CYD Options History — October 2017

In October 2017, CYD traded between $22.09 and $23.86. ATM implied volatility averaged 37.8%, placing in the 33.0% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 10.3% (HV 20d: 27.5%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.04.

Notable Days

  • 2017-10-10: Highest Volume — 1,359 contracts
  • 2017-10-11: Largest IV spike — 21.1% change
  • 2017-10-31: Highest IV Rank — 45.7%
  • 2017-10-31: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.98$22.09$23.86$22.09$22.29
Max Pain$17.84$17.50$20.00$20.00$17.50
ATM IV37.8%31.7%43.9%35.0%43.9%
Expected Move11.1%9.8%12.6%10.0%12.6%
HV 20d27.5%22.5%31.6%23.8%31.6%
HV 60d59.8%59.3%60.5%59.9%59.7%
IV Rank33.0%20.1%45.7%27.0%45.7%
IV Percentile70.5%37.3%93.3%55.6%93.3%
Term Structure-1.9%-6.8%3.6%2.7%-6.8%
VWIV38.3%30.2%41.8%35.6%41.2%
Skew 25d4.1%-1.3%11.3%9.0%-1.3%
Skew 10d7.6%-1.6%18.6%15.8%-1.6%
Call IV 25d37.0%27.9%44.9%28.7%44.9%
Put IV 25d41.1%37.5%44.1%37.8%43.6%
Bid-Ask Spread %61.2915.2790.4820.3888.62
Gamma HHI0.380.340.440.350.41
Net GEX77.3K61.5K91.5K63.2K81.3K
Net DEX-3.6M-4.3M-2.9M-3.0M-2.9M
Net VEX-11.2K-13.2K-9.2K-9.8K-12.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.243.401.181.26
Total Volume637.7273251,359478396
Total OI3,499.5453,0713,9993,0713,995

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$22.09$20.0035.0%10.0%23.8%27.0%35.6%9.0%2.7%63.2K-3.0M-9.8K1.1820.38N/AN/A2192592,359712
2017-10-03$22.20$20.0034.5%9.9%23.8%25.9%30.4%11.3%3.6%63.1K-3.0M-9.7K1.2421.59N/AN/A2142652,362719
2017-10-04$22.10$20.0034.3%9.8%22.5%25.6%30.2%8.2%3.2%65.2K-3.0M-9.7K1.1819.17N/AN/A2242652,367731
2017-10-05$22.81$17.5032.2%10.9%23.8%21.0%39.4%3.5%-1.5%61.5K-3.5M-9.4K0.9620.49N/AN/A2772652,370731
2017-10-06$22.68$17.5033.7%10.6%24.5%24.2%38.2%1.2%0.1%68.1K-3.4M-9.4K0.9715.27N/AN/A2722652,441731
2017-10-09$22.89$17.5034.7%11.3%24.5%26.3%40.0%3.5%-2.3%67.1K-3.6M-9.2K0.4216.72N/AN/A6292652,441731
2017-10-10$23.52$17.5031.7%10.9%25.2%20.1%36.5%6.3%-0.8%66.4K-4.0M-9.9K0.2418.52N/AN/A1,0922672,523731
2017-10-11$22.82$17.5038.4%11.0%28.8%34.2%38.2%2.1%-1.7%80.5K-3.6M-11.3K0.3818.20N/AN/A7082722,700741
2017-10-12$22.75$17.5038.2%10.9%28.6%33.7%38.8%2.0%-1.9%83.3K-3.6M-11.3K0.5884.26N/AN/A4692722,745742
2017-10-13$23.11$17.5037.3%10.7%25.1%31.7%38.4%2.3%-1.8%83.6K-3.8M-11.3K0.6185.55N/AN/A4482722,750742
2017-10-16$23.86$17.5040.4%11.6%26.6%38.3%40.8%1.3%-6.2%79.3K-4.3M-11.2K0.5782.01N/AN/A4732692,765742
2017-10-17$23.35$17.5040.3%11.6%28.4%38.2%39.2%3.4%-5.0%85.9K-4.1M-11.4K0.5185.07N/AN/A4812472,836760
2017-10-18$23.52$17.5040.1%11.5%27.4%37.8%39.8%3.2%-3.3%88.9K-4.1M-11.6K0.7084.19N/AN/A3492452,855783
2017-10-19$23.27$17.5039.6%11.4%27.8%36.7%41.8%3.5%-1.8%86.2K-4.0M-11.7K1.9084.52N/AN/A1292452,887780
2017-10-20$23.71$17.5039.1%11.2%28.2%35.6%39.1%2.4%-2.3%78.0K-4.3M-11.6K1.8084.34N/AN/A1162092,889780
2017-10-23$22.96$17.5039.7%11.4%30.6%36.9%39.5%5.1%-1.6%74.6K-3.2M-11.5K3.4086.55N/AN/A993372,593749
2017-10-24$23.37$17.5040.4%11.6%30.9%38.3%38.6%6.7%-2.3%71.1K-3.3M-12.1K0.8585.88N/AN/A3983392,596939
2017-10-25$23.46$17.5040.1%11.5%30.8%37.8%39.3%5.2%-3.5%90.0K-3.6M-12.8K0.8486.71N/AN/A4193512,897951
2017-10-26$23.41$17.5038.9%11.1%30.8%35.2%37.8%5.9%-1.3%88.6K-3.5M-12.7K1.2085.85N/AN/A2923512,877963
2017-10-27$22.96$17.5038.8%11.1%30.1%35.0%39.4%4.1%-3.0%91.5K-3.4M-13.2K1.2184.09N/AN/A2913513,022963
2017-10-30$22.35$17.5041.4%11.9%31.6%40.5%40.2%1.5%-3.9%83.5K-2.9M-12.8K0.9090.48N/AN/A2232013,036963
2017-10-31$22.29$17.5043.9%12.6%31.6%45.7%41.2%-1.3%-6.8%81.3K-2.9M-12.8K1.2688.62N/AN/A1752213,012983