CYD Options History — December 2015

In December 2015, CYD traded between $10.59 and $11.71. ATM implied volatility averaged 46.0%, placing in the 52.5% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 24.7% (HV 20d: 21.3%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.11.

Notable Days

  • 2015-12-03: Highest Volume — 675 contracts
  • 2015-12-28: Largest IV spike — 47.8% change
  • 2015-12-28: Highest IV Rank — 78.8%
  • 2015-12-28: Largest Expected Move — 16.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.07$10.59$11.71$11.71$10.74
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV46.0%35.3%58.5%44.4%48.0%
Expected Move12.6%10.1%16.8%12.7%13.8%
HV 20d21.3%17.4%25.9%23.5%21.3%
HV 60d26.6%24.0%27.3%26.7%24.0%
IV Rank52.5%30.0%78.8%49.0%56.7%
IV Percentile88.2%57.5%99.6%91.7%93.3%
Term Structure2.5%-9.1%16.1%-2.5%1.1%
VWIV41.5%29.6%55.7%41.6%46.8%
Skew 25d3.9%-8.6%14.1%-1.8%4.5%
Skew 10d18.4%-7.5%67.1%-4.9%24.4%
Call IV 25d43.5%34.5%54.2%45.5%45.7%
Put IV 25d47.4%39.7%58.9%43.7%50.2%
Bid-Ask Spread %103.3995.42111.34106.09105.06
Gamma HHI0.720.490.830.490.83
Net GEX24.4K35238.9K35238.2K
Net DEX-964.3K-1.3M-243.9K-323.8K-1.2M
Net VEX-3.3K-4.1K-1.8K-1.8K-3.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.110.000.260.260.09
Total Volume359.13606750414
Total OI2,176.6821,0872,6621,0872,662

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$11.71$12.5044.4%12.7%23.5%49.0%0.0%-1.8%-2.5%352-323.8K-1.8K0.00106.09N/AN/A00664423
2015-12-02$11.60$12.5037.6%10.8%23.5%34.8%41.6%-2.8%-3.8%1.2K-286.4K-1.8K0.26106.29N/AN/A11430664423
2015-12-03$11.33$0.0048.2%10.2%24.2%57.0%30.7%6.7%1.6%3.7K-243.9K-2.0K0.05104.05N/AN/A64431714424
2015-12-04$11.51$12.5042.0%11.4%25.3%44.1%39.8%5.2%1.2%13.4K-731.2K-2.8K0.18100.50N/AN/A176311,264425
2015-12-07$11.30$12.5055.8%11.7%25.7%73.1%0.0%1.0%0.1%14.8K-775.6K-3.0K0.00103.13N/AN/A12501,364425
2015-12-08$11.36$12.5054.2%11.2%25.9%69.7%37.0%5.5%1.0%16.7K-884.5K-3.0K0.1796.89N/AN/A201341,464425
2015-12-09$11.41$12.5037.6%10.8%17.4%34.7%32.1%1.9%-0.2%17.4K-880.3K-3.0K0.17103.97N/AN/A201341,464428
2015-12-10$11.33$12.5035.3%10.1%17.4%30.0%29.6%2.7%0.1%16.4K-878.3K-3.0K0.08100.31N/AN/A481371,464428
2015-12-11$11.09$12.5044.7%12.8%18.4%49.7%32.9%3.8%16.1%24.5K-1.1M-3.8K0.0895.42N/AN/A475371,864431
2015-12-14$11.10$12.5047.9%13.7%18.5%56.4%37.6%8.6%8.6%24.7K-1.1M-3.7K0.08109.41N/AN/A436371,864436
2015-12-15$10.82$12.5046.4%13.3%20.1%53.3%42.6%3.5%2.9%26.5K-1.0M-3.6K0.0899.47N/AN/A436371,875436
2015-12-16$11.05$12.5047.7%13.7%21.6%56.0%48.0%4.3%4.0%25.2K-1.1M-3.6K0.11111.34N/AN/A348381,875436
2015-12-17$10.87$12.5048.4%13.9%21.1%57.4%41.0%4.9%-1.3%33.8K-1.3M-4.0K0.1196.70N/AN/A349382,185439
2015-12-18$10.83$12.5045.7%13.1%21.1%51.7%42.8%4.5%10.7%31.8K-1.2M-4.1K0.1197.29N/AN/A349382,187439
2015-12-21$10.88$12.5048.2%13.8%20.8%57.1%32.7%14.1%5.5%30.6K-1.3M-3.9K0.12102.70N/AN/A345412,159438
2015-12-22$10.80$12.5046.8%13.4%20.2%54.2%50.9%-3.5%1.3%34.9K-1.2M-3.8K0.12104.96N/AN/A345412,159447
2015-12-23$10.82$12.5044.7%12.8%20.3%49.7%55.7%-8.6%2.8%35.8K-1.2M-3.8K0.10101.59N/AN/A345332,159447
2015-12-24$10.78$12.5039.6%11.4%20.2%38.9%44.9%7.6%10.2%36.9K-1.2M-3.7K0.10104.39N/AN/A345332,159449
2015-12-28$10.59$12.5058.5%16.8%20.2%78.8%42.5%12.0%-9.1%34.4K-1.1M-3.6K0.10107.86N/AN/A345332,159449
2015-12-29$10.71$12.5047.3%13.6%21.0%55.2%55.2%6.3%2.1%37.4K-1.1M-3.7K0.09108.49N/AN/A379332,159449
2015-12-30$10.80$12.5044.0%12.6%21.4%48.2%46.2%4.9%2.5%38.9K-1.2M-3.7K0.09108.78N/AN/A379332,213449
2015-12-31$10.74$12.5048.0%13.8%21.3%56.7%46.8%4.5%1.1%38.2K-1.2M-3.6K0.09105.06N/AN/A381332,213449