%-5.6K301.7K-1.5K0.3395.36N/AN/A314103907660
2015-11-11$12.06$12.5035.3%10.1%31.1%29.8%35.7%-0.1%-1.2%-5.9K293.9K-1.5K0.33107.90N/AN/A314103912640
2015-11-12$11.92$12.5042.1%12.1%30.3%44.3%42.1%-2.0%-1.7%-1.4K30.1K-1.9K0.31106.53N/AN/A3311031,129588
2015-11-13$11.87$12.5043.0%12.3%30.3%46.1%43.0%0.1%-2.8%-302-27.5K-1.9K0.36106.42N/AN/A2891031,194588
2015-11-16$11.79$12.5043.7%12.5%30.3%47.5%0.0%-4.3%-1.8%359-46.0K-1.9K0.00102.78N/AN/A001,219578
2015-11-17$11.89$12.5038.7%11.1%30.0%37.0%39.0%96.3%2.8%906-33.5K-1.8K0.34103.62N/AN/A3001031,219588
2015-11-18$12.04$12.5046.2%13.2%30.2%52.8%46.2%2.8%-5.3%93-73.1K-1.9K0.34103.78N/AN/A3001031,229588
2015-11-19$12.00$12.5035.8%10.3%26.4%30.9%35.8%5.3%3.8%682-54.8K-1.8K0.34100.55N/AN/A3001031,229588
2015-11-20$12.11$12.5034.7%10.0%23.8%28.7%34.8%2.1%3.8%-1.4K-72.7K-1.8K0.40100.27N/AN/A3001201,229588
2015-11-23$12.20$12.5041.5%11.9%24.2%43.0%41.5%2.5%-1.5%-2.2K-297.1K-1.8K0.00102.44N/AN/A110570425
2015-11-24$12.07$12.5042.7%12.2%23.7%45.5%0.0%1.6%-3.0%-1.3K-279.0K-1.8K0.00104.38N/AN/A500576425
2015-11-25$11.92$12.5039.7%11.4%23.9%39.2%39.5%-1.1%-2.9%-531-309.3K-1.9K0.39104.66N/AN/A7429626425
2015-11-27$11.99$12.5040.4%11.6%24.2%40.6%40.6%-1.3%-4.5%347-344.9K-1.9K0.39102.99N/AN/A7429664423
2015-11-30$11.85$12.5044.6%12.8%24.1%49.5%0.0%-0.6%-2.8%673-330.0K-1.9K0.00105.60N/AN/A00664423