CYD Options History — August 2016

In August 2016, CYD traded between $10.83 and $11.29. ATM implied volatility averaged 37.2%, placing in the 9.2% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 21.0% (HV 20d: 16.2%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 12 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 1.71.

Notable Days

  • 2016-08-01: Highest Volume — 355 contracts
  • 2016-08-10: Largest IV drop — 29.2% change
  • 2016-08-04: Highest IV Rank — 26.8%
  • 2016-08-04: Largest Expected Move — 29.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.01$10.83$11.29$10.92$11.23
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV37.2%26.0%56.0%43.8%41.8%
Expected Move10.8%7.4%29.7%12.5%12.0%
HV 20d16.2%14.3%18.5%18.5%16.6%
HV 60d27.0%20.4%35.2%35.2%20.4%
IV Rank9.2%0.0%26.8%15.0%15.0%
IV Percentile26.1%0.0%92.1%52.8%40.9%
Term Structure-4.5%-130.7%111.9%-8.2%-19.2%
VWIV34.4%21.9%59.6%48.8%34.1%
Skew 25d-3.2%-94.7%15.3%-5.1%4.2%
Skew 10d4.9%-39.1%77.9%-6.0%3.4%
Call IV 25d38.1%22.1%131.6%48.4%35.3%
Put IV 25d34.9%24.1%49.6%43.3%39.5%
Bid-Ask Spread %82.9733.38145.92109.6577.71
Gamma HHI0.640.470.810.610.63
Net GEX973-2.1K7.8K2.4K-986
Net DEX-12.2K-105.2K57.8K-39.2K36.8K
Net VEX-575-695-460-670-553
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.710.003.061.261.38
Total Volume257.3480355355264
Total OI674.043351853809411

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-08-01$10.92$10.0043.8%12.5%18.5%15.0%48.8%-5.1%-8.2%2.4K-39.2K-6701.26109.65N/AN/A157198527282
2016-08-02$10.94$10.0043.1%12.4%18.2%14.3%40.5%8.5%-2.3%3.7K-43.2K-6861.2649.19N/AN/A157198523282
2016-08-03$10.89$10.0046.2%13.2%17.7%17.3%59.6%-8.0%-6.2%4.0K-44.7K-6951.2680.01N/AN/A157198523282
2016-08-04$10.85$0.0056.0%29.7%17.8%26.8%0.0%1.3%-130.7%4.1K-44.1K-6722.91132.55N/AN/A68198523282
2016-08-05$10.86$0.0043.6%10.3%17.8%14.8%0.0%15.3%3.0%4.3K-48.6K-6822.91107.66N/AN/A68198521282
2016-08-08$10.84$0.0048.5%9.7%17.5%19.6%38.9%12.7%7.8%1.7K-26.2K-5883.0647.29N/AN/A68208521282
2016-08-09$10.83$10.0055.0%10.9%14.9%25.8%37.5%-2.5%-2.7%1.5K-21.1K-5823.06102.16N/AN/A68208521292
2016-08-10$10.88$10.0038.9%11.2%15.0%10.3%46.0%-3.9%-7.2%3.7K-49.3K-6212.0284.35N/AN/A103208521292
2016-08-11$11.11$10.0032.9%9.4%16.8%4.4%37.4%-0.4%-6.1%1.4K-43.6K-5022.02111.48N/AN/A103208556292
2016-08-12$11.18$10.0035.9%10.3%16.8%7.4%23.3%13.1%-8.3%1.4K-49.6K-4912.0244.67N/AN/A103208556292
2016-08-15$11.29$10.0034.6%9.9%16.7%6.1%32.6%9.9%1.5%7.8K-105.2K-5981.9451.47N/AN/A107208556292
2016-08-16$11.13$10.0029.8%8.6%17.6%1.5%21.9%-1.0%-3.4%3.2K-60.8K-5401.9933.38N/AN/A107213561292
2016-08-17$11.10$10.0032.0%9.2%16.9%3.6%0.0%-1.1%-14.3%-948-25.1K-5050.0090.19N/AN/A390541278
2016-08-18$11.28$10.0030.0%8.6%17.0%0.9%0.0%1.0%11.0%-1.9K-21.9K-4750.0098.93N/AN/A110535278
2016-08-19$11.20$10.0028.1%8.1%14.7%0.0%25.8%0.5%9.0%-2.1K-42.5K-4872.1555.40N/AN/A99213555298
2016-08-22$11.04$10.0030.7%8.8%15.4%2.5%26.0%-0.7%-2.7%-2.0K57.8K-4601.5184.29N/AN/A102154137214
2016-08-23$11.06$10.0029.7%8.5%14.3%1.5%31.0%-7.3%-4.4%-1.5K47.6K-5441.38101.13N/AN/A111153168220
2016-08-24$10.93$10.0026.0%7.4%14.4%0.0%0.0%-94.7%111.9%-1.0K43.9K-6360.00145.92N/AN/A00166205
2016-08-25$10.85$10.0032.4%9.3%14.4%6.1%27.2%-7.8%-7.7%-1.5K47.9K-5751.3861.92N/AN/A111153186225
2016-08-26$10.84$10.0030.5%8.7%14.4%4.3%27.4%-6.8%-9.7%-1.6K53.9K-5621.38101.44N/AN/A111153186225
2016-08-29$10.87$10.0032.5%9.3%14.4%6.2%29.3%-2.6%-0.1%-1.6K51.7K-5531.3842.42N/AN/A111153186225
2016-08-30$11.00$10.0034.6%9.9%15.0%8.2%31.4%0.8%-14.5%-1.5K44.4K-5441.3895.09N/AN/A111153186225
2016-08-31$11.23$10.0041.8%12.0%16.6%15.0%34.1%4.2%-19.2%-98636.8K-5531.3877.71N/AN/A111153186225