CYD Options History — November 2016

In November 2016, CYD traded between $10.83 and $12.58. ATM implied volatility averaged 34.7%, placing in the 9.2% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 1.3% (HV 20d: 33.4%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.01.

Notable Days

  • 2016-11-18: Highest Volume — 423 contracts
  • 2016-11-09: Largest IV drop — 37.9% change
  • 2016-11-02: Highest IV Rank — 21.3%
  • 2016-11-02: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.82$10.83$12.58$10.83$12.58
Max Pain$10.48$10.00$12.50$12.50$12.50
ATM IV34.7%23.2%48.4%40.8%27.9%
Expected Move9.1%6.6%13.9%11.7%8.0%
HV 20d33.4%28.8%38.9%28.8%38.9%
HV 60d24.8%20.9%29.3%20.9%29.3%
IV Rank9.2%0.0%21.3%14.1%4.4%
IV Percentile20.4%0.0%71.8%38.1%2.0%
Term Structure-3.4%-17.6%2.7%-14.5%-2.3%
VWIV35.2%27.9%48.7%44.9%27.9%
Skew 25d11.2%-8.1%107.5%10.3%-5.8%
Skew 10d14.8%-11.9%139.8%10.7%-10.1%
Call IV 25d33.9%28.6%48.5%34.8%34.3%
Put IV 25d45.0%20.4%137.5%45.1%28.5%
Bid-Ask Spread %55.2625.95101.8791.8444.73
Gamma HHI0.730.500.890.890.83
Net GEX3.3K-12.8K10.6K-12.8K8.2K
Net DEX-64.0K-186.0K130.8K130.8K-186.0K
Net VEX-634-841-316-637-733
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.571.541.540.67
Total Volume276.286134423251140
Total OI808.9053221,126889456

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$10.83$12.5040.8%11.7%28.8%14.1%44.9%10.3%-14.5%-12.8K130.8K-6371.5491.84N/AN/A99152242647
2016-11-02$11.30$12.5048.4%13.9%32.6%21.3%48.7%5.5%-14.5%-8.7K58.7K-6230.77100.33N/AN/A197152243647
2016-11-03$11.39$10.0039.1%8.1%32.1%12.4%35.4%6.4%-1.8%-415-19.4K-5910.8138.27N/AN/A187152343647
2016-11-04$11.30$10.0046.6%8.7%31.9%19.5%31.8%4.9%-1.1%-1.7K3.7K-5660.81101.87N/AN/A187152332647
2016-11-07$11.43$10.0047.8%8.5%32.0%20.6%33.2%6.3%-1.1%502-11.7K-4750.8299.60N/AN/A187153332647
2016-11-08$11.55$10.0047.1%8.1%31.5%20.1%34.5%12.1%2.7%2.2K-32.4K-4710.8242.29N/AN/A187153332652
2016-11-09$12.11$10.0029.3%8.4%35.2%3.1%29.9%81.5%1.9%7.8K-77.9K-4401.4944.74N/AN/A103153337652
2016-11-10$11.92$10.0033.1%9.5%32.7%6.8%36.4%-3.8%-3.3%5.3K-57.1K-4371.4925.95N/AN/A103153329652
2016-11-11$11.85$10.0034.8%10.0%33.0%8.4%40.6%10.9%-4.2%5.0K22.9K-3161.4993.69N/AN/A103153329652
2016-11-14$11.98$10.0034.4%9.8%31.6%7.9%33.2%-0.9%-1.9%7.2K-13.1K-3430.6745.83N/AN/A227153329652
2016-11-15$11.90$10.0035.6%10.2%31.9%9.2%40.2%-1.3%-3.0%8.4K-61.5K-7270.6245.44N/AN/A246153456652
2016-11-16$12.02$10.0033.6%9.6%31.9%7.2%35.3%0.5%-3.1%10.6K-106.9K-7590.6045.84N/AN/A253153465652
2016-11-17$11.59$10.0027.9%8.0%34.7%1.8%34.1%-3.6%-1.5%3.6K-24.4K-6730.6046.71N/AN/A253153474652
2016-11-18$11.69$10.0023.2%6.6%32.5%0.0%31.4%-8.1%2.4%3.7K-20.7K-6680.5728.55N/AN/A270153472652
2016-11-21$12.00$10.0025.3%7.2%33.1%1.9%29.3%107.5%-1.4%5.1K-137.7K-6891.3542.83N/AN/A608124577
2016-11-22$12.44$10.0033.2%9.5%34.0%9.3%37.1%5.1%-6.0%4.9K-169.8K-8331.5354.77N/AN/A5381256142
2016-11-23$12.21$10.0026.8%7.7%35.0%3.3%29.3%1.3%1.2%5.2K-184.6K-8251.2132.72N/AN/A6781261142
2016-11-25$12.31$10.0035.3%10.1%34.4%11.1%46.0%-3.0%-17.6%5.0K-168.4K-8271.2157.28N/AN/A6781275142
2016-11-28$11.93$10.0028.0%8.0%36.7%4.4%29.3%2.5%-2.2%5.4K-157.9K-8380.9939.01N/AN/A8483275142
2016-11-29$11.93$12.5030.1%8.6%36.7%6.4%30.2%6.7%-0.7%5.5K-131.4K-8411.1938.12N/AN/A84100295161
2016-11-30$12.58$12.5027.9%8.0%38.9%4.4%27.9%-5.8%-2.3%8.2K-186.0K-7330.6744.73N/AN/A8456295161