CYD Options History — March 2018

In March 2018, CYD traded between $20.45 and $23.68. ATM implied volatility averaged 39.5%, placing in the 45.7% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 0.3% (HV 20d: 39.2%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.43.

Notable Days

  • 2018-03-12: Highest Volume — 546 contracts
  • 2018-03-13: Largest IV spike — 12.4% change
  • 2018-03-01: Highest IV Rank — 58.5%
  • 2018-03-01: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.34$20.45$23.68$22.31$21.14
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV39.5%33.6%44.0%44.0%41.9%
Expected Move11.4%10.4%12.6%12.6%12.0%
HV 20d39.2%31.2%42.7%42.2%38.5%
HV 60d34.0%32.1%35.7%34.7%35.6%
IV Rank45.7%28.9%58.5%58.5%52.8%
IV Percentile69.3%27.0%92.1%92.1%86.1%
Term Structure2.7%-4.4%7.4%-4.4%7.1%
VWIV39.4%32.3%43.6%34.9%42.0%
Skew 25d1.3%-15.0%9.3%-15.0%3.6%
Skew 10d1.6%-21.7%14.7%-21.7%4.6%
Call IV 25d38.4%32.9%46.7%46.7%37.9%
Put IV 25d39.7%31.7%44.5%31.7%41.5%
Bid-Ask Spread %35.5719.7458.7228.9027.61
Gamma HHI0.600.510.670.660.55
Net GEX50.6K32.6K69.3K51.0K40.3K
Net DEX-905.9K-1.6M-136.9K-965.1K-387.6K
Net VEX-9.5K-11.4K-6.9K-10.4K-7.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.430.423.941.001.47
Total Volume374.238215546324319
Total OI2,848.7622,6942,9532,8242,891

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$22.31$25.0044.0%12.6%42.2%58.5%34.9%-15.0%-4.4%51.0K-965.1K-10.4K1.0028.90N/AN/A1621622,277547
2018-03-02$22.54$25.0039.7%11.4%42.7%46.5%36.2%-11.6%0.7%51.4K-1.0M-10.5K1.0031.13N/AN/A1621622,272547
2018-03-05$23.02$25.0041.5%11.3%41.7%51.6%40.6%6.2%2.6%58.1K-1.3M-10.6K1.1819.74N/AN/A1511782,272547
2018-03-06$23.19$25.0040.5%11.7%41.0%48.6%43.6%9.0%0.4%60.2K-1.3M-10.8K0.6727.87N/AN/A2551712,272547
2018-03-07$22.85$25.0041.1%11.8%41.1%50.5%41.5%1.5%1.9%50.6K-1.0M-9.7K0.6732.96N/AN/A2551712,147560
2018-03-08$23.39$25.0038.5%11.7%42.2%43.0%40.9%8.3%3.9%58.3K-1.3M-10.1K0.5053.16N/AN/A3441712,147560
2018-03-09$23.68$25.0035.3%11.2%39.8%33.7%38.7%6.6%2.1%69.3K-1.6M-11.4K0.4824.24N/AN/A3541712,369560
2018-03-12$22.92$25.0033.6%11.1%41.4%28.9%39.1%2.5%2.7%52.3K-1.1M-10.1K0.5621.74N/AN/A3501962,332560
2018-03-13$22.54$25.0037.7%10.7%41.2%40.7%40.8%2.6%4.3%46.1K-924.8K-10.0K0.4823.44N/AN/A3501692,351590
2018-03-14$22.56$25.0038.6%11.1%41.2%43.4%34.1%-0.5%1.3%48.6K-1.0M-10.1K0.4233.52N/AN/A3501482,351589
2018-03-15$22.27$25.0037.3%10.7%41.3%39.7%37.5%1.1%3.0%37.9K-751.3K-9.5K0.4421.47N/AN/A3381482,351592
2018-03-16$22.64$25.0040.2%11.5%41.4%47.7%32.3%0.9%-1.1%57.5K-1.0M-9.6K0.4648.78N/AN/A3381572,356597
2018-03-19$22.93$25.0038.8%11.1%40.1%43.8%36.9%6.7%5.4%57.9K-1.1M-9.7K1.2039.37N/AN/A1351622,211483
2018-03-20$22.53$25.0036.2%10.4%32.9%36.5%40.3%1.8%3.6%57.1K-1.1M-9.8K3.0644.19N/AN/A531622,296539
2018-03-21$22.55$25.0038.8%11.1%33.0%43.7%40.7%0.3%3.0%59.7K-1.0M-9.7K2.2838.74N/AN/A711622,299539
2018-03-22$22.25$25.0038.5%11.0%31.2%42.9%40.1%1.4%3.2%54.5K-860.1K-9.3K2.4158.72N/AN/A711712,299539
2018-03-23$21.00$25.0040.9%11.7%35.3%50.0%41.6%-2.1%7.4%38.8K-309.0K-7.5K2.7947.18N/AN/A711982,299529
2018-03-26$20.45$25.0042.1%12.1%35.9%53.3%41.2%-4.2%1.4%32.6K-136.9K-6.9K3.9442.82N/AN/A532092,299558
2018-03-27$21.47$25.0040.9%11.7%40.9%49.9%42.7%9.3%1.9%43.6K-478.0K-8.2K3.4356.25N/AN/A612092,301570
2018-03-28$20.88$25.0042.6%12.2%38.1%54.6%42.1%-1.5%5.9%36.8K-295.6K-7.6K1.6325.11N/AN/A1292102,309570
2018-03-29$21.14$25.0041.9%12.0%38.5%52.8%42.0%3.6%7.1%40.3K-387.6K-7.8K1.4727.61N/AN/A1291902,320571