CYD Options History — September 2016

In September 2016, CYD traded between $10.79 and $11.24. ATM implied volatility averaged 43.2%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 27.0% (HV 20d: 16.2%). 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 9 of 21 days. Put/call ratio averaged 1.54.

Notable Days

  • 2016-09-06: Highest Volume — 265 contracts
  • 2016-09-14: Largest IV drop — 58.4% change
  • 2016-09-13: Highest IV Rank — 46.7%
  • 2016-09-30: Largest Expected Move — 15.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.94$10.79$11.24$11.05$10.87
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV43.2%31.2%75.3%34.2%53.1%
Expected Move10.6%8.2%15.2%9.8%15.2%
HV 20d16.2%14.0%18.0%17.6%14.0%
HV 60d18.1%16.3%20.6%20.6%16.3%
IV Rank16.3%5.0%46.7%7.8%25.7%
IV Percentile41.1%4.0%99.2%8.7%84.9%
Term Structure-2.9%-22.9%11.9%-10.7%-22.9%
VWIV34.7%33.7%35.8%33.7%35.8%
Skew 25d11.0%-7.4%95.3%3.5%9.4%
Skew 10d33.8%-5.5%120.1%1.6%21.5%
Call IV 25d33.6%22.2%46.2%33.3%46.2%
Put IV 25d44.6%29.3%134.0%36.7%55.6%
Bid-Ask Spread %86.3136.13107.3036.5999.15
Gamma HHI0.610.470.800.720.56
Net GEX-2.0K-3.1K-1.4K-1.4K-2.3K
Net DEX54.2K25.2K68.6K40.4K64.0K
Net VEX-447-562-264-562-363
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.541.381.671.381.67
Total Volume246.857230265264230
Total OI385.048353412411357

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$11.05$10.0034.2%9.8%17.6%7.8%33.7%3.5%-10.7%-1.4K40.4K-5621.3836.59N/AN/A111153186225
2016-09-02$10.98$10.0040.3%11.6%17.8%13.6%35.8%-5.5%-13.9%-1.4K38.5K-5611.38101.96N/AN/A111153186225
2016-09-06$10.94$0.0046.4%8.7%17.9%19.4%0.0%-2.1%11.9%-1.6K48.3K-5161.39106.21N/AN/A111154186225
2016-09-07$10.89$0.0043.0%8.2%18.0%16.1%0.0%3.8%6.5%-1.9K53.6K-4931.3998.29N/AN/A111154186226
2016-09-08$10.92$0.0049.7%10.4%17.9%22.5%0.0%18.0%4.0%-1.7K52.9K-5061.3984.89N/AN/A111154186226
2016-09-09$10.79$0.0053.9%8.8%16.6%26.4%0.0%-0.6%1.1%-2.0K55.5K-4891.3999.59N/AN/A111154186226
2016-09-12$10.86$0.0062.4%10.5%16.6%34.5%0.0%2.8%-4.9%-1.9K55.1K-4931.3982.55N/AN/A111154186226
2016-09-13$10.87$0.0075.3%10.8%16.1%46.7%0.0%17.9%-6.9%-1.9K57.1K-4681.3998.59N/AN/A111154186226
2016-09-14$10.87$0.0031.3%9.0%15.5%5.1%0.0%10.7%7.2%-2.1K61.8K-4581.3936.13N/AN/A111154186226
2016-09-15$10.85$0.0036.6%10.5%15.4%10.1%0.0%-1.6%2.4%-1.8K57.2K-4581.6098.67N/AN/A96154186226
2016-09-16$10.90$0.0036.2%10.4%14.2%9.7%0.0%-7.4%-0.7%-1.9K57.6K-4631.6099.75N/AN/A96154181226
2016-09-19$10.96$0.0031.2%9.0%14.3%5.0%0.0%11.8%11.6%-2.1K59.5K-4311.6642.84N/AN/A87144137216
2016-09-20$11.14$0.0032.5%9.3%14.7%6.2%0.0%17.4%4.8%-2.3K53.1K-4091.6745.00N/AN/A86144137216
2016-09-21$11.24$0.0046.4%13.3%15.0%19.4%0.0%95.3%-15.1%-1.9K25.2K-4731.67101.87N/AN/A86144141216
2016-09-22$11.00$0.0042.6%12.2%16.4%15.8%0.0%7.5%-13.6%-1.9K49.8K-4481.6798.61N/AN/A86144141216
2016-09-23$11.04$0.0035.3%10.1%16.2%8.9%0.0%14.8%-5.9%-2.0K51.0K-4411.6790.94N/AN/A86144141216
2016-09-26$10.86$0.0038.3%11.0%17.3%11.7%0.0%12.3%-5.7%-2.5K68.6K-3261.6797.22N/AN/A86144141216
2016-09-27$10.94$0.0039.0%11.2%17.5%12.3%0.0%3.7%-3.9%-3.1K67.4K-2641.6797.08N/AN/A86144141216
2016-09-28$10.91$0.0039.7%11.4%16.9%13.0%0.0%4.1%-8.3%-2.0K61.6K-3941.67107.30N/AN/A86144141216
2016-09-29$10.87$0.0039.6%11.3%15.0%12.9%0.0%15.5%2.3%-2.0K60.6K-3791.6789.25N/AN/A86144141216
2016-09-30$10.87$0.0053.1%15.2%14.0%25.7%0.0%9.4%-22.9%-2.3K64.0K-3631.6799.15N/AN/A86144141216