CYD Options History — April 2016

In April 2016, CYD traded between $9.17 and $10.54. ATM implied volatility averaged 47.6%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 13.4% (HV 20d: 34.2%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 1.09.

Notable Days

  • 2016-04-26: Highest Volume — 394 contracts
  • 2016-04-13: Largest IV drop — 36.9% change
  • 2016-04-07: Highest IV Rank — 39.2%
  • 2016-04-28: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.00$9.17$10.54$9.81$10.26
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV47.6%38.1%64.4%44.2%45.5%
Expected Move12.3%10.9%13.8%12.7%13.0%
HV 20d34.2%22.8%43.2%30.0%43.2%
HV 60d36.1%33.5%37.8%35.9%37.5%
IV Rank23.9%15.4%39.2%20.9%22.1%
IV Percentile71.6%39.7%98.8%68.7%69.8%
Term Structure-11.2%-25.2%-3.9%-4.6%-25.2%
VWIV42.7%37.7%48.2%44.2%45.5%
Skew 25d13.1%-4.9%63.6%6.6%1.5%
Skew 10d25.6%-6.7%118.2%8.8%2.1%
Call IV 25d39.1%29.3%48.4%48.4%44.0%
Put IV 25d52.2%38.4%108.9%55.0%45.5%
Bid-Ask Spread %48.1512.66105.6336.1691.53
Gamma HHI0.680.530.930.620.92
Net GEX-2.8K-8.3K-1.0K-1.8K-8.1K
Net DEX14.2K-59.0K119.7K-2.5K99.4K
Net VEX-621-971-474-543-878
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.392.810.542.81
Total Volume174.3818339483347
Total OI457.429342795342795

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$9.81$10.0044.2%12.7%30.0%20.9%44.2%6.6%-4.6%-1.8K-2.5K-5430.5436.16N/AN/A5429175167
2016-04-04$9.79$10.0045.8%11.4%23.2%22.4%40.0%3.0%-11.1%-1.6K-794-4810.3951.02N/AN/A7429175167
2016-04-05$9.68$10.0050.3%11.7%23.2%26.4%40.4%4.0%-11.9%-1.3K-11.5K-5130.3945.96N/AN/A7429195167
2016-04-06$9.58$10.0057.7%11.3%22.8%33.1%39.9%2.0%-7.4%-1.4K1.5K-5200.3956.23N/AN/A7429195167
2016-04-07$9.17$10.0064.4%12.3%24.4%39.2%42.8%-3.6%-7.1%-1.0K23.0K-4740.6241.34N/AN/A7446195167
2016-04-08$9.45$10.0049.3%12.4%26.8%25.5%43.2%-4.9%-9.6%-1.3K15.4K-5880.6257.21N/AN/A7446213196
2016-04-11$9.41$10.0057.3%12.0%26.1%32.8%41.8%0.6%-9.7%-1.3K22.1K-5530.6231.90N/AN/A7446213196
2016-04-12$10.01$10.0063.9%12.0%35.1%38.8%42.5%1.0%-6.3%-2.4K-17.0K-6120.6483.38N/AN/A7246213196
2016-04-13$10.45$10.0040.3%11.6%38.0%17.4%40.4%40.1%-3.9%-1.8K-49.4K-6040.6451.26N/AN/A7246208196
2016-04-14$10.44$10.0041.8%12.0%37.9%18.7%39.4%11.9%-4.2%-1.9K-58.6K-6110.5612.66N/AN/A8246208196
2016-04-15$10.51$10.0040.7%11.7%37.7%17.7%40.2%41.3%-4.5%-1.1K-59.0K-5510.7627.18N/AN/A8262198196
2016-04-18$10.54$10.0038.6%11.1%36.6%15.8%38.6%7.9%-6.8%-1.4K-53.0K-5740.7149.69N/AN/A7755193189
2016-04-19$10.50$10.0038.1%10.9%35.4%15.4%37.7%6.2%-8.3%-1.6K-44.7K-5720.7335.51N/AN/A7756193189
2016-04-20$10.10$10.0041.2%11.8%38.1%18.2%41.3%59.8%-11.7%-2.1K-8.3K-5681.3837.29N/AN/A77106193195
2016-04-21$10.19$10.0047.5%13.6%37.7%23.9%46.9%12.2%-11.9%-2.9K36.5K-6431.3844.97N/AN/A77106193271
2016-04-22$10.10$10.0043.1%12.4%37.5%19.9%43.2%8.9%-17.2%-3.2K32.2K-6511.1961.76N/AN/A7792193271
2016-04-25$10.13$10.0047.9%13.7%37.5%24.3%48.2%9.4%-17.8%-3.3K71.0K-6191.1931.00N/AN/A7792193305
2016-04-26$9.69$10.0045.5%13.0%40.8%22.1%45.2%1.9%-10.9%-3.5K92.1K-5791.6420.56N/AN/A149245193305
2016-04-27$10.03$10.0047.3%13.6%42.7%23.7%47.1%1.9%-22.1%-7.5K89.9K-9302.80105.63N/AN/A91255265476
2016-04-28$10.26$10.0048.3%13.8%43.2%24.6%47.4%63.6%-23.3%-8.3K119.7K-9712.8038.90N/AN/A91255265530
2016-04-29$10.26$10.0045.5%13.0%43.2%22.1%45.5%1.5%-25.2%-8.1K99.4K-8782.8191.53N/AN/A91256265530