CYD Options History — September 2018

In September 2018, CYD traded between $17.28 and $19.68. ATM implied volatility averaged 33.1%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 4.0% (HV 20d: 29.1%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.68.

Notable Days

  • 2018-09-04: Highest Volume — 490 contracts
  • 2018-09-14: Largest IV spike — 20.9% change
  • 2018-09-14: Highest IV Rank — 33.6%
  • 2018-09-14: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.32$17.28$19.68$19.68$17.28
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV33.1%26.9%40.3%33.0%31.8%
Expected Move9.6%7.8%11.5%9.5%9.1%
HV 20d29.1%25.5%34.1%30.6%27.5%
HV 60d33.8%29.5%37.0%36.2%29.5%
IV Rank15.4%0.0%33.6%13.3%12.4%
IV Percentile19.2%0.0%60.3%14.3%9.1%
Term Structure3.5%-7.5%17.6%0.4%5.0%
VWIV30.8%20.7%41.6%32.6%23.8%
Skew 25d3.1%-0.8%8.8%0.2%-0.8%
Skew 10d4.3%-7.1%14.5%2.0%-0.2%
Call IV 25d31.2%26.1%40.4%26.7%28.1%
Put IV 25d34.3%26.9%43.1%26.9%27.3%
Bid-Ask Spread %71.9915.40115.3615.4025.41
Gamma HHI0.380.310.460.360.31
Net GEX22.6K15.5K31.7K31.7K16.4K
Net DEX-91.8K-394.1K83.0K-394.1K49.3K
Net VEX-3.2K-4.0K-2.4K-4.0K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.430.950.430.63
Total Volume374.526299490490375
Total OI1,526.3161,4351,6081,4351,535

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$19.68$20.0033.0%9.5%30.6%13.3%32.6%0.2%0.4%31.7K-394.1K-4.0K0.4315.40N/AN/A3431471,064371
2018-09-05$18.86$20.0027.3%7.8%34.1%0.0%32.3%0.5%-0.8%23.8K-148.3K-3.6K0.4327.35N/AN/A3431461,064371
2018-09-06$18.88$20.0032.3%9.1%34.1%12.9%31.9%2.1%4.3%24.1K-153.0K-3.6K0.4315.84N/AN/A3431461,064372
2018-09-07$18.79$20.0026.9%8.9%33.9%0.0%31.7%1.1%4.7%22.7K-122.2K-3.5K0.4364.66N/AN/A3431461,064372
2018-09-10$18.76$20.0030.3%8.7%27.4%8.6%30.7%6.1%4.8%22.6K-109.4K-3.3K0.4534.76N/AN/A3241461,064372
2018-09-11$18.95$20.0033.3%9.7%27.6%16.0%34.1%0.8%3.0%23.8K-137.8K-3.4K0.6274.75N/AN/A2341461,063372
2018-09-12$18.81$20.0033.0%9.5%27.7%15.3%33.5%1.9%2.1%31.3K-248.8K-3.9K0.9592.67N/AN/A1531461,204372
2018-09-13$18.33$20.0033.3%9.6%29.3%16.1%34.8%1.1%4.3%25.5K-111.5K-3.4K0.91102.65N/AN/A1601461,233372
2018-09-14$18.53$20.0040.3%11.5%29.4%33.6%31.5%7.2%-7.5%28.0K-171.6K-3.6K0.9191.12N/AN/A1601461,241367
2018-09-17$18.38$20.0035.3%10.1%25.5%21.0%32.6%3.5%0.2%26.2K-159.8K-3.5K0.87102.45N/AN/A1681461,225367
2018-09-18$18.61$20.0037.9%10.9%26.0%27.6%32.4%6.3%-0.9%25.8K-136.0K-3.3K0.8795.41N/AN/A1681461,225367
2018-09-19$17.92$20.0031.9%9.1%27.3%12.4%41.6%-0.8%17.6%16.4K-35.5K-3.1K0.87115.36N/AN/A1681461,225367
2018-09-20$18.30$20.0029.9%8.6%28.8%7.5%35.7%0.3%12.3%20.3K6.5K-3.0K0.87114.11N/AN/A1681461,225367
2018-09-21$17.81$20.0035.1%10.1%29.9%20.5%26.9%8.6%7.2%17.1K33.7K-2.8K0.87111.41N/AN/A1681461,225365
2018-09-24$17.58$20.0033.1%9.5%29.4%15.4%24.0%2.0%4.4%15.5K83.0K-2.6K0.5874.91N/AN/A2241301,119342
2018-09-25$17.53$20.0036.9%10.6%28.5%25.1%33.0%8.8%0.1%19.6K20.9K-2.8K0.58112.44N/AN/A2241301,218349
2018-09-26$17.61$20.0034.8%10.0%27.6%19.8%20.7%6.8%1.3%19.5K-17.6K-2.7K0.6468.45N/AN/A2251451,218319
2018-09-27$17.55$20.0032.8%9.4%27.6%14.7%21.5%2.7%3.1%18.8K7.4K-2.6K0.6328.65N/AN/A2301451,221319
2018-09-28$17.28$20.0031.8%9.1%27.5%12.4%23.8%-0.8%5.0%16.4K49.3K-2.4K0.6325.41N/AN/A2301451,226309