CYD Options History — January 2018

In January 2018, CYD traded between $24.39 and $27.68. ATM implied volatility averaged 36.9%, placing in the 40.0% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 9.3% (HV 20d: 27.5%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.18.

Notable Days

  • 2018-01-22: Highest Volume — 933 contracts
  • 2018-01-24: Largest IV spike — 41.2% change
  • 2018-01-30: Highest IV Rank — 55.7%
  • 2018-01-30: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.02$24.39$27.68$24.39$26.61
Max Pain$22.74$22.50$25.00$25.00$22.50
ATM IV36.9%27.8%43.0%35.3%36.8%
Expected Move10.7%8.0%12.3%10.1%10.6%
HV 20d27.5%17.6%35.7%35.7%21.3%
HV 60d29.8%28.2%31.4%31.3%29.1%
IV Rank40.0%15.5%55.7%36.2%38.1%
IV Percentile63.4%9.5%94.8%56.7%59.5%
Term Structure-0.1%-35.2%21.2%2.0%-35.2%
VWIV37.9%30.8%43.1%36.0%34.7%
Skew 25d4.4%-21.1%12.8%2.8%-21.1%
Skew 10d8.0%-15.6%21.5%2.9%-15.6%
Call IV 25d34.5%28.3%46.0%33.8%46.0%
Put IV 25d38.9%24.9%42.7%36.6%24.9%
Bid-Ask Spread %41.4220.7461.6620.7451.23
Gamma HHI0.440.410.480.410.44
Net GEX121.0K101.2K142.1K101.2K121.7K
Net DEX-4.3M-5.8M-3.0M-3.0M-4.9M
Net VEX-13.1K-15.3K-11.7K-13.6K-15.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.242.121.311.18
Total Volume485.619256933256417
Total OI4,470.0484,3014,6894,4024,689

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$24.39$25.0035.3%10.1%35.7%36.2%36.0%2.8%2.0%101.2K-3.0M-13.6K1.3120.74N/AN/A1111453,429973
2018-01-03$24.74$25.0034.0%9.7%34.7%32.4%38.3%7.1%3.0%105.4K-3.2M-13.7K1.6325.78N/AN/A1011653,427998
2018-01-04$24.90$22.5033.4%10.7%34.9%30.8%39.3%2.4%1.6%106.6K-3.3M-13.6K1.6255.53N/AN/A1021653,4281,018
2018-01-05$24.74$22.5033.6%10.9%32.4%31.5%38.8%9.6%1.6%104.2K-3.2M-13.6K1.7039.41N/AN/A1021733,4291,018
2018-01-08$25.16$22.5035.8%11.1%33.0%37.5%39.9%12.8%0.5%110.3K-3.5M-13.5K1.6561.59N/AN/A1081783,4291,028
2018-01-09$24.79$22.5036.0%10.8%33.4%38.0%39.6%10.0%1.6%104.2K-3.2M-13.2K1.8146.32N/AN/A981773,4291,034
2018-01-10$24.87$22.5038.3%11.0%33.4%44.3%39.9%10.0%1.3%105.4K-3.2M-13.0K2.1245.22N/AN/A931973,4241,035
2018-01-11$25.24$22.5038.1%10.9%33.2%43.8%38.9%10.5%1.4%112.0K-3.6M-13.0K2.0361.66N/AN/A971973,4291,055
2018-01-12$25.18$22.5038.2%10.9%33.2%44.1%39.1%10.6%0.8%113.7K-3.5M-13.0K1.5452.52N/AN/A1231903,4391,055
2018-01-16$25.32$22.5039.4%11.3%28.3%47.5%40.1%10.6%-0.3%117.5K-3.7M-12.5K1.6840.69N/AN/A1232073,4531,058
2018-01-17$25.82$22.5038.1%10.9%23.3%43.9%37.4%11.6%0.1%124.5K-4.1M-12.1K1.7953.96N/AN/A1402503,4531,053
2018-01-18$25.99$22.5039.1%11.2%23.4%46.6%36.5%11.7%0.7%121.6K-4.2M-12.4K1.6330.85N/AN/A1171913,4251,080
2018-01-19$26.89$22.5040.1%11.5%25.5%49.4%41.3%1.2%0.3%134.2K-4.9M-11.7K0.8525.57N/AN/A2612213,4221,081
2018-01-22$26.93$22.5039.5%11.3%25.4%47.7%40.6%-2.2%0.4%134.1K-5.0M-12.0K0.2525.13N/AN/A7441893,2141,087
2018-01-23$27.20$22.5027.8%8.0%25.5%15.5%34.2%1.9%21.2%138.0K-5.3M-13.2K0.2431.61N/AN/A7441803,3421,087
2018-01-24$27.40$22.5039.2%11.2%24.0%47.0%38.8%-1.4%1.2%138.2K-5.5M-13.1K0.3330.48N/AN/A5721893,3421,088
2018-01-25$27.56$22.5032.1%9.2%20.6%24.7%35.8%-0.4%1.6%142.1K-5.8M-12.4K0.3139.32N/AN/A5901833,2971,098
2018-01-26$27.63$22.5036.6%10.5%20.5%37.6%33.4%2.2%-1.3%135.0K-5.7M-13.0K0.3144.11N/AN/A5941833,3411,133
2018-01-29$27.68$22.5039.8%11.4%19.0%46.8%30.8%3.3%0.2%138.5K-5.7M-13.1K0.2945.68N/AN/A6291833,3541,133
2018-01-30$27.40$22.5043.0%12.3%17.6%55.7%43.1%-0.3%-4.5%133.1K-5.6M-14.4K0.4342.35N/AN/A5362333,4311,133
2018-01-31$26.61$22.5036.8%10.6%21.3%38.1%34.7%-21.1%-35.2%121.7K-4.9M-15.3K1.1851.23N/AN/A1912263,5061,183