CYD Options History — March 2017

In March 2017, CYD traded between $15.93 and $18.84. ATM implied volatility averaged 30.3%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 9.0% (HV 20d: 39.3%). Max pain ranged from $15.00 to $25.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.58.

Notable Days

  • 2017-03-16: Highest Volume — 1,563 contracts
  • 2017-03-13: Largest IV spike — 61.0% change
  • 2017-03-13: Highest IV Rank — 33.2%
  • 2017-03-21: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.49$15.93$18.84$16.26$18.54
Max Pain$15.98$15.00$25.00$15.00$17.50
ATM IV30.3%25.0%44.4%26.2%25.4%
Expected Move8.1%6.9%10.0%7.5%7.3%
HV 20d39.3%29.0%48.7%29.0%45.9%
HV 60d31.4%26.8%35.1%27.9%34.5%
IV Rank12.2%4.2%33.2%6.0%4.8%
IV Percentile22.9%3.6%72.6%6.3%6.3%
Term Structure3.9%-8.1%14.1%3.2%9.3%
VWIV29.8%21.3%40.6%25.6%21.3%
Skew 25d1.2%-13.0%11.4%1.6%7.1%
Skew 10d3.4%-21.9%58.9%2.3%4.8%
Call IV 25d28.9%19.8%41.7%24.2%19.8%
Put IV 25d30.1%25.8%34.3%25.8%26.9%
Bid-Ask Spread %101.3395.33108.95108.4898.85
Gamma HHI0.520.380.770.410.51
Net GEX42.8K5.5K72.7K5.5K72.7K
Net DEX-1.1M-1.8M-255.2K-273.3K-1.7M
Net VEX-5.8K-8.6K-1.7K-1.7K-8.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.121.270.740.73
Total Volume629.9573461,563447346
Total OI2,017.2618782,7518782,748

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-03-01$16.26$15.0026.2%7.5%29.0%6.0%25.6%1.6%3.2%5.5K-273.3K-1.7K0.74108.48N/AN/A257190427451
2017-03-02$16.13$15.0029.4%8.4%29.1%10.8%27.4%0.7%-2.5%5.9K-281.0K-1.8K0.74108.95N/AN/A257190440451
2017-03-03$16.07$15.0029.9%8.6%29.4%11.6%27.6%-1.3%-8.1%6.0K-270.9K-1.8K0.73108.70N/AN/A257187440451
2017-03-06$15.93$15.0031.5%8.8%29.4%13.9%29.6%1.4%1.4%6.2K-255.2K-1.8K0.7398.67N/AN/A257187440452
2017-03-07$16.48$15.0031.5%6.9%30.5%14.0%28.0%0.7%1.7%5.9K-307.7K-1.7K0.24103.96N/AN/A795187440451
2017-03-08$17.23$15.0031.4%7.6%32.4%13.8%26.9%6.0%3.1%31.0K-886.7K-4.7K0.74100.86N/AN/A2661981,175450
2017-03-09$16.70$15.0040.6%7.9%35.6%27.5%28.8%-2.0%3.9%31.8K-865.4K-5.0K0.64100.20N/AN/A3162031,254462
2017-03-10$17.29$15.0027.6%8.0%36.6%8.1%28.4%9.3%2.2%35.8K-1.0M-5.3K0.7896.87N/AN/A2592031,319465
2017-03-13$17.69$15.0044.4%7.7%36.5%33.2%29.5%11.4%6.0%38.4K-1.2M-5.8K1.27104.57N/AN/A1551971,406465
2017-03-14$17.36$15.0036.5%8.2%37.8%21.4%28.1%2.5%2.9%40.0K-1.2M-6.0K0.73108.23N/AN/A2711971,435463
2017-03-15$18.24$15.0031.1%8.9%39.7%13.4%31.1%9.3%0.8%54.7K-1.6M-6.0K0.92104.52N/AN/A2472261,577463
2017-03-16$18.62$25.0029.3%8.4%39.7%10.6%25.4%8.6%6.5%45.0K-1.8M-6.0K0.1999.47N/AN/A1,3122511,577493
2017-03-17$18.84$20.0025.7%7.4%38.5%5.3%31.0%2.9%0.9%54.4K-1.8M-6.7K0.27101.22N/AN/A9472511,862503
2017-03-20$18.39$20.0025.0%7.2%39.8%4.2%29.6%-1.3%7.9%55.1K-1.4M-6.3K0.1497.38N/AN/A9981431,686489
2017-03-21$17.24$15.0034.9%10.0%48.7%19.0%40.6%-13.0%1.1%52.4K-1.2M-7.4K0.1298.81N/AN/A1,0941332,082479
2017-03-22$17.80$15.0029.8%8.5%47.5%11.4%32.4%-4.4%2.8%61.0K-1.3M-7.8K0.1495.93N/AN/A9911342,217463
2017-03-23$17.99$15.0025.2%7.2%47.0%4.6%36.9%-1.9%14.1%65.9K-1.5M-8.4K0.3299.39N/AN/A4181342,247464
2017-03-24$17.54$15.0030.9%8.9%45.8%13.1%39.5%-11.4%2.8%58.6K-1.5M-8.5K0.4899.68N/AN/A2791342,274474
2017-03-27$17.90$15.0031.8%9.1%46.0%14.4%36.2%-5.3%2.2%64.1K-1.3M-8.0K0.7096.42N/AN/A2081452,277474
2017-03-28$17.76$15.0028.4%8.1%46.2%9.3%26.5%3.7%6.0%61.9K-1.4M-8.2K0.7095.33N/AN/A2081452,277460
2017-03-29$17.96$15.0025.3%7.2%46.1%4.6%25.6%4.2%10.7%62.6K-1.4M-8.3K0.70100.28N/AN/A2081452,277460
2017-03-30$18.24$15.0025.4%7.3%45.9%4.8%30.1%-1.0%9.9%69.8K-1.5M-8.2K0.70103.77N/AN/A2141492,277460
2017-03-31$18.54$17.5025.4%7.3%45.9%4.8%21.3%7.1%9.3%72.7K-1.7M-8.6K0.7398.85N/AN/A2001462,283465