CYD Options History — June 2017

In June 2017, CYD traded between $17.26 and $18.60. ATM implied volatility averaged 35.6%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 2.1% (HV 20d: 37.7%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.90.

Notable Days

  • 2017-06-02: Highest Volume — 1,778 contracts
  • 2017-06-08: Largest IV drop — 22.1% change
  • 2017-06-01: Highest IV Rank — 42.5%
  • 2017-06-01: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.96$17.26$18.60$18.60$18.24
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV35.6%29.6%50.6%50.6%30.8%
Expected Move9.9%8.5%14.5%14.5%8.8%
HV 20d37.7%33.8%42.6%42.6%34.8%
HV 60d39.1%36.8%41.6%41.6%38.2%
IV Rank20.0%11.1%42.5%42.5%12.9%
IV Percentile52.7%25.8%94.0%94.0%33.3%
Term Structure1.2%-20.3%12.2%-20.3%10.6%
VWIV34.8%29.1%51.2%50.2%29.9%
Skew 25d-1.8%-16.4%6.5%-7.8%1.5%
Skew 10d-0.6%-16.9%11.1%-5.1%-0.5%
Call IV 25d36.0%32.5%49.2%47.8%34.4%
Put IV 25d34.3%28.1%40.4%39.9%35.9%
Bid-Ask Spread %31.5418.3057.3834.5826.98
Gamma HHI0.750.520.860.590.86
Net GEX46.0K23.2K65.1K65.1K54.5K
Net DEX-902.7K-1.4M-297.5K-967.9K-1.2M
Net VEX-10.2K-11.6K-9.3K-11.6K-9.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.301.671.670.59
Total Volume6915031,778656541
Total OI3,8193,5144,2614,2613,575

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$18.60$17.5050.6%14.5%42.6%42.5%50.2%-7.8%-20.3%65.1K-967.9K-11.6K1.6734.58N/AN/A2464102,8571,404
2017-06-02$18.16$17.5044.1%12.6%35.1%32.7%51.2%-16.4%-18.0%62.5K-773.4K-11.4K0.3018.30N/AN/A1,3684102,8571,404
2017-06-05$17.37$17.5038.9%9.7%38.5%25.0%33.9%6.5%2.5%38.6K-425.2K-10.7K0.9132.75N/AN/A4404002,5941,404
2017-06-06$17.67$17.5038.3%10.0%38.5%24.0%35.2%1.1%1.4%44.2K-715.9K-10.9K0.9340.59N/AN/A4304002,5941,380
2017-06-07$17.67$17.5038.1%9.7%37.2%23.7%34.2%1.6%1.8%43.9K-736.4K-10.8K0.9526.53N/AN/A4224002,5951,359
2017-06-08$17.98$17.5029.6%10.1%37.7%11.2%34.3%3.9%0.3%47.0K-1.0M-11.0K0.9823.82N/AN/A4084002,5961,359
2017-06-09$17.84$17.5034.9%10.2%36.0%19.0%35.7%2.8%0.9%46.5K-895.9K-10.8K1.1828.48N/AN/A3073632,5951,359
2017-06-12$17.57$17.5040.7%10.2%35.9%27.7%33.5%-7.8%1.1%31.0K-579.9K-10.3K1.1853.23N/AN/A3073632,5951,434
2017-06-13$17.60$17.5042.6%9.5%35.6%30.6%33.1%-7.2%2.9%28.9K-605.3K-10.1K1.0833.86N/AN/A3363632,5951,424
2017-06-14$17.27$17.5034.3%9.8%35.6%18.2%35.0%-0.5%1.7%26.8K-365.1K-9.8K1.1837.30N/AN/A3113672,6051,424
2017-06-15$17.26$17.5033.6%9.6%33.8%17.1%34.4%-1.0%2.0%23.2K-297.5K-9.8K1.1824.54N/AN/A3113672,6001,429
2017-06-16$18.27$17.5033.1%9.5%39.0%16.3%33.2%1.8%3.7%47.1K-1.3M-10.3K1.1719.53N/AN/A3173712,6051,429
2017-06-19$18.27$17.5035.8%10.3%38.7%20.3%35.3%-1.8%0.8%49.8K-1.2M-10.3K0.8433.35N/AN/A2922452,3461,168
2017-06-20$18.27$17.5033.7%9.7%38.5%17.2%33.1%-0.3%1.4%51.5K-1.2M-10.2K0.8022.56N/AN/A3082452,3541,188
2017-06-21$17.61$17.5034.1%9.8%41.1%17.9%35.4%-4.8%3.5%42.6K-803.2K-9.7K0.8046.56N/AN/A3082452,3541,188
2017-06-22$18.05$17.5033.5%9.6%41.5%17.0%34.1%-3.9%1.5%47.5K-985.5K-9.8K0.7857.38N/AN/A3082412,3541,188
2017-06-23$18.02$17.5033.0%9.5%40.2%16.2%32.9%-2.7%2.8%48.2K-983.4K-9.8K0.8320.05N/AN/A2892412,3541,188
2017-06-26$18.24$17.5033.1%9.5%38.6%16.4%33.3%-2.0%1.7%51.8K-1.2M-9.5K0.7530.94N/AN/A3202412,3551,188
2017-06-27$18.18$17.5030.3%8.7%37.1%12.2%30.2%-2.5%4.1%51.2K-1.0M-9.4K0.6223.92N/AN/A3111922,3931,188
2017-06-28$18.54$17.5029.6%8.5%36.9%11.1%29.4%-1.0%8.4%56.7K-1.4M-9.7K0.5922.39N/AN/A3251922,3771,188
2017-06-29$18.41$17.5030.1%8.6%35.7%11.8%29.1%1.6%12.2%53.6K-1.2M-9.6K0.5936.31N/AN/A3402012,3871,188
2017-06-30$18.24$17.5030.8%8.8%34.8%12.9%29.9%1.5%10.6%54.5K-1.2M-9.3K0.5926.98N/AN/A3402012,3871,188