CYD Options History — July 2017

In July 2017, CYD traded between $18.41 and $22.59. ATM implied volatility averaged 36.7%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded below realized volatility by 0.5% (HV 20d: 37.2%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.32.

Notable Days

  • 2017-07-12: Highest Volume — 2,263 contracts
  • 2017-07-10: Largest IV spike — 23.4% change
  • 2017-07-31: Highest IV Rank — 34.7%
  • 2017-07-31: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.59$18.41$22.59$18.54$22.59
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV36.7%30.4%41.9%33.4%40.6%
Expected Move10.6%9.3%11.6%9.6%11.6%
HV 20d37.2%30.5%42.0%30.9%38.5%
HV 60d39.7%36.5%41.3%38.0%36.5%
IV Rank25.6%12.3%34.7%16.8%34.7%
IV Percentile64.8%31.3%81.3%47.2%81.0%
Term Structure-0.9%-5.5%10.4%7.6%-5.5%
VWIV37.3%32.4%42.3%32.7%40.6%
Skew 25d0.0%-7.4%7.1%0.3%1.1%
Skew 10d2.3%-14.9%50.2%-1.3%2.0%
Call IV 25d38.2%30.0%46.4%39.3%41.6%
Put IV 25d38.3%34.0%42.6%39.6%42.6%
Bid-Ask Spread %40.9026.1698.9298.9231.59
Gamma HHI0.670.400.910.860.40
Net GEX74.9K54.8K103.9K56.2K76.1K
Net DEX-3.1M-4.5M-1.3M-1.3M-4.5M
Net VEX-9.3K-10.3K-8.5K-9.0K-9.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.090.620.620.43
Total Volume975.34952,263526773
Total OI3,712.453,5434,0313,5754,031

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$18.54$17.5033.4%9.6%30.9%16.8%32.7%0.3%7.6%56.2K-1.3M-9.0K0.6298.92N/AN/A3252012,3871,188
2017-07-05$18.52$17.5032.3%9.3%30.5%15.1%32.7%-7.4%10.4%55.3K-1.3M-8.9K0.6265.23N/AN/A3252012,3871,188
2017-07-06$18.41$17.5030.4%10.5%30.6%12.3%36.6%2.9%-1.0%54.8K-1.3M-9.0K0.5236.01N/AN/A3251702,3871,188
2017-07-07$19.89$17.5033.9%10.9%40.4%17.6%37.4%-1.5%-1.1%81.4K-2.5M-8.7K0.2158.95N/AN/A1,0062102,3871,188
2017-07-10$19.73$17.5041.9%10.2%40.4%29.4%36.4%-0.2%0.6%73.6K-2.4M-9.1K0.3229.96N/AN/A6442062,3571,188
2017-07-11$19.55$17.5038.0%11.1%40.1%23.7%37.4%0.2%-2.2%70.8K-2.3M-9.2K0.3435.43N/AN/A6442212,3541,189
2017-07-12$20.38$17.5038.2%10.9%42.0%23.9%38.4%1.6%-4.2%83.7K-2.9M-8.5K0.0940.62N/AN/A2,0701932,3541,200
2017-07-13$20.30$17.5035.1%10.1%41.1%24.3%36.9%2.9%-0.6%103.9K-3.0M-9.8K0.1956.43N/AN/A9921932,5321,200
2017-07-14$20.54$17.5036.3%10.4%41.0%26.6%37.8%2.5%-0.4%96.0K-3.1M-9.4K0.3359.23N/AN/A5991972,4571,200
2017-07-17$20.60$17.5036.8%10.6%36.9%27.6%37.3%2.6%-1.1%90.1K-3.2M-9.2K0.3227.70N/AN/A6231972,4581,215
2017-07-18$20.68$17.5036.9%10.6%36.8%27.6%38.9%3.9%-1.1%87.3K-3.3M-9.6K0.3231.09N/AN/A6231972,5371,215
2017-07-19$21.07$17.5036.7%10.5%37.0%27.4%37.3%-2.8%-1.6%65.2K-3.6M-9.2K0.2939.42N/AN/A6761972,5371,215
2017-07-20$21.36$17.5038.3%11.0%33.2%30.3%37.8%-2.3%-1.9%65.0K-4.0M-9.4K0.2638.42N/AN/A7752052,6471,215
2017-07-21$21.03$17.5037.6%10.8%33.8%29.0%36.9%-1.2%-2.6%67.6K-3.9M-9.6K0.1927.46N/AN/A1,0692052,7531,223
2017-07-24$20.79$17.5036.3%10.4%34.4%26.7%36.3%-3.1%-0.4%72.5K-3.1M-9.6K0.1927.60N/AN/A9931902,4931,107
2017-07-25$22.05$17.5037.5%10.7%39.0%28.7%32.4%7.1%-2.4%69.4K-3.9M-8.7K0.2126.16N/AN/A8871902,4941,107
2017-07-26$21.79$17.5038.0%10.9%39.4%29.8%41.1%-0.9%-4.1%76.5K-3.8M-9.3K0.3232.34N/AN/A6662102,6911,107
2017-07-27$21.92$17.5039.0%11.2%39.3%31.6%39.6%-1.6%-2.2%75.9K-3.9M-9.9K0.3626.66N/AN/A6452322,7571,127
2017-07-28$22.08$17.5037.3%10.7%38.8%28.5%42.3%-3.6%-3.3%77.3K-4.1M-10.3K0.2328.84N/AN/A9992322,8401,149
2017-07-31$22.59$17.5040.6%11.6%38.5%34.7%40.6%1.1%-5.5%76.1K-4.5M-9.6K0.4331.59N/AN/A5412322,8821,149