CYD Options History — October 2016

In October 2016, CYD traded between $10.45 and $11.17. ATM implied volatility averaged 42.5%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 21.4% (HV 20d: 21.1%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 2.15.

Notable Days

  • 2016-10-03: Highest Volume — 430 contracts
  • 2016-10-07: Largest IV spike — 90.1% change
  • 2016-10-07: Highest IV Rank — 40.3%
  • 2016-10-03: Largest Expected Move — 18.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.90$10.45$11.17$10.99$11.11
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV42.5%32.5%68.5%64.4%46.2%
Expected Move11.5%9.1%18.5%18.5%13.2%
HV 20d21.1%14.4%27.6%14.4%27.3%
HV 60d17.8%15.6%20.2%16.5%20.2%
IV Rank15.7%6.2%40.3%36.4%19.1%
IV Percentile39.4%7.1%98.8%97.6%59.5%
Term Structure0.3%-52.9%76.7%-4.5%-21.6%
VWIV37.4%30.6%48.0%38.3%32.0%
Skew 25d1.2%-10.7%17.6%17.6%-0.4%
Skew 10d21.2%-7.5%76.0%21.7%8.4%
Call IV 25d40.5%26.0%49.6%46.8%45.6%
Put IV 25d41.7%32.0%64.4%64.4%45.2%
Bid-Ask Spread %60.0825.93146.37137.8026.07
Gamma HHI0.870.520.970.520.86
Net GEX-9.5K-15.5K-2.0K-2.0K-10.2K
Net DEX117.7K55.0K174.2K55.0K110.2K
Net VEX-561-670-382-382-598
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.151.034.004.001.03
Total Volume321.905266430430300
Total OI673.143357845357845

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$10.99$0.0064.4%18.5%14.4%36.4%0.0%17.6%-4.5%-2.0K55.0K-3824.00137.80N/AN/A86344141216
2016-10-04$10.93$0.0037.4%10.7%14.5%10.8%0.0%-3.7%-22.4%-7.0K96.9K-5544.0044.34N/AN/A86344141421
2016-10-05$10.98$0.0048.7%14.0%14.5%21.5%0.0%-0.6%-52.9%-7.5K107.7K-5582.34146.37N/AN/A86201141421
2016-10-06$11.17$12.5036.0%11.4%15.7%9.5%38.3%0.1%61.6%-9.4K98.2K-5852.34104.15N/AN/A86201141483
2016-10-07$11.03$12.5068.5%9.9%15.7%40.3%35.6%4.6%76.7%-8.5K109.5K-6562.31104.60N/AN/A87201141483
2016-10-10$10.96$12.5035.3%10.5%15.8%8.9%31.5%0.5%-3.3%-9.1K120.4K-5942.3129.06N/AN/A87201142483
2016-10-11$10.81$12.5050.7%9.1%16.6%23.4%30.6%1.7%6.0%-8.9K119.7K-5772.3132.23N/AN/A87201142483
2016-10-12$10.83$12.5032.5%9.3%16.6%6.2%37.8%-0.5%5.0%-9.8K137.8K-5831.1037.91N/AN/A183201142483
2016-10-13$10.45$12.5042.2%12.1%20.9%15.4%36.9%-9.9%-14.3%-8.8K170.2K-6451.9731.63N/AN/A102201194483
2016-10-14$10.54$12.5040.3%11.6%21.1%13.6%41.5%-3.4%-6.4%-9.3K163.6K-6121.9736.11N/AN/A102201184483
2016-10-17$10.88$12.5036.9%10.6%24.1%10.3%35.5%-4.3%1.1%-12.7K123.0K-4831.9741.36N/AN/A102201184483
2016-10-18$10.90$12.5035.0%10.0%23.3%8.5%34.2%5.7%5.4%-15.5K107.9K-3861.9775.82N/AN/A102201184483
2016-10-19$10.96$12.5034.3%9.8%23.2%7.9%37.4%14.1%5.2%-10.1K115.7K-5011.9729.39N/AN/A102201184483
2016-10-20$10.83$12.5033.7%9.7%22.3%7.3%39.5%0.9%6.6%-8.3K113.1K-5171.9725.93N/AN/A102201184483
2016-10-21$10.52$12.5037.6%10.8%24.3%11.0%40.7%-10.7%-4.4%-9.7K136.4K-4923.3697.62N/AN/A89299184483
2016-10-24$10.71$12.5037.5%10.7%24.8%10.9%39.8%-4.2%2.5%-14.6K174.2K-5612.0398.89N/AN/A118239185583
2016-10-25$11.00$12.5040.1%11.5%26.5%13.4%40.9%-1.8%-6.6%-11.4K120.7K-6012.0340.19N/AN/A118239212583
2016-10-26$11.13$12.5042.8%12.3%26.8%15.9%33.3%6.4%-8.8%-8.1K79.4K-5841.2539.28N/AN/A118148212583
2016-10-27$10.98$12.5048.2%13.8%27.2%21.0%48.0%9.9%-14.0%-8.8K103.9K-6391.5144.67N/AN/A118178212593
2016-10-28$11.12$12.5044.1%12.6%27.6%17.1%39.3%3.6%-4.5%-9.8K109.1K-6701.5138.35N/AN/A118178212633
2016-10-31$11.11$12.5046.2%13.2%27.3%19.1%32.0%-0.4%-21.6%-10.2K110.2K-5981.0326.07N/AN/A148152212633