CYD Options History — September 2017

In September 2017, CYD traded between $18.36 and $22.25. ATM implied volatility averaged 37.8%, placing in the 31.3% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 1.3% (HV 20d: 36.5%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.88.

Notable Days

  • 2017-09-15: Highest Volume — 706 contracts
  • 2017-09-06: Largest IV spike — 57.1% change
  • 2017-09-06: Highest IV Rank — 68.3%
  • 2017-09-07: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.18$18.36$22.25$18.54$22.25
Max Pain$18.63$17.50$20.00$17.50$20.00
ATM IV37.8%30.5%58.5%32.9%34.0%
Expected Move10.6%8.7%11.8%9.4%9.8%
HV 20d36.5%16.9%95.6%95.5%23.0%
HV 60d61.8%61.3%62.4%62.4%61.8%
IV Rank31.3%17.4%68.3%20.1%25.0%
IV Percentile63.5%29.8%97.6%41.3%48.8%
Term Structure2.8%-2.6%10.1%10.1%2.5%
VWIV36.9%27.9%42.1%37.6%27.9%
Skew 25d5.3%-3.4%14.2%0.4%7.9%
Skew 10d9.5%-2.1%27.4%11.6%13.5%
Call IV 25d33.8%25.4%39.9%36.9%27.2%
Put IV 25d39.1%35.1%43.0%37.4%35.1%
Bid-Ask Spread %33.0217.6158.8553.2417.61
Gamma HHI0.360.320.420.330.34
Net GEX51.6K32.5K69.4K32.5K61.9K
Net DEX-1.8M-3.0M-914.5K-942.5K-3.0M
Net VEX-9.1K-10.3K-8.0K-8.5K-9.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.661.200.791.20
Total Volume598.3463706603463
Total OI2,934.42,7073,0442,8543,044

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$18.54$17.5032.9%9.4%95.5%20.1%37.6%0.4%10.1%32.5K-942.5K-8.5K0.7953.24N/AN/A3362672,163691
2017-09-05$18.67$17.5037.2%11.1%95.5%28.3%37.9%2.4%2.3%37.7K-1.0M-8.5K0.8026.72N/AN/A3362692,228696
2017-09-06$18.36$17.5058.5%11.2%95.5%68.3%38.9%1.6%0.6%35.1K-915.3K-8.4K0.8039.02N/AN/A3362692,228700
2017-09-07$18.47$17.5037.6%11.8%95.6%29.1%42.1%0.9%-2.6%34.9K-914.5K-8.0K0.8048.59N/AN/A3362692,228700
2017-09-08$18.67$17.5031.6%11.5%24.0%17.8%40.2%8.9%1.0%38.0K-1.0M-8.3K0.8633.13N/AN/A3142692,228700
2017-09-11$18.84$17.5039.5%11.1%22.6%32.5%40.8%6.6%0.1%41.3K-1.1M-8.1K0.7836.36N/AN/A3472692,234700
2017-09-12$19.02$17.5046.8%10.8%18.0%46.4%37.8%9.0%4.5%44.0K-1.2M-8.5K0.6636.95N/AN/A4052692,239700
2017-09-13$19.39$17.5037.1%10.6%16.9%28.1%37.0%2.1%0.6%56.2K-1.4M-8.5K0.8533.69N/AN/A3152692,299700
2017-09-14$19.82$17.5038.0%10.9%17.8%33.3%34.9%14.2%-0.5%69.4K-1.6M-8.8K0.8928.11N/AN/A3172832,310700
2017-09-15$20.73$17.5033.0%9.4%21.8%22.7%32.8%-3.4%5.8%53.2K-2.1M-8.9K0.6741.15N/AN/A4232832,315724
2017-09-18$21.05$17.5036.5%10.5%21.7%30.3%35.0%4.9%3.2%61.2K-2.3M-9.0K1.0458.85N/AN/A2812912,141566
2017-09-19$21.23$20.0036.9%10.6%21.6%30.9%35.0%7.9%6.4%56.3K-2.4M-9.5K0.9320.33N/AN/A3142912,169656
2017-09-20$20.90$20.0040.0%11.5%23.4%37.5%35.4%13.6%0.9%56.7K-2.4M-9.7K0.9042.83N/AN/A3342992,211656
2017-09-21$21.21$20.0036.6%10.5%23.0%30.4%36.1%3.0%5.5%57.1K-2.4M-10.1K0.8219.05N/AN/A3642992,233702
2017-09-22$21.35$20.0030.5%8.7%22.2%17.4%37.3%12.8%5.7%58.9K-2.5M-10.3K0.8133.46N/AN/A3672962,245702
2017-09-25$21.09$20.0040.0%11.5%23.1%37.6%38.2%1.8%3.0%58.9K-2.3M-10.1K1.0723.48N/AN/A2772962,248702
2017-09-26$21.06$20.0039.3%11.3%23.4%36.0%37.7%1.8%0.1%60.2K-2.3M-9.9K1.0730.55N/AN/A2772962,268702
2017-09-27$21.32$20.0035.6%10.2%23.1%28.3%37.8%3.7%2.9%60.2K-2.4M-9.8K1.0418.77N/AN/A2422522,268707
2017-09-28$21.56$20.0034.8%10.0%22.5%26.6%37.7%6.5%2.9%57.7K-2.6M-9.7K0.8618.57N/AN/A2942522,273712
2017-09-29$22.25$20.0034.0%9.8%23.0%25.0%27.9%7.9%2.5%61.9K-3.0M-9.7K1.2017.61N/AN/A2102532,332712