CYD Options History — February 2018

In February 2018, CYD traded between $22.40 and $26.38. ATM implied volatility averaged 45.3%, placing in the 62.4% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 12.4% (HV 20d: 32.9%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 2.35.

Notable Days

  • 2018-02-08: Highest Volume — 882 contracts
  • 2018-02-05: Largest IV spike — 21.4% change
  • 2018-02-05: Highest IV Rank — 82.4%
  • 2018-02-26: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.08$22.40$26.38$26.38$22.40
Max Pain$24.34$22.50$25.00$22.50$25.00
ATM IV45.3%41.5%52.3%41.8%41.9%
Expected Move12.8%11.6%14.7%11.6%12.0%
HV 20d32.9%21.4%42.7%21.4%42.7%
HV 60d31.8%29.1%35.0%29.1%35.0%
IV Rank62.4%51.5%82.4%52.5%52.6%
IV Percentile94.6%84.9%99.6%92.1%86.1%
Term Structure-1.5%-7.4%2.2%-0.3%-2.4%
VWIV44.8%35.8%51.6%43.6%38.0%
Skew 25d0.5%-23.8%11.3%0.4%-5.9%
Skew 10d2.5%-34.9%19.5%6.8%-9.4%
Call IV 25d45.4%37.6%72.1%41.4%44.8%
Put IV 25d45.9%38.8%52.6%41.8%38.8%
Bid-Ask Spread %50.5320.9778.5120.9749.14
Gamma HHI0.550.460.660.460.66
Net GEX82.0K51.1K114.5K114.5K51.1K
Net DEX-2.5M-4.7M-972.5K-4.7M-972.5K
Net VEX-12.6K-14.8K-10.2K-14.8K-10.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.350.466.211.021.02
Total Volume568.053199882449321
Total OI3,759.3162,5014,6804,6802,799

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-02-01$26.38$22.5041.8%11.6%21.4%52.5%43.6%0.4%-0.3%114.5K-4.7M-14.8K1.0220.97N/AN/A2222273,4951,185
2018-02-02$25.26$22.5043.1%12.1%27.0%56.1%45.1%1.8%-2.0%101.4K-3.8M-14.4K1.6440.09N/AN/A1382273,4641,185
2018-02-05$24.56$22.5052.3%12.3%28.8%82.4%45.5%-0.2%2.2%91.1K-3.2M-13.9K1.1568.03N/AN/A1842113,4441,185
2018-02-06$24.60$22.5050.6%13.3%28.1%77.5%48.7%-23.8%-2.6%96.1K-3.1M-13.6K6.2178.51N/AN/A1106833,4311,163
2018-02-07$24.37$22.5042.8%12.3%27.8%55.3%45.4%-5.2%0.1%98.4K-2.9M-13.2K3.6666.69N/AN/A1876853,431736
2018-02-08$23.39$25.0047.8%13.7%31.2%69.6%50.2%11.3%-1.3%91.1K-2.4M-13.0K3.7250.33N/AN/A1876953,507738
2018-02-09$23.58$25.0047.7%13.7%30.8%69.4%47.3%0.1%-0.9%92.1K-2.4M-13.1K3.4678.18N/AN/A1886503,508748
2018-02-12$23.96$25.0045.8%13.1%31.5%63.7%44.1%9.8%-0.4%100.4K-2.9M-12.7K3.7358.82N/AN/A1756523,508753
2018-02-13$23.86$25.0044.0%12.6%31.4%58.8%43.8%8.8%0.5%99.3K-2.7M-12.4K3.7342.47N/AN/A1756523,512755
2018-02-14$23.59$25.0042.4%12.2%30.3%54.2%44.7%-2.8%2.0%87.3K-2.3M-11.8K3.3146.83N/AN/A1996583,512755
2018-02-15$23.90$25.0043.3%12.4%30.7%56.7%43.0%6.7%-0.7%91.5K-2.5M-12.0K2.9075.33N/AN/A2216403,507763
2018-02-16$23.10$25.0045.6%13.1%29.0%63.1%44.6%5.4%-1.2%51.2K-1.9M-11.4K2.7731.07N/AN/A2216123,463793
2018-02-20$24.58$25.0045.0%12.9%38.1%61.4%44.9%-3.4%-2.1%60.1K-2.1M-12.2K0.4650.19N/AN/A2461142,102399
2018-02-21$24.49$25.0045.2%13.0%37.7%62.1%45.6%-1.9%-3.6%67.3K-2.1M-12.6K0.7541.11N/AN/A1531142,201454
2018-02-22$23.66$25.0044.2%12.7%38.7%59.3%42.9%1.0%-2.9%65.6K-1.8M-11.8K1.4328.55N/AN/A821172,234454
2018-02-23$24.19$25.0044.6%12.8%39.9%60.5%45.6%7.0%-3.5%68.1K-2.0M-12.4K1.4130.77N/AN/A831172,236481
2018-02-26$24.06$25.0051.1%14.7%39.7%79.0%51.6%-4.2%-7.4%68.8K-1.9M-12.0K0.8753.66N/AN/A2021752,238481
2018-02-27$23.58$25.0041.5%11.9%39.9%51.5%35.8%4.9%-2.0%62.5K-1.5M-11.6K1.3549.25N/AN/A1151552,272535
2018-02-28$22.40$25.0041.9%12.0%42.7%52.6%38.0%-5.9%-2.4%51.1K-972.5K-10.2K1.0249.14N/AN/A1591622,267532