CYD Options History — December 2017

In December 2017, CYD traded between $23.58 and $26.21. ATM implied volatility averaged 34.9%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 2.0% (HV 20d: 33.0%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.78.

Notable Days

  • 2017-12-01: Highest Volume — 779 contracts
  • 2017-12-11: Largest IV spike — 15.2% change
  • 2017-12-14: Highest IV Rank — 43.2%
  • 2017-12-14: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.98$23.58$26.21$25.53$24.00
Max Pain$24.13$22.50$25.00$22.50$25.00
ATM IV34.9%32.2%39.7%35.8%33.4%
Expected Move9.9%9.4%10.9%10.3%9.6%
HV 20d33.0%28.2%36.3%28.2%35.9%
HV 60d29.9%27.8%31.8%27.8%31.8%
IV Rank31.2%21.1%43.2%28.7%30.9%
IV Percentile52.8%36.9%81.3%57.9%40.5%
Term Structure2.2%-0.1%4.1%-0.1%4.1%
VWIV34.2%29.7%37.1%36.7%34.2%
Skew 25d5.1%-0.4%11.5%11.5%3.5%
Skew 10d7.2%-7.2%20.5%20.5%0.3%
Call IV 25d31.0%25.3%36.0%28.6%32.2%
Put IV 25d36.1%32.9%40.1%40.1%35.8%
Bid-Ask Spread %29.6516.8042.7530.0616.80
Gamma HHI0.390.360.440.390.40
Net GEX116.6K91.8K141.1K128.8K96.3K
Net DEX-3.4M-4.7M-2.2M-4.2M-2.7M
Net VEX-15.2K-17.9K-14.0K-17.9K-14.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.211.790.210.71
Total Volume321.85193779779292
Total OI4,301.74,1254,4224,3384,415

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$25.53$22.5035.8%10.3%28.2%28.7%36.7%11.5%-0.1%128.8K-4.2M-17.9K0.2130.06N/AN/A6461333,480858
2017-12-04$26.19$22.5032.2%10.2%28.6%21.1%37.1%2.3%2.2%139.3K-4.7M-17.2K0.7142.73N/AN/A1741233,467858
2017-12-05$26.21$22.5033.1%10.8%28.6%22.9%35.9%3.3%0.4%137.2K-4.7M-17.0K0.6732.11N/AN/A1791203,457876
2017-12-06$25.24$22.5034.6%10.0%32.9%26.3%35.2%0.6%2.1%131.4K-3.7M-16.2K0.8827.37N/AN/A1291143,433876
2017-12-07$25.27$22.5039.0%10.1%32.0%35.5%35.4%2.4%1.2%128.2K-3.7M-16.2K0.8338.49N/AN/A1291073,408889
2017-12-08$25.19$22.5034.5%9.9%31.9%25.9%35.0%1.6%2.1%135.6K-3.7M-15.9K0.7742.15N/AN/A1331033,408892
2017-12-11$25.23$22.5039.7%9.9%31.9%36.9%35.5%1.6%2.1%141.1K-3.7M-15.6K0.7022.95N/AN/A1501053,408893
2017-12-12$24.80$25.0037.7%9.6%33.0%32.6%35.2%-0.4%3.7%136.3K-3.3M-15.0K0.8722.07N/AN/A1211053,390898
2017-12-13$24.67$25.0035.5%10.2%32.9%28.1%36.1%7.6%2.4%136.5K-3.1M-15.1K0.9339.44N/AN/A1131053,393898
2017-12-14$23.58$25.0037.9%10.9%32.8%43.2%35.2%5.5%0.4%91.8K-2.2M-14.0K0.9127.56N/AN/A101923,392898
2017-12-15$24.79$25.0034.0%9.8%34.0%32.7%29.7%9.3%2.3%100.8K-3.0M-14.4K0.7130.67N/AN/A130923,385908
2017-12-18$24.76$25.0033.5%9.6%34.0%31.1%30.4%8.7%3.0%103.2K-3.1M-14.0K0.7132.38N/AN/A119843,235890
2017-12-19$24.55$25.0034.3%9.8%33.7%33.3%31.7%5.0%2.6%91.8K-2.9M-14.7K1.4342.75N/AN/A951363,250955
2017-12-20$24.82$25.0033.2%9.5%33.7%30.5%32.8%8.8%2.9%98.5K-3.1M-14.4K1.4320.12N/AN/A951363,253967
2017-12-21$24.93$25.0035.2%10.1%33.7%35.8%32.3%7.7%1.6%101.5K-3.2M-14.4K1.7921.44N/AN/A761363,253967
2017-12-22$25.63$25.0032.7%9.4%34.8%29.0%31.3%8.5%3.2%113.3K-3.7M-14.4K0.2642.61N/AN/A5231363,254967
2017-12-26$24.88$25.0035.2%10.1%36.3%35.9%34.9%6.6%1.0%109.3K-3.5M-15.1K0.4221.17N/AN/A3251363,447972
2017-12-27$24.86$25.0033.4%9.6%35.3%31.0%33.4%6.7%3.8%108.2K-3.4M-15.0K0.4120.70N/AN/A3101283,450972
2017-12-28$24.48$25.0033.9%9.7%35.6%32.2%35.1%1.7%3.2%103.8K-3.1M-14.5K0.3219.48N/AN/A3821243,460962
2017-12-29$24.00$25.0033.4%9.6%35.9%30.9%34.2%3.5%4.1%96.3K-2.7M-14.0K0.7116.80N/AN/A1711213,444971