CYD Options History — January 2017

In January 2017, CYD traded between $13.26 and $14.47. ATM implied volatility averaged 30.1%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 2.7% (HV 20d: 27.3%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.66.

Notable Days

  • 2017-01-04: Highest Volume — 308 contracts
  • 2017-01-09: Largest IV spike — 35.3% change
  • 2017-01-09: Highest IV Rank — 18.3%
  • 2017-01-26: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.93$13.26$14.47$13.99$13.92
Max Pain$10.25$10.00$12.50$12.50$10.00
ATM IV30.1%22.2%42.5%31.0%29.0%
Expected Move8.2%6.4%9.8%8.9%8.3%
HV 20d27.3%23.6%31.8%27.8%27.2%
HV 60d32.1%30.6%33.0%32.1%30.6%
IV Rank9.5%0.0%18.3%7.8%10.2%
IV Percentile13.6%0.0%53.2%11.9%10.7%
Term Structure0.8%-25.6%12.8%-6.6%8.6%
VWIV28.0%20.0%40.2%40.2%25.8%
Skew 25d-0.4%-14.9%9.0%-2.4%6.9%
Skew 10d3.0%-16.9%81.3%-6.3%4.4%
Call IV 25d27.6%19.0%36.2%33.2%24.5%
Put IV 25d27.3%18.6%32.0%30.8%31.4%
Bid-Ask Spread %75.0145.24109.7899.7554.97
Gamma HHI0.470.390.610.440.40
Net GEX3.1K1.4K4.9K4.9K2.9K
Net DEX-198.5K-313.6K-130.7K-290.9K-141.9K
Net VEX-1.4K-1.6K-852-1.0K-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.511.440.790.54
Total Volume242.25201308201232
Total OI816.75620896620896

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$13.99$12.5031.0%8.9%27.8%7.8%40.2%-2.4%-6.6%4.9K-290.9K-1.0K0.7999.75N/AN/A11289351269
2017-01-04$14.47$12.5031.7%9.1%29.5%8.5%34.3%-6.2%-2.7%4.2K-313.6K-8521.4466.98N/AN/A126182351286
2017-01-05$14.09$10.0028.9%8.1%31.8%5.9%31.6%-3.7%-2.1%3.6K-263.5K-1.4K0.63103.71N/AN/A15698394405
2017-01-06$13.98$10.0031.4%7.5%25.8%8.1%25.9%0.1%2.1%3.8K-254.0K-1.4K0.5879.93N/AN/A15690394422
2017-01-09$13.97$10.0042.5%9.3%24.5%18.3%29.5%-12.9%-5.4%3.7K-211.0K-1.5K0.51106.40N/AN/A15679394427
2017-01-10$14.12$10.0034.1%6.5%24.7%10.6%20.5%5.6%12.0%3.0K-234.4K-1.4K0.51100.06N/AN/A15679394427
2017-01-11$14.03$10.0027.0%7.8%24.8%4.2%26.9%-8.8%0.2%3.1K-231.3K-1.5K0.5175.73N/AN/A15679394427
2017-01-12$14.00$10.0029.1%8.3%23.6%9.9%27.9%-9.2%-1.0%3.6K-227.5K-1.5K0.60108.95N/AN/A15694394427
2017-01-13$13.61$10.0034.1%9.8%25.6%17.3%32.7%-14.9%-22.6%3.9K-196.3K-1.5K0.6067.18N/AN/A15694394447
2017-01-17$13.26$10.0033.1%9.5%27.1%15.9%31.3%-1.4%-25.6%3.3K-131.4K-1.6K0.60109.78N/AN/A15694394447
2017-01-18$13.37$10.0027.5%7.9%27.0%7.5%28.6%5.1%10.1%3.0K-145.2K-1.6K0.6051.25N/AN/A15694394447
2017-01-19$13.54$10.0029.2%8.4%27.0%10.1%28.0%9.0%4.3%1.7K-171.7K-1.5K0.6045.24N/AN/A15694394447
2017-01-20$13.84$10.0023.9%6.8%28.2%2.0%20.9%4.3%8.8%1.4K-202.9K-1.4K0.6054.23N/AN/A15694394447
2017-01-23$14.19$10.0023.8%6.8%29.4%2.0%20.0%7.1%12.8%2.8K-177.1K-1.4K0.9280.87N/AN/A113104351447
2017-01-24$14.13$10.0022.2%6.4%29.4%0.0%21.3%5.8%10.3%1.9K-167.6K-1.4K0.7567.58N/AN/A139104351457
2017-01-25$14.27$10.0028.1%8.1%27.8%8.9%23.7%8.4%9.8%2.6K-181.2K-1.5K0.7555.33N/AN/A139104391457
2017-01-26$14.00$10.0034.3%9.8%28.5%18.1%33.2%-4.3%-3.9%2.7K-163.3K-1.5K0.6167.33N/AN/A13985391473
2017-01-27$13.87$10.0030.5%8.7%28.7%12.5%30.7%-1.7%-3.0%2.5K-133.5K-1.5K0.5647.76N/AN/A15185391473
2017-01-30$13.89$10.0030.1%8.6%28.7%11.9%26.0%5.6%9.2%3.0K-130.7K-1.6K0.5657.21N/AN/A15185423473
2017-01-31$13.92$10.0029.0%8.3%27.2%10.2%25.8%6.9%8.6%2.9K-141.9K-1.6K0.5454.97N/AN/A15181423473