CYD Options History — November 2017

In November 2017, CYD traded between $22.03 and $26.18. ATM implied volatility averaged 36.3%, placing in the 29.7% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 8.6% (HV 20d: 27.7%). Max pain ranged from $17.50 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.60.

Notable Days

  • 2017-11-20: Highest Volume — 1,221 contracts
  • 2017-11-08: Largest IV drop — 17.4% change
  • 2017-11-07: Highest IV Rank — 50.3%
  • 2017-11-01: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.71$22.03$26.18$22.47$26.18
Max Pain$24.64$17.50$25.00$17.50$25.00
ATM IV36.3%30.4%46.1%41.2%30.4%
Expected Move10.1%8.7%11.8%11.8%8.7%
HV 20d27.7%21.0%32.2%31.7%25.7%
HV 60d29.7%24.9%59.8%59.8%27.1%
IV Rank29.7%17.2%50.3%40.1%17.2%
IV Percentile59.7%26.6%96.0%88.9%26.6%
Term Structure1.1%-4.0%8.0%-4.0%8.0%
VWIV33.7%30.0%39.5%39.5%30.6%
Skew 25d3.0%-3.9%8.1%0.1%1.3%
Skew 10d5.9%-15.5%15.2%0.1%5.7%
Call IV 25d33.4%24.9%44.0%44.0%35.2%
Put IV 25d36.4%27.8%44.2%44.2%36.5%
Bid-Ask Spread %37.2717.1781.5281.5224.60
Gamma HHI0.430.380.490.410.40
Net GEX90.7K63.1K138.9K77.9K138.9K
Net DEX-3.5M-5.0M-2.4M-2.9M-5.0M
Net VEX-14.9K-19.8K-12.5K-13.0K-19.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.600.095.064.940.27
Total Volume590.6673231,221416769
Total OI4,199.9053,2864,5554,0254,535

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$22.47$17.5041.2%11.8%31.7%40.1%39.5%0.1%-4.0%77.9K-2.9M-13.0K4.9481.52N/AN/A703463,0221,003
2017-11-02$22.50$25.0041.9%10.6%29.5%41.5%36.8%2.1%2.4%73.1K-2.9M-13.7K5.0665.10N/AN/A673393,0331,178
2017-11-03$22.35$25.0043.3%10.7%29.5%44.5%38.1%3.3%1.2%73.3K-2.8M-13.6K4.5756.35N/AN/A743383,0411,178
2017-11-06$22.45$25.0043.2%10.9%29.4%44.3%36.3%2.5%1.2%76.9K-2.9M-13.2K4.1631.66N/AN/A753123,0461,180
2017-11-07$22.49$25.0046.1%11.2%27.5%50.3%32.7%3.5%0.0%77.0K-3.0M-13.3K3.4228.49N/AN/A732503,0661,193
2017-11-08$22.17$25.0038.1%10.9%25.8%33.5%37.6%1.4%-0.4%65.3K-2.6M-13.5K2.0053.88N/AN/A1252503,0691,318
2017-11-09$22.04$25.0038.4%11.0%25.9%34.2%37.9%1.7%-1.2%63.1K-2.5M-13.1K2.1630.79N/AN/A1162503,0691,318
2017-11-10$22.03$25.0040.5%11.6%25.1%38.5%31.8%2.0%-3.1%63.7K-2.4M-13.1K0.8959.70N/AN/A2842533,0661,318
2017-11-13$22.21$25.0035.3%10.1%22.0%27.6%31.0%2.9%2.2%71.0K-2.7M-12.7K0.8745.61N/AN/A2842463,0761,352
2017-11-14$22.07$25.0034.2%9.8%21.0%25.2%30.9%3.0%2.4%73.7K-2.6M-12.5K1.2329.45N/AN/A1762163,0861,326
2017-11-15$23.25$25.0036.0%10.3%28.5%29.2%35.0%3.3%3.3%81.2K-3.6M-13.0K0.5831.68N/AN/A3712153,0901,326
2017-11-16$24.28$25.0030.9%8.9%32.2%18.3%30.0%3.4%4.2%112.8K-4.6M-13.4K0.6022.38N/AN/A4242553,1891,303
2017-11-17$24.19$25.0032.3%9.2%31.6%21.2%32.7%-3.9%3.6%80.1K-4.3M-14.0K1.0423.72N/AN/A2742853,1751,323
2017-11-20$24.59$25.0031.3%9.0%29.5%19.3%30.4%4.4%3.0%85.5K-3.1M-13.7K0.2149.42N/AN/A1,0062152,410876
2017-11-21$24.84$25.0032.3%9.2%29.1%21.2%32.2%6.9%0.0%98.6K-3.4M-14.7K0.2728.10N/AN/A4881302,577876
2017-11-22$24.96$25.0032.4%9.3%29.1%21.5%32.3%7.7%0.1%105.1K-3.6M-16.1K0.1326.86N/AN/A744962,768876
2017-11-24$25.32$25.0034.9%10.0%29.3%26.7%34.2%-0.8%-2.6%105.5K-4.0M-17.7K0.0919.53N/AN/A983902,943873
2017-11-27$25.50$25.0032.4%9.3%28.0%21.5%32.1%4.0%1.4%117.7K-4.4M-18.9K0.1435.85N/AN/A658923,287883
2017-11-28$26.05$25.0032.9%9.4%25.8%22.5%32.6%6.8%-0.7%125.9K-5.0M-19.6K0.2217.17N/AN/A6751493,510885
2017-11-29$26.02$25.0033.7%9.7%25.7%24.3%32.6%8.1%2.4%137.3K-4.7M-19.8K0.8520.82N/AN/A1841573,689866
2017-11-30$26.18$25.0030.4%8.7%25.7%17.2%30.6%1.3%8.0%138.9K-5.0M-19.5K0.2724.60N/AN/A6061633,659876