CYD Options History — February 2016

In February 2016, CYD traded between $9.13 and $9.88. ATM implied volatility averaged 50.1%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded above realized volatility by 11.6% (HV 20d: 38.5%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.28.

Notable Days

  • 2016-02-16: Highest Volume — 772 contracts
  • 2016-02-05: Largest IV spike — 30.3% change
  • 2016-02-17: Highest IV Rank — 34.9%
  • 2016-02-17: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.55$9.13$9.88$9.42$9.78
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV50.1%35.8%59.7%41.7%49.8%
Expected Move14.7%11.9%17.1%11.9%14.3%
HV 20d38.5%34.2%43.0%35.6%42.1%
HV 60d30.5%27.1%33.7%27.1%33.7%
IV Rank26.3%13.3%34.9%18.6%26.0%
IV Percentile86.8%46.4%98.0%68.3%87.7%
Term Structure-4.0%-12.4%3.6%-1.5%-7.9%
VWIV51.7%43.6%59.8%46.1%50.3%
Skew 25d11.2%-9.8%87.8%-9.8%-0.9%
Skew 10d13.7%-28.2%125.3%-28.2%-0.7%
Call IV 25d46.8%35.9%54.9%47.1%50.2%
Put IV 25d58.1%37.3%136.9%37.3%49.4%
Bid-Ask Spread %90.2155.62109.76107.2657.33
Gamma HHI0.800.460.980.960.51
Net GEX23.6K-48558.6K29.4K-377
Net DEX-120.0K-338.0K45.2K-188.1K-125
Net VEX-781-1.2K-491-1.2K-532
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.280.070.550.340.36
Total Volume393.8597772190124
Total OI1,0012431,4491,396271

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$9.42$10.0041.7%11.9%35.6%18.6%46.1%-9.8%-1.5%29.4K-188.1K-1.2K0.34107.26N/AN/A142481,247149
2016-02-02$9.14$10.0042.6%12.2%36.4%19.5%43.6%5.4%3.6%26.6K-134.9K-1.0K0.34106.64N/AN/A142481,247149
2016-02-03$9.13$10.0047.2%13.5%36.4%23.6%47.4%7.9%-1.7%26.0K-131.5K-1.0K0.3359.07N/AN/A145481,297149
2016-02-04$9.67$10.0035.8%13.0%42.9%13.3%45.2%20.3%-0.0%45.8K-275.4K-1.2K0.0775.83N/AN/A720481,300149
2016-02-05$9.60$10.0046.7%14.0%40.7%23.2%48.9%1.5%-2.1%33.9K-276.0K-1.1K0.0780.84N/AN/A720481,130149
2016-02-08$9.21$10.0052.9%15.3%43.0%28.8%53.5%-4.3%-5.5%30.2K-216.2K-9980.0755.62N/AN/A720481,130149
2016-02-09$9.37$10.0046.8%15.6%42.8%23.2%55.5%13.0%-1.4%29.7K-122.7K-8720.07104.48N/AN/A720481,130149
2016-02-10$9.49$10.0049.8%14.3%37.9%26.0%49.8%42.1%-3.2%37.1K-123.4K-8630.07106.79N/AN/A720481,130149
2016-02-11$9.31$10.0057.8%16.6%36.7%33.2%57.8%-2.9%-5.6%27.5K-74.6K-7550.0783.20N/AN/A720481,130149
2016-02-12$9.49$10.0057.6%16.5%36.9%33.0%58.0%5.7%-5.5%37.2K-124.5K-8190.0799.38N/AN/A720481,130149
2016-02-16$9.67$10.0050.9%14.6%36.8%27.0%51.0%4.8%-1.7%40.9K-173.4K-7290.07104.74N/AN/A720521,130149
2016-02-17$9.84$10.0059.7%17.1%36.9%34.9%59.8%14.4%-6.8%51.2K-300.3K-7420.49105.30N/AN/A106521,130149
2016-02-18$9.79$10.0053.6%15.4%36.2%29.4%53.6%8.1%-3.9%58.6K-338.0K-6650.5595.53N/AN/A109601,127149
2016-02-19$9.75$10.0048.1%13.8%36.3%24.5%48.2%4.1%1.2%-32145.2K-5110.5282.52N/AN/A109571,137157
2016-02-22$9.88$10.0055.3%15.8%34.2%30.9%55.3%7.1%-1.5%-3803.3K-5130.5288.54N/AN/A6433120123
2016-02-23$9.56$10.0058.0%16.6%36.7%33.4%58.2%1.4%-12.4%-48510.7K-4950.52104.06N/AN/A6433120123
2016-02-24$9.84$10.0048.7%14.0%37.8%25.0%49.0%14.0%-8.1%-47616.3K-4910.39109.76N/AN/A8433120123
2016-02-25$9.40$10.0050.2%14.4%41.5%26.3%51.7%4.5%-8.6%-3491.2K-5180.36105.96N/AN/A8430140123
2016-02-26$9.66$10.0049.8%14.3%42.5%26.0%50.1%87.8%-7.5%-3352.1K-5240.4171.37N/AN/A8133140128
2016-02-29$9.78$10.0049.8%14.3%42.1%26.0%50.3%-0.9%-7.9%-377-125-5320.3657.33N/AN/A9133140131