CYD Options History — February 2017 In February 2017, CYD traded between $13.75 and $15.97. ATM implied volatility averaged 28.9%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 5.7% (HV 20d: 23.2%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.46.
Notable Days 2017-02-22 : Highest Volume — 537 contracts2017-02-28 : Largest IV drop — 25.6% change2017-02-27 : Highest IV Rank — 16.9%2017-02-27 : Largest Expected Move — 9.6%Monthly Statistics Metric Avg Min Max Open Close Price $14.38 $13.75 $15.97 $13.85 $15.97 Max Pain $14.47 $10.00 $15.00 $10.00 $15.00 ATM IV 28.9% 24.9% 33.5% 25.4% 24.9% Expected Move 8.3% 7.1% 9.6% 7.3% 7.1% HV 20d 23.2% 15.7% 29.1% 26.9% 28.8% HV 60d 29.2% 27.1% 30.8% 30.6% 27.8% IV Rank 10.0% 4.1% 16.9% 4.8% 4.1% IV Percentile 14.1% 3.2% 31.0% 4.0% 3.2% Term Structure -0.9% -5.9% 6.6% 6.6% 2.0% VWIV 30.9% 23.7% 40.5% 27.5% 23.7% Skew 25d -2.8% -8.6% 19.8% 2.0% -2.8% Skew 10d 1.4% -13.7% 43.5% 4.8% -0.3% Call IV 25d 30.8% 26.4% 35.0% 27.3% 27.2% Put IV 25d 28.0% 21.9% 46.3% 29.3% 24.4% Bid-Ask Spread % 66.75 34.50 109.42 53.15 109.42 Gamma HHI 0.39 0.33 0.45 0.45 0.43 Net GEX 1.5K -1.6K 8.1K 3.2K 8.1K Net DEX -95.9K -298.9K 74.2K -136.2K -298.9K Net VEX -1.4K -2.1K -1.2K -1.6K -1.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.46 0.35 0.63 0.54 0.63 Total Volume 346.158 232 537 232 492 Total OI 839.263 646 957 897 870
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2017-02-01 $13.85 $10.00 25.4% 7.3% 26.9% 4.8% 27.5% 2.0% 6.6% 3.2K -136.2K -1.6K 0.54 53.15 N/A N/A 151 81 423 474 2017-02-02 $13.94 $15.00 27.2% 8.9% 23.9% 7.5% 33.1% 0.3% -3.3% 2.8K -137.3K -1.5K 0.54 59.71 N/A N/A 151 81 423 474 2017-02-03 $14.24 $15.00 28.5% 7.8% 23.4% 9.5% 30.8% 2.4% 0.4% 3.3K -159.6K -1.5K 0.38 59.32 N/A N/A 211 81 423 474 2017-02-06 $14.10 $15.00 28.0% 8.5% 23.5% 8.7% 30.7% -5.1% -0.8% 2.5K -133.2K -1.5K 0.43 51.65 N/A N/A 211 90 394 474 2017-02-07 $13.97 $15.00 29.0% 8.0% 23.7% 10.2% 31.6% -8.6% 0.5% 1.7K -111.9K -1.5K 0.43 53.06 N/A N/A 211 90 394 484 2017-02-08 $14.17 $15.00 26.4% 7.6% 24.0% 6.3% 30.0% -8.2% -0.4% 2.4K -120.1K -1.5K 0.43 53.50 N/A N/A 211 90 394 484 2017-02-09 $14.18 $15.00 30.1% 8.6% 23.8% 11.8% 32.4% -4.9% -5.9% 837 -65.2K -1.2K 0.43 92.23 N/A N/A 211 90 329 484 2017-02-10 $14.11 $15.00 26.3% 7.5% 23.9% 6.1% 30.7% -6.0% -1.0% 594 -60.2K -1.3K 0.43 50.72 N/A N/A 211 90 329 484 2017-02-13 $14.09 $15.00 28.1% 8.1% 21.4% 8.9% 31.8% -6.1% -3.5% 694 -54.9K -1.3K 0.43 52.88 N/A N/A 211 90 329 484 2017-02-14 $14.01 $15.00 28.8% 8.3% 19.0% 10.0% 32.2% -6.7% -1.5% 791 -41.6K -1.2K 0.43 43.02 N/A N/A 211 91 329 484 2017-02-15 $14.09 $15.00 29.1% 8.4% 18.9% 10.4% 31.3% -5.5% 0.7% 338 -43.6K -1.3K 0.43 45.32 N/A N/A 212 91 329 484 2017-02-16 $13.93 $15.00 32.3% 9.3% 19.2% 15.1% 34.7% -8.2% -2.5% -1.2K -19.8K -1.2K 0.42 44.78 N/A N/A 215 91 315 484 2017-02-17 $13.75 $15.00 30.6% 8.8% 18.2% 12.6% 29.9% -2.1% -4.3% -1.5K 677 -1.2K 0.35 40.20 N/A N/A 243 86 311 484 2017-02-21 $13.82 $12.50 30.7% 8.8% 15.7% 12.7% 27.0% -7.3% 1.0% -1.6K 74.2K -1.2K 0.41 104.24 N/A N/A 178 73 238 408 2017-02-22 $14.49 $12.50 31.3% 9.0% 23.3% 13.7% 30.0% -7.0% -4.1% 92 17.5K -1.2K 0.51 34.50 N/A N/A 355 182 253 408 2017-02-23 $14.90 $15.00 29.9% 8.6% 25.0% 11.5% 29.8% -2.1% 1.1% -486 -47.5K -2.1K 0.49 106.44 N/A N/A 355 175 441 512 2017-02-24 $15.68 $15.00 28.8% 8.3% 29.1% 9.9% 30.2% 2.4% -3.3% -1.1K -192.2K -1.8K 0.58 107.64 N/A N/A 301 174 441 516 2017-02-27 $15.93 $15.00 33.5% 9.6% 28.8% 16.9% 40.5% 19.8% 0.9% 8.0K -291.6K -1.7K 0.56 106.55 N/A N/A 315 175 458 427 2017-02-28 $15.97 $15.00 24.9% 7.1% 28.8% 4.1% 23.7% -2.8% 2.0% 8.1K -298.9K -1.7K 0.63 109.42 N/A N/A 302 190 439 431
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