CYD Options History — May 2016

In May 2016, CYD traded between $10.02 and $11.51. ATM implied volatility averaged 47.5%, 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 0.2% (HV 20d: 47.2%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 2.66.

Notable Days

  • 2016-05-23: Highest Volume — 660 contracts
  • 2016-05-12: Largest IV spike — 92.5% change
  • 2016-05-10: Highest IV Rank — 34.9%
  • 2016-05-12: Largest Expected Move — 16.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.64$10.02$11.51$10.02$11.07
Max Pain$12.26$10.00$15.00$10.00$12.50
ATM IV47.5%29.4%59.6%53.5%43.2%
Expected Move12.3%5.2%16.2%15.3%12.4%
HV 20d47.2%39.0%54.1%44.1%52.1%
HV 60d39.1%35.9%42.4%36.0%41.3%
IV Rank23.9%7.5%34.9%29.3%20.0%
IV Percentile68.3%11.9%96.8%89.7%53.6%
Term Structure-5.1%-30.3%21.2%-30.3%-2.7%
VWIV44.4%18.2%77.5%53.8%40.5%
Skew 25d12.0%-7.1%27.8%16.9%27.8%
Skew 10d23.2%-11.6%95.2%28.5%29.2%
Call IV 25d39.6%23.5%61.8%50.8%23.7%
Put IV 25d51.6%39.0%69.1%67.7%51.5%
Bid-Ask Spread %64.2426.33103.4292.2134.83
Gamma HHI0.630.460.940.940.50
Net GEX-6.3K-9.3K-3.6K-8.1K-7.5K
Net DEX158.9K48.7K295.1K135.0K165.7K
Net VEX-986-1.2K-815-879-967
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.660.854.552.081.92
Total Volume406.286301660333456
Total OI9707961,144796864

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$10.02$10.0053.5%15.3%44.1%29.3%53.8%16.9%-30.3%-8.1K135.0K-8792.0892.21N/AN/A108225265531
2016-05-03$10.02$10.0054.5%15.6%43.9%30.3%54.6%-7.1%-23.0%-7.6K183.7K-9512.0299.72N/AN/A128259277548
2016-05-04$10.46$10.0048.5%13.9%46.0%24.8%41.5%12.9%-19.0%-6.3K101.5K-8152.5652.54N/AN/A101259305582
2016-05-05$10.29$12.5046.3%7.7%43.1%22.8%26.9%27.3%10.9%-6.2K114.1K-9332.70101.70N/AN/A101273332582
2016-05-06$10.40$12.5046.7%5.2%42.2%23.2%18.2%-0.3%21.2%-6.3K111.9K-8323.1473.38N/AN/A87273332597
2016-05-09$10.02$12.5052.3%11.5%44.7%28.2%40.2%2.5%-10.6%-5.1K200.7K-9022.9754.83N/AN/A97288342597
2016-05-10$10.46$12.5059.6%7.2%41.8%34.9%25.0%1.8%16.2%-5.0K93.0K-8302.6955.38N/AN/A107288362612
2016-05-11$10.46$12.5029.4%8.4%39.0%7.5%29.4%18.9%11.5%-3.9K81.4K-8872.6969.58N/AN/A107288392612
2016-05-12$10.98$12.5056.5%16.2%42.6%32.1%54.5%18.0%-12.2%-3.6K48.7K-1.0K4.5568.24N/AN/A88400392612
2016-05-13$10.43$12.5054.8%15.7%46.6%30.5%46.3%-2.6%-24.8%-4.0K214.9K-1.2K4.3561.89N/AN/A92400396724
2016-05-16$10.89$12.5049.4%14.2%49.1%25.6%52.7%25.1%-7.2%-5.2K148.9K-1.1K2.6365.59N/AN/A92242396724
2016-05-17$10.84$12.5049.3%14.1%49.1%25.5%49.9%11.5%-11.3%-5.6K115.9K-1.1K2.6351.81N/AN/A92242396732
2016-05-18$10.67$12.5055.8%16.0%47.3%31.4%57.5%11.6%-21.3%-5.4K157.8K-1.1K3.6366.95N/AN/A65236389737
2016-05-19$10.56$12.5048.1%13.8%47.4%24.4%58.7%25.2%-8.6%-4.6K200.1K-9933.7752.16N/AN/A65245389731
2016-05-20$10.98$12.5052.6%15.1%49.0%28.5%62.5%14.4%-14.3%-6.9K110.6K-1.1K3.2073.24N/AN/A74237389755
2016-05-23$11.51$12.5051.5%14.8%51.3%27.6%77.5%1.1%-26.0%-6.8K184.7K-1.1K0.8551.55N/AN/A357303257630
2016-05-24$10.81$15.0035.1%10.1%54.1%12.7%39.7%-2.9%14.3%-9.3K295.1K-1.1K1.7958.95N/AN/A169303234704
2016-05-25$10.84$12.5037.1%10.6%53.0%14.5%35.3%15.9%8.4%-9.3K269.4K-1.0K1.8326.33N/AN/A166303244687
2016-05-26$10.74$12.5033.9%9.7%52.7%11.5%31.4%14.4%10.7%-8.5K213.7K-9451.8334.66N/AN/A166303244616
2016-05-27$10.94$12.5038.7%11.1%53.0%15.9%37.2%20.0%10.6%-7.9K191.0K-9672.13103.42N/AN/A143304244616
2016-05-31$11.07$12.5043.2%12.4%52.1%20.0%40.5%27.8%-2.7%-7.5K165.7K-9671.9234.83N/AN/A156300251613