CYD Options History — May 2017

In May 2017, CYD traded between $16.71 and $19.68. ATM implied volatility averaged 34.1%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 9.3% (HV 20d: 43.4%). Max pain ranged from $12.50 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.85.

Notable Days

  • 2017-05-01: Highest Volume — 1,033 contracts
  • 2017-05-26: Largest IV spike — 37.1% change
  • 2017-05-30: Highest IV Rank — 41.9%
  • 2017-05-30: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.77$16.71$19.68$19.45$18.09
Max Pain$17.61$12.50$20.00$15.00$17.50
ATM IV34.1%25.0%50.2%36.6%44.1%
Expected Move9.8%7.2%14.4%10.5%12.6%
HV 20d43.4%33.6%46.9%33.6%44.1%
HV 60d40.8%36.5%42.7%36.5%41.8%
IV Rank17.8%4.2%41.9%21.6%32.7%
IV Percentile43.7%4.0%93.7%57.5%84.9%
Term Structure-3.2%-16.4%5.2%-2.2%-8.3%
VWIV36.5%22.7%50.8%37.1%46.1%
Skew 25d-3.3%-18.1%9.3%3.2%9.3%
Skew 10d-4.6%-20.0%14.8%4.4%14.8%
Call IV 25d37.0%27.9%47.4%36.5%33.0%
Put IV 25d33.7%20.3%44.8%39.8%42.4%
Bid-Ask Spread %48.0220.8198.3497.0628.91
Gamma HHI0.510.440.610.530.54
Net GEX65.5K33.1K82.8K73.4K62.3K
Net DEX-1.1M-2.6M289.8K-2.5M-670.1K
Net VEX-10.2K-11.7K-9.2K-10.4K-11.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.161.770.161.61
Total Volume723.5913701,0331,033665
Total OI3,990.1823,2634,6623,2634,261

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$19.45$15.0036.6%10.5%33.6%21.6%37.1%3.2%-2.2%73.4K-2.5M-10.4K0.1697.06N/AN/A8881452,486777
2017-05-02$18.89$12.5039.7%11.4%35.1%26.1%41.7%-7.2%-10.6%75.9K-2.3M-10.9K0.2798.34N/AN/A5701562,618758
2017-05-03$19.68$12.5041.1%11.8%37.7%28.2%41.1%3.2%-5.5%81.8K-2.6M-11.1K0.2869.92N/AN/A5941672,628769
2017-05-04$18.32$20.0038.2%11.0%45.7%23.9%30.6%-2.8%-4.7%76.3K-1.9M-10.6K0.3064.49N/AN/A5881772,707765
2017-05-05$18.26$20.0039.8%11.1%44.7%26.4%29.7%4.6%-4.7%78.3K-1.8M-10.4K0.7248.32N/AN/A2331672,716785
2017-05-08$18.56$20.0042.2%11.3%45.1%29.9%34.3%-3.5%-6.2%82.3K-2.0M-10.6K0.9250.10N/AN/A1931772,732795
2017-05-09$18.02$20.0032.6%10.2%46.2%15.6%33.4%-11.8%-10.9%80.1K-1.7M-10.0K1.0324.68N/AN/A1931982,778805
2017-05-10$18.01$20.0034.5%9.9%46.1%18.4%33.0%-10.1%-5.6%78.2K-1.6M-10.0K0.5024.57N/AN/A4402212,778856
2017-05-11$17.44$20.0028.1%8.1%45.9%8.9%35.4%-18.1%-0.0%74.1K-1.1M-9.4K0.7220.81N/AN/A5844213,085884
2017-05-12$17.15$17.5025.2%7.2%46.2%4.5%29.4%1.9%5.2%66.8K-757.7K-9.9K0.5726.36N/AN/A5683213,1841,108
2017-05-15$16.96$17.5026.0%7.5%46.2%5.7%38.7%-4.2%3.0%69.6K-747.4K-9.8K0.6146.84N/AN/A4532783,3141,116
2017-05-16$17.30$17.5026.8%7.7%46.9%7.0%36.5%-12.5%3.4%82.8K-741.3K-9.8K0.4565.14N/AN/A5032263,3151,129
2017-05-17$16.78$17.5026.6%7.6%46.1%6.5%41.0%1.8%3.3%65.7K-565.1K-9.4K0.6356.84N/AN/A4823043,3561,127
2017-05-18$16.71$17.5033.3%9.5%42.8%16.6%37.2%-0.2%1.1%61.6K-511.0K-9.2K0.5345.01N/AN/A5813103,3531,209
2017-05-19$17.00$17.5025.6%7.3%43.4%5.1%34.4%-14.4%0.3%55.1K-660.6K-9.7K0.5832.28N/AN/A5813373,4531,209
2017-05-22$16.87$17.5026.1%7.5%43.5%5.8%22.7%-8.4%-4.1%49.0K-291.3K-9.5K1.3047.04N/AN/A3514572,7211,133
2017-05-23$17.00$17.5025.0%7.2%42.9%4.2%26.4%6.3%3.6%42.1K-26.3K-10.1K1.1344.67N/AN/A3513952,8221,338
2017-05-24$16.79$17.5033.9%9.7%42.7%17.4%39.9%2.3%-3.1%33.1K289.8K-9.6K1.4655.06N/AN/A2713952,8221,404
2017-05-25$17.33$17.5031.5%9.0%43.2%13.9%35.0%-6.9%-1.4%39.2K-37.5K-10.5K1.5146.03N/AN/A2714102,8221,404
2017-05-26$17.93$17.5043.2%12.4%43.1%31.4%50.8%-0.5%-7.6%53.3K-591.9K-11.7K1.7741.40N/AN/A2314102,8221,404
2017-05-30$18.47$17.5050.2%14.4%44.7%41.9%48.2%-4.6%-16.4%60.9K-914.0K-11.7K1.6722.61N/AN/A2464102,8321,404
2017-05-31$18.09$17.5044.1%12.6%44.1%32.7%46.1%9.3%-8.3%62.3K-670.1K-11.2K1.6128.91N/AN/A2554102,8571,404