CYD Options History — December 2016

In December 2016, CYD traded between $12.54 and $13.95. ATM implied volatility averaged 34.5%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 0.7% (HV 20d: 35.2%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.75.

Notable Days

  • 2016-12-07: Highest Volume — 297 contracts
  • 2016-12-07: Largest IV spike — 64.0% change
  • 2016-12-12: Highest IV Rank — 42.9%
  • 2016-12-01: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.47$12.54$13.95$12.54$13.83
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV34.5%22.5%69.7%31.5%27.5%
Expected Move7.8%6.5%9.0%9.0%7.9%
HV 20d35.2%26.8%40.7%36.8%27.8%
HV 60d31.1%29.1%32.2%29.3%32.2%
IV Rank10.8%0.0%42.9%7.6%4.5%
IV Percentile23.2%0.0%98.8%8.3%5.6%
Term Structure0.2%-11.8%14.7%-4.5%5.7%
VWIV28.4%19.2%32.6%31.5%29.9%
Skew 25d2.7%-7.9%12.7%4.0%4.3%
Skew 10d11.7%-3.5%66.0%8.5%3.2%
Call IV 25d24.7%18.7%35.8%35.8%23.6%
Put IV 25d27.5%21.5%39.7%39.7%27.9%
Bid-Ask Spread %87.7739.62113.0039.6253.48
Gamma HHI0.580.490.780.720.50
Net GEX6.1K4.7K7.5K5.7K5.7K
Net DEX-288.0K-364.7K-161.9K-188.9K-278.9K
Net VEX-1.0K-1.1K-890-935-890
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.491.371.370.77
Total Volume222.476173297199202
Total OI594.619477636477620

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$12.54$12.5031.5%9.0%36.8%7.6%31.5%4.0%-4.5%5.7K-188.9K-9351.3739.62N/AN/A84115295182
2016-12-02$12.64$12.5031.1%8.9%36.8%7.3%31.1%3.3%0.3%4.7K-161.9K-1.1K1.3754.70N/AN/A84115295241
2016-12-05$12.64$12.5034.2%8.0%36.5%10.1%27.8%2.8%-0.6%5.0K-173.1K-1.1K0.8666.94N/AN/A133115295241
2016-12-06$12.69$12.5032.6%8.1%36.5%8.7%28.4%4.9%1.3%7.5K-210.6K-1.1K0.9349.86N/AN/A133124345241
2016-12-07$13.42$12.5053.4%7.0%40.7%27.9%19.2%11.0%2.4%6.8K-300.0K-1.1K0.7260.88N/AN/A173124365250
2016-12-08$13.75$12.5049.6%8.7%38.4%24.3%27.4%11.3%-3.2%7.0K-347.9K-1.0K0.81108.19N/AN/A154124385250
2016-12-09$13.70$12.5045.5%8.2%37.8%20.5%27.3%7.2%-4.0%6.6K-348.6K-1.1K0.81108.39N/AN/A154124386250
2016-12-12$13.65$12.5069.7%8.3%37.7%42.9%27.8%6.0%-5.0%6.7K-331.2K-1.1K0.81107.18N/AN/A154124378250
2016-12-13$13.95$12.5069.5%8.4%38.0%42.7%22.3%12.7%6.0%6.0K-364.1K-9470.81105.69N/AN/A154124378250
2016-12-14$13.86$12.5028.5%8.2%38.0%4.9%29.8%-7.9%-0.6%5.7K-364.7K-9630.55109.88N/AN/A15485378250
2016-12-15$13.79$12.5022.5%6.5%38.2%0.0%25.8%0.7%7.0%5.3K-357.0K-1.0K0.60110.76N/AN/A14185378250
2016-12-16$13.62$12.5025.8%7.4%35.5%3.0%29.0%-1.3%-1.9%5.7K-348.3K-1.0K0.61109.10N/AN/A13281383250
2016-12-19$13.80$12.5024.8%7.1%35.5%2.1%29.0%1.1%6.8%6.3K-317.7K-9200.49112.72N/AN/A11657350228
2016-12-20$13.80$12.5025.9%7.4%35.0%3.1%31.4%8.1%14.7%6.1K-324.4K-9090.49113.00N/AN/A11657350228
2016-12-21$13.71$12.5026.8%7.7%33.5%3.9%32.6%-1.6%-8.2%5.8K-302.2K-1.0K0.49112.88N/AN/A11657350228
2016-12-22$13.80$12.5025.1%7.2%32.4%2.4%32.5%0.7%6.6%5.8K-309.1K-9940.49112.00N/AN/A11657350228
2016-12-23$13.46$12.5024.1%6.9%34.2%1.5%29.0%-2.9%-3.5%6.5K-292.0K-9890.53110.89N/AN/A11662350228
2016-12-27$13.30$12.5026.5%7.6%32.1%3.7%31.7%-6.1%-11.8%6.8K-259.3K-1.0K0.7676.86N/AN/A11688350233
2016-12-28$13.39$12.5024.1%6.9%32.1%1.5%25.4%-0.9%0.6%6.0K-230.3K-1.1K0.7666.06N/AN/A11688350259
2016-12-29$13.48$12.5026.0%7.5%26.8%3.2%27.6%0.3%-5.1%6.2K-237.3K-1.0K0.7754.12N/AN/A11488350269
2016-12-30$13.83$12.5027.5%7.9%27.8%4.5%29.9%4.3%5.7%5.7K-278.9K-8900.7753.48N/AN/A11488351269