CYD Options History — July 2016

In July 2016, CYD traded between $10.81 and $11.32. ATM implied volatility averaged 44.2%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 20.3% (HV 20d: 23.9%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 2.00.

Notable Days

2016-07-13: Highest Volume — 387 contracts
2016-07-13: Largest IV drop — 56.6% change
2016-07-12: Highest IV Rank — 59.8%
2016-07-27: Largest Expected Move — 12.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.01	$10.81	$11.32	$10.91	$10.94
Max Pain	$10.13	$10.00	$12.50	$12.50	$10.00
ATM IV	44.2%	34.0%	89.1%	36.3%	40.0%
Expected Move	11.0%	9.4%	12.4%	10.4%	11.5%
HV 20d	23.9%	18.6%	30.9%	30.8%	18.7%
HV 60d	38.2%	35.4%	41.7%	41.7%	35.4%
IV Rank	16.2%	7.1%	59.8%	9.7%	11.3%
IV Percentile	42.7%	9.1%	99.6%	17.5%	32.9%
Term Structure	-1.6%	-10.9%	5.9%	-2.1%	-1.3%
VWIV	41.8%	34.2%	51.3%	45.5%	51.3%
Skew 25d	1.7%	-5.4%	9.4%	3.3%	-5.4%
Skew 10d	15.6%	-5.7%	60.7%	0.6%	-0.6%
Call IV 25d	41.1%	35.4%	49.5%	36.2%	49.5%
Put IV 25d	42.9%	39.1%	49.3%	39.5%	44.1%
Bid-Ask Spread %	74.91	38.00	104.17	95.24	81.63
Gamma HHI	0.71	0.60	0.86	0.63	0.71
Net GEX	3.8K	1.8K	6.5K	2.4K	4.4K
Net DEX	-58.8K	-94.4K	-14.0K	-28.3K	-53.9K
Net VEX	-840	-921	-768	-875	-768
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.00	1.19	2.87	2.14	1.23
Total Volume	342.4	268	387	352	359
Total OI	756.05	707	809	732	809

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2016-07-01	$10.91	$12.50	36.3%	10.4%	30.8%	9.7%	45.5%	3.3%	-2.1%	2.4K	-28.3K	-875	2.14	95.24	N/A	N/A	112	240	438	294
2016-07-05	$10.81	$10.00	34.0%	9.6%	30.9%	7.5%	35.0%	9.1%	5.9%	1.8K	-14.0K	-785	2.14	78.57	N/A	N/A	112	240	442	294
2016-07-06	$10.94	$10.00	46.4%	10.4%	25.9%	19.3%	41.0%	1.6%	2.8%	2.9K	-45.2K	-885	2.20	50.93	N/A	N/A	109	240	442	294
2016-07-07	$10.95	$10.00	49.0%	9.4%	25.8%	21.8%	34.2%	0.9%	5.8%	2.5K	-33.4K	-838	2.20	90.96	N/A	N/A	109	240	442	294
2016-07-08	$10.94	$10.00	50.1%	10.4%	25.8%	22.8%	37.8%	2.9%	1.6%	2.8K	-41.0K	-842	1.98	56.50	N/A	N/A	121	240	442	294
2016-07-11	$10.84	$10.00	66.2%	10.6%	23.9%	38.1%	38.4%	7.2%	4.8%	2.9K	-44.9K	-823	2.20	96.60	N/A	N/A	109	240	451	294
2016-07-12	$11.11	$10.00	89.1%	12.0%	25.4%	59.8%	39.9%	4.3%	-10.9%	4.4K	-76.7K	-862	2.32	85.25	N/A	N/A	109	253	473	294
2016-07-13	$11.07	$10.00	38.7%	11.1%	24.9%	12.0%	40.1%	0.5%	0.0%	4.2K	-62.0K	-846	2.55	48.73	N/A	N/A	109	278	473	284
2016-07-14	$11.12	$10.00	39.9%	11.4%	24.6%	13.2%	40.4%	3.8%	-3.6%	3.9K	-68.6K	-914	2.55	79.93	N/A	N/A	109	278	473	319
2016-07-15	$11.05	$10.00	41.5%	11.9%	24.5%	12.7%	39.5%	9.4%	-8.6%	4.3K	-73.6K	-921	2.87	80.90	N/A	N/A	93	267	473	318
2016-07-18	$10.96	$10.00	38.7%	11.1%	23.3%	10.0%	40.5%	1.3%	3.4%	3.1K	-55.3K	-847	2.53	78.07	N/A	N/A	76	192	426	281
2016-07-19	$10.99	$10.00	39.1%	11.2%	22.8%	10.5%	40.9%	2.5%	-5.2%	3.3K	-60.9K	-862	2.53	77.18	N/A	N/A	76	192	427	281
2016-07-20	$11.15	$10.00	35.6%	10.2%	23.4%	7.1%	43.4%	-4.5%	0.3%	3.7K	-71.1K	-834	2.09	38.00	N/A	N/A	92	192	427	281
2016-07-21	$11.32	$10.00	38.7%	11.1%	23.8%	10.1%	41.4%	-1.2%	-8.1%	3.9K	-84.7K	-804	2.40	65.30	N/A	N/A	80	192	427	281
2016-07-22	$11.05	$10.00	36.6%	10.5%	24.3%	8.0%	43.6%	-3.2%	-0.1%	3.3K	-54.1K	-789	1.19	80.64	N/A	N/A	161	192	437	281
2016-07-25	$11.13	$10.00	39.3%	11.3%	20.4%	10.6%	44.5%	-0.4%	-8.2%	5.9K	-84.3K	-847	1.23	49.12	N/A	N/A	161	198	527	281
2016-07-26	$10.95	$10.00	41.6%	11.9%	21.0%	12.9%	44.2%	5.1%	1.3%	6.5K	-94.4K	-882	1.23	104.17	N/A	N/A	161	198	527	282
2016-07-27	$11.06	$10.00	43.2%	12.4%	19.6%	14.5%	48.8%	-2.6%	-9.9%	5.0K	-66.6K	-779	1.23	82.66	N/A	N/A	161	198	527	282
2016-07-28	$10.98	$10.00	40.0%	11.5%	18.6%	11.3%	46.0%	0.0%	-0.9%	5.2K	-63.8K	-800	1.23	77.76	N/A	N/A	161	198	527	282
2016-07-29	$10.94	$10.00	40.0%	11.5%	18.7%	11.3%	51.3%	-5.4%	-1.3%	4.4K	-53.9K	-768	1.23	81.63	N/A	N/A	161	198	527	282