CYD Options History — June 2018

In June 2018, CYD traded between $20.98 and $23.76. ATM implied volatility averaged 38.3%, placing in the 34.2% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 12.7% (HV 20d: 51.0%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.46.

Notable Days

  • 2018-06-29: Highest Volume — 2,241 contracts
  • 2018-06-08: Largest IV drop — 20.8% change
  • 2018-06-07: Highest IV Rank — 100.0%
  • 2018-06-01: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.42$20.98$23.76$22.70$21.72
Max Pain$21.19$20.00$22.50$20.00$20.00
ATM IV38.3%30.5%58.5%41.9%30.7%
Expected Move9.9%8.8%12.0%12.0%8.8%
HV 20d51.0%41.6%57.3%45.5%50.4%
HV 60d40.1%38.4%42.7%38.4%42.7%
IV Rank34.2%9.0%100.0%46.1%9.4%
IV Percentile42.0%2.8%100.0%77.4%2.8%
Term Structure2.5%-9.3%13.5%-9.3%6.5%
VWIV37.3%24.6%74.9%74.9%43.7%
Skew 25d3.0%-14.2%19.8%-14.2%1.7%
Skew 10d6.4%-18.1%32.0%-18.1%9.1%
Call IV 25d32.9%23.3%43.1%43.1%33.2%
Put IV 25d35.9%24.1%43.5%28.9%34.9%
Bid-Ask Spread %30.2416.2848.1216.2830.75
Gamma HHI0.530.340.650.480.37
Net GEX65.9K23.9K138.1K77.7K138.1K
Net DEX-817.8K-2.0M581.3K-1.1M-2.0M
Net VEX-7.6K-14.9K-5.3K-8.2K-14.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.181.240.260.29
Total Volume893.6674422,2415052,241
Total OI3,569.4763,1196,7673,1716,767

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-06-01$22.70$20.0041.9%12.0%45.5%46.1%74.9%-14.2%-9.3%77.7K-1.1M-8.2K0.2616.28N/AN/A4001052,333838
2018-06-04$22.02$22.5038.0%10.0%47.2%33.4%33.6%4.5%3.5%54.9K-561.9K-7.5K0.2627.54N/AN/A4001052,343838
2018-06-05$22.79$22.5046.0%9.8%48.5%59.2%34.0%1.5%-1.2%76.6K-1.3M-7.2K0.2726.47N/AN/A3941052,363838
2018-06-06$23.28$22.5048.7%9.4%48.7%68.2%31.8%11.4%7.8%82.9K-1.8M-7.8K0.8516.66N/AN/A3823262,373843
2018-06-07$23.76$22.5058.5%9.7%48.3%100.0%30.1%5.7%1.7%66.3K-1.7M-8.2K0.7821.46N/AN/A4023122,3831,102
2018-06-08$22.71$22.5046.3%9.4%51.6%60.3%32.6%0.8%0.7%68.0K-606.3K-7.1K0.5129.34N/AN/A4852462,3801,167
2018-06-11$22.90$22.5040.7%9.7%51.6%42.1%34.8%-0.9%1.6%65.1K-769.9K-7.3K0.5122.34N/AN/A4672392,4901,271
2018-06-12$21.80$22.5039.3%10.0%54.9%37.4%35.9%1.4%0.8%55.2K285.9K-6.1K0.5933.25N/AN/A4692752,4881,319
2018-06-13$21.55$22.5035.5%10.2%54.7%25.0%33.6%1.7%2.6%43.4K361.2K-6.1K0.4235.76N/AN/A6602752,6001,280
2018-06-14$21.32$22.5034.4%9.9%54.5%21.7%29.3%6.8%4.1%23.9K581.3K-5.3K0.2834.79N/AN/A9442652,5951,282
2018-06-15$21.30$20.0034.1%9.8%54.3%20.5%30.8%0.1%2.5%34.4K265.7K-5.5K0.3730.93N/AN/A7372702,9821,276
2018-06-18$22.25$20.0036.1%10.3%56.3%27.0%37.3%2.1%1.9%62.5K-692.3K-7.0K0.3033.14N/AN/A3461052,287832
2018-06-19$23.14$20.0033.0%9.5%57.3%17.1%24.6%19.8%13.5%67.5K-1.5M-8.2K0.1830.23N/AN/A6441162,290832
2018-06-20$22.94$20.0034.2%9.8%56.9%20.8%37.0%6.1%1.8%77.1K-1.2M-8.3K0.4625.53N/AN/A3051392,371779
2018-06-21$22.72$20.0035.0%10.0%56.0%23.5%33.9%-10.2%1.3%75.9K-1.1M-7.9K0.5148.12N/AN/A3041552,405756
2018-06-22$22.95$20.0034.9%10.0%54.4%23.1%31.7%11.1%1.7%77.4K-1.3M-8.1K0.5446.13N/AN/A2871552,403774
2018-06-25$22.56$20.0036.8%10.6%46.4%29.4%35.7%5.6%4.1%70.5K-971.6K-7.6K0.3532.94N/AN/A4381542,417774
2018-06-26$22.81$20.0037.6%10.8%43.1%31.8%39.1%2.9%1.8%70.5K-1.0M-7.7K1.2438.66N/AN/A4585662,417775
2018-06-27$22.69$20.0032.2%9.2%41.6%14.3%40.1%12.7%4.2%58.6K-835.7K-7.1K0.3420.17N/AN/A1,4124822,420896
2018-06-28$20.98$22.5030.5%8.8%49.0%9.0%58.9%-6.9%0.3%38.5K-172.5K-7.0K0.2934.49N/AN/A1,7004972,3771,003
2018-06-29$21.72$20.0030.7%8.8%50.4%9.4%43.7%1.7%6.5%138.1K-2.0M-14.9K0.2930.75N/AN/A1,7345074,7232,044