CYD Options History — June 2016

In June 2016, CYD traded between $10.79 and $11.77. ATM implied volatility averaged 40.0%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 0.2% (HV 20d: 40.2%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.97.

Notable Days

  • 2016-06-16: Highest Volume — 549 contracts
  • 2016-06-24: Largest IV spike — 35.0% change
  • 2016-06-24: Highest IV Rank — 26.2%
  • 2016-06-24: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.16$10.79$11.77$11.28$10.82
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV40.0%29.3%51.6%37.4%47.1%
Expected Move10.9%8.1%14.8%10.7%13.5%
HV 20d40.2%26.8%52.3%52.3%30.8%
HV 60d41.7%40.5%42.8%41.4%42.7%
IV Rank16.2%5.7%26.2%14.8%20.0%
IV Percentile39.5%4.8%83.3%28.2%69.0%
Term Structure-2.5%-17.4%25.0%-10.7%-7.7%
VWIV36.7%25.8%50.1%36.1%43.0%
Skew 25d8.3%-22.3%24.8%24.8%1.5%
Skew 10d12.4%-81.2%72.8%20.8%2.3%
Call IV 25d32.2%16.9%58.9%31.7%45.9%
Put IV 25d40.4%26.9%56.5%56.5%47.4%
Bid-Ask Spread %80.1846.48130.9852.1597.14
Gamma HHI0.640.500.940.500.63
Net GEX-690-7.5K2.9K-7.5K2.4K
Net DEX-2.5K-61.0K134.7K133.2K-25.9K
Net VEX-910-982-807-973-887
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.971.212.451.962.22
Total Volume426.909338549456348
Total OI777.818689904880732

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$11.28$12.5037.4%10.7%52.3%14.8%36.1%24.8%-10.7%-7.5K133.2K-9731.9652.15N/AN/A154302266614
2016-06-02$11.21$12.5041.8%10.0%50.5%18.8%26.0%9.7%-7.4%-5.8K134.7K-9462.1470.26N/AN/A141302276618
2016-06-03$11.28$12.5040.1%8.5%50.0%17.1%31.2%15.0%11.7%-6.4K131.0K-8802.0380.30N/AN/A149302276618
2016-06-06$11.24$12.5048.4%10.0%50.0%24.7%29.8%22.3%-1.3%-5.7K131.7K-9082.16104.13N/AN/A149322286618
2016-06-07$11.77$12.5041.2%8.1%49.7%18.2%25.8%6.3%1.6%-66-59.7K-8612.08103.10N/AN/A150312286502
2016-06-08$11.66$12.5031.3%9.0%48.3%9.3%30.8%-1.9%0.3%136-61.0K-8902.0858.24N/AN/A150312295497
2016-06-09$11.57$12.5032.1%9.2%48.4%10.0%29.7%-8.0%-1.4%-491-45.7K-8722.0853.47N/AN/A150312295497
2016-06-10$11.23$12.5043.1%12.3%47.1%19.9%49.7%5.5%-10.2%-3.4K-1.0K-9402.07123.31N/AN/A150311295497
2016-06-13$11.33$12.5029.9%8.6%42.8%8.0%36.6%19.9%12.8%-1.6K-20.7K-8202.0751.38N/AN/A150311295497
2016-06-14$11.16$12.5038.5%11.0%40.7%15.7%32.5%11.8%-8.4%-2.0K-15.6K-8362.0796.40N/AN/A150311295497
2016-06-15$11.03$12.5038.5%11.0%41.0%15.0%39.3%8.9%-5.8%-3.5K11.5K-8272.07100.96N/AN/A150311295497
2016-06-16$11.12$12.5036.5%10.5%40.5%12.3%37.2%14.1%-4.4%-367-6.7K-8071.2189.68N/AN/A248301292497
2016-06-17$10.87$12.5040.5%11.6%41.3%16.0%38.6%9.3%-7.2%1.8K-22.8K-9561.5552.24N/AN/A198306387507
2016-06-20$11.01$12.5039.8%11.4%39.1%15.3%31.3%10.7%-1.2%2.4K-44.5K-9821.5960.02N/AN/A151240395294
2016-06-21$10.99$12.5029.3%8.4%34.9%5.7%32.4%2.4%-1.1%2.1K-34.2K-9391.5946.48N/AN/A151240395294
2016-06-22$11.07$12.5037.2%10.7%26.8%13.0%39.8%20.2%1.1%2.2K-44.9K-9691.5965.64N/AN/A151240395294
2016-06-23$11.30$12.5038.2%11.0%27.6%13.9%47.7%-22.3%25.0%1.3K-55.7K-9291.95120.39N/AN/A123240395294
2016-06-24$10.89$12.5051.6%14.8%30.7%26.2%50.1%2.1%-13.9%1.9K-36.5K-9662.07130.98N/AN/A116240397294
2016-06-27$10.79$12.5041.7%11.9%30.2%17.1%41.6%5.8%4.3%1.8K-24.0K-9081.9751.37N/AN/A122240400294
2016-06-28$11.04$12.5045.6%13.1%31.0%20.7%37.9%8.7%-13.3%2.9K-54.2K-9562.4576.39N/AN/A98240428294
2016-06-29$10.84$12.5050.4%14.4%30.8%25.1%40.9%14.7%-17.4%2.6K-44.8K-9642.2279.91N/AN/A108240428294
2016-06-30$10.82$12.5047.1%13.5%30.8%20.0%43.0%1.5%-7.7%2.4K-25.9K-8872.2297.14N/AN/A108240438294