CYD Options History — August 2017

In August 2017, CYD traded between $16.78 and $22.24. ATM implied volatility averaged 39.4%, placing in the 32.3% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 38.2% (HV 20d: 77.5%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 0.71.

Notable Days

  • 2017-08-10: Highest Volume — 1,212 contracts
  • 2017-08-31: Largest IV drop — 18.3% change
  • 2017-08-08: Highest IV Rank — 39.6%
  • 2017-08-11: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.89$16.78$22.24$22.24$18.33
Max Pain$19.35$17.50$22.50$17.50$17.50
ATM IV39.4%32.5%43.2%40.5%32.5%
Expected Move11.0%9.3%12.2%11.6%9.3%
HV 20d77.5%28.2%98.3%39.5%95.7%
HV 60d55.2%35.3%64.4%36.7%62.5%
IV Rank32.3%19.5%39.6%34.4%19.5%
IV Percentile75.7%39.7%87.7%80.2%39.7%
Term Structure0.0%-3.1%9.4%-3.1%9.4%
VWIV38.6%35.9%44.7%39.9%35.9%
Skew 25d4.0%-5.7%16.1%-5.7%13.1%
Skew 10d5.9%-11.3%22.4%-10.9%9.6%
Call IV 25d36.4%23.4%48.6%48.6%23.4%
Put IV 25d40.4%31.2%46.2%43.0%36.6%
Bid-Ask Spread %33.8820.4147.9334.6729.95
Gamma HHI0.350.280.440.410.32
Net GEX41.9K21.6K81.4K74.2K29.7K
Net DEX-1.5M-4.3M571.4K-4.2M-882.4K
Net VEX-8.5K-9.6K-7.7K-9.6K-8.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.341.200.470.98
Total Volume708.5225001,212609539
Total OI3,766.2612,5934,8873,9782,839

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-08-01$22.24$17.5040.5%11.6%39.5%34.4%39.9%-5.7%-3.1%74.2K-4.2M-9.6K0.4734.67N/AN/A4141952,8331,145
2017-08-02$21.97$17.5039.8%11.4%40.1%33.1%40.6%-3.0%-2.9%79.4K-4.0M-9.4K0.5332.54N/AN/A3651932,8331,151
2017-08-03$21.65$22.5040.7%10.2%40.6%34.8%38.4%-0.8%0.6%77.5K-3.8M-9.5K0.4930.91N/AN/A3931932,8291,171
2017-08-04$22.03$22.5038.8%10.1%31.7%31.3%37.6%0.4%-0.3%81.4K-4.1M-9.5K0.3933.96N/AN/A4931932,8801,171
2017-08-07$22.23$22.5041.4%10.2%31.3%36.2%36.9%1.0%1.0%74.5K-4.3M-9.1K0.5130.66N/AN/A4932532,8851,171
2017-08-08$22.15$22.5043.2%10.1%31.0%39.6%36.9%1.0%-0.4%76.5K-4.2M-9.3K0.5530.17N/AN/A4452432,8851,200
2017-08-09$22.08$22.5036.7%10.5%28.2%27.3%38.0%1.2%-0.9%75.1K-4.1M-9.5K0.5334.52N/AN/A4592432,8891,210
2017-08-10$17.08$22.5041.9%12.0%96.9%37.2%44.7%2.9%-1.6%29.2K-318.8K-7.9K0.3434.27N/AN/A9073052,9651,210
2017-08-11$16.78$17.5042.5%12.2%96.6%38.2%42.1%3.6%0.6%22.5K58.1K-8.5K0.4030.90N/AN/A8083223,4471,325
2017-08-14$17.51$17.5039.2%11.2%98.3%32.1%36.4%1.6%0.6%27.5K-561.5K-8.4K0.4647.93N/AN/A7343343,5041,349
2017-08-15$17.21$17.5040.5%11.6%98.3%34.4%37.7%-0.7%-1.0%27.1K-179.0K-8.4K0.5340.41N/AN/A6443403,5011,349
2017-08-16$17.35$17.5037.5%10.7%97.9%28.8%36.1%2.8%1.8%25.2K-408.6K-8.3K0.3941.74N/AN/A6172393,4971,359
2017-08-17$17.26$17.5038.7%11.1%97.6%31.1%38.6%0.7%0.8%23.9K-114.2K-8.0K0.4138.61N/AN/A6132493,5071,359
2017-08-18$17.27$17.5039.4%11.3%97.6%32.4%37.3%2.6%0.3%31.5K571.4K-7.7K0.3937.52N/AN/A6142423,5081,379
2017-08-21$17.34$17.5039.7%11.4%97.8%33.0%39.8%3.1%-1.1%32.4K-592.7K-7.7K1.2036.33N/AN/A2903472,116477
2017-08-22$17.43$20.0038.4%11.0%94.6%30.5%38.5%14.1%0.1%23.3K-457.6K-8.0K1.0223.54N/AN/A2622672,121676
2017-08-23$17.38$20.0039.3%11.3%94.7%32.1%39.4%12.9%-1.6%22.3K-417.8K-7.9K1.1524.72N/AN/A2332672,120696
2017-08-24$17.26$20.0037.8%10.8%94.5%29.4%37.3%-3.9%0.7%21.6K-416.1K-7.9K1.1537.88N/AN/A2332672,118696
2017-08-25$17.66$20.0038.5%11.0%95.0%30.6%37.8%3.9%-0.8%25.2K-532.5K-8.1K1.0420.41N/AN/A2562672,118691
2017-08-28$17.76$20.0037.1%10.6%94.4%28.1%37.1%12.5%1.1%24.8K-541.5K-8.0K1.1225.14N/AN/A2382672,121691
2017-08-29$18.09$17.5041.5%11.9%95.0%36.4%41.0%12.4%-3.1%28.6K-748.4K-8.3K1.1240.39N/AN/A2382672,125691
2017-08-30$18.51$17.5039.8%11.4%95.7%33.2%39.6%16.1%-0.3%31.3K-938.7K-8.6K1.0842.18N/AN/A2482672,125691
2017-08-31$18.33$17.5032.5%9.3%95.7%19.5%35.9%13.1%9.4%29.7K-882.4K-8.6K0.9829.95N/AN/A2722672,148691