CYD Options History — February 2020 In February 2020, CYD traded between $12.30 and $13.25. ATM implied volatility averaged 32.7%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 13.7% (HV 20d: 19.0%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 1.94.
Notable Days 2020-02-24 : Highest Volume — 158 contracts2020-02-12 : Largest IV spike — 40.5% change2020-02-28 : Highest IV Rank — 29.0%2020-02-28 : Largest Expected Move — 12.4%Monthly Statistics Metric Avg Min Max Open Close Price $12.80 $12.30 $13.25 $12.88 $12.30 Max Pain $12.50 $12.50 $12.50 $12.50 $12.50 ATM IV 32.7% 23.3% 43.4% 28.5% 43.4% Expected Move 9.8% 6.8% 12.4% 8.2% 12.4% HV 20d 19.0% 16.1% 20.8% 17.7% 16.7% HV 60d 20.6% 18.8% 23.2% 23.2% 18.9% IV Rank 15.1% 2.8% 29.0% 9.6% 29.0% IV Percentile 34.5% 0.8% 78.2% 12.7% 78.2% Term Structure 0.5% -7.6% 20.0% 2.7% -7.1% VWIV 34.9% 27.7% 48.5% 28.8% 39.9% Skew 25d 1.4% -7.8% 12.7% 4.3% -1.7% Skew 10d 6.9% -12.6% 38.5% 38.5% -1.7% Call IV 25d 32.7% 22.9% 40.4% 30.6% 40.4% Put IV 25d 34.1% 20.3% 41.0% 34.9% 38.7% Bid-Ask Spread % 112.09 105.72 123.45 106.26 123.45 Gamma HHI 0.52 0.44 0.63 0.48 0.56 Net GEX 8.4K 442 13.8K 1.2K 11.9K Net DEX -193.5K -340.4K -71.9K -71.9K -79.7K Net VEX -1.3K -1.5K -1.0K -1.4K -1.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.94 0.00 15.00 0.06 0.00 Total Volume 28.316 0 158 1 5 Total OI 1,508.421 956 1,729 1,565 1,144
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2020-02-03 $12.88 $12.50 28.5% 8.2% 17.7% 9.6% 28.8% 4.3% 2.7% 1.2K -71.9K -1.4K 0.00 106.26 N/A N/A 0 1 1,066 499 2020-02-04 $13.25 $12.50 31.0% 8.9% 20.8% 12.8% 35.4% 12.7% 4.2% 6.6K -164.7K -1.4K 0.00 115.93 N/A N/A 0 1 1,066 499 2020-02-05 $13.14 $12.50 23.9% 6.8% 20.5% 3.5% 0.0% -7.6% 1.7% 3.6K -138.0K -1.3K 0.00 110.91 N/A N/A 0 0 1,066 498 2020-02-06 $12.95 $12.50 23.3% 9.4% 20.7% 2.8% 32.2% -1.5% 20.0% 442 -104.1K -1.3K 0.06 105.72 N/A N/A 100 6 1,066 498 2020-02-07 $12.90 $12.50 25.8% 9.3% 20.7% 6.0% 0.0% -3.6% 10.4% 3.6K -158.5K -1.5K 4.11 107.72 N/A N/A 9 37 1,165 498 2020-02-10 $12.89 $12.50 27.6% 9.9% 20.6% 8.4% 34.2% -3.3% 13.8% 6.4K -193.8K -1.4K 0.03 106.08 N/A N/A 72 2 1,174 454 2020-02-11 $12.91 $12.50 24.8% 9.4% 20.2% 4.7% 0.0% -1.1% -0.3% 10.1K -264.6K -1.4K 0.00 105.91 N/A N/A 0 0 1,246 444 2020-02-12 $12.93 $12.50 34.8% 10.0% 20.2% 17.8% 34.8% 8.5% -1.6% 10.4K -253.8K -1.4K 0.00 112.08 N/A N/A 0 12 1,246 444 2020-02-13 $12.79 $12.50 32.9% 9.4% 20.5% 15.3% 0.0% 11.9% 0.2% 7.0K -246.4K -1.3K 0.67 108.58 N/A N/A 3 2 1,246 456 2020-02-14 $12.81 $12.50 34.0% 9.7% 18.3% 16.7% 0.0% 12.6% -1.3% 6.9K -248.0K -1.3K 0.00 109.74 N/A N/A 1 0 1,245 458 2020-02-18 $12.75 $12.50 34.7% 10.0% 18.2% 17.7% 34.8% 1.3% -2.1% 6.8K -215.5K -1.3K 15.00 111.89 N/A N/A 1 15 1,246 458 2020-02-19 $12.88 $12.50 34.3% 9.8% 18.7% 17.2% 34.3% 11.3% -2.5% 8.4K -288.0K -1.2K 0.13 118.12 N/A N/A 30 4 1,246 448 2020-02-20 $12.89 $12.50 34.8% 10.0% 18.7% 17.8% 0.0% 2.4% -1.5% 11.1K -340.4K -1.2K 0.00 115.80 N/A N/A 1 0 1,277 452 2020-02-21 $12.69 $12.50 33.3% 9.5% 18.2% 15.8% 33.3% 1.8% 0.7% 12.6K -310.8K -1.1K 0.11 109.15 N/A N/A 18 2 1,277 452 2020-02-24 $12.61 $12.50 36.0% 10.3% 18.1% 19.3% 48.5% -7.1% -6.3% 12.3K -155.7K -1.1K 0.01 113.81 N/A N/A 156 2 748 208 2020-02-25 $12.58 $12.50 38.0% 10.9% 18.0% 21.9% 27.7% -6.2% -6.4% 13.5K -152.0K -1.1K 0.05 118.15 N/A N/A 44 2 884 207 2020-02-26 $12.51 $12.50 39.9% 11.4% 17.7% 24.4% 39.9% -0.1% -7.0% 13.8K -148.1K -1.1K 5.00 110.14 N/A N/A 2 10 928 206 2020-02-27 $12.51 $12.50 40.8% 11.7% 16.1% 25.6% 0.0% -7.8% -7.6% 13.6K -142.9K -1.1K 0.00 120.31 N/A N/A 0 0 929 216 2020-02-28 $12.30 $12.50 43.4% 12.4% 16.7% 29.0% 0.0% -1.7% -7.1% 11.9K -79.7K -1.0K 0.00 123.45 N/A N/A 5 0 929 215
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