CYD Options History — March 2020

In March 2020, CYD traded between $7.99 and $12.13. ATM implied volatility averaged 54.1%, placing in the 32.5% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded above realized volatility by 13.5% (HV 20d: 40.7%). Max pain ranged from $7.50 to $12.50. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.55.

Notable Days

  • 2020-03-13: Highest Volume — 295 contracts
  • 2020-03-16: Largest IV spike — 233.8% change
  • 2020-03-16: Highest IV Rank — 100.0%
  • 2020-03-16: Largest Expected Move — 41.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.03$7.99$12.13$11.91$10.75
Max Pain$10.80$7.50$12.50$12.50$10.00
ATM IV54.1%36.4%145.2%36.4%48.7%
Expected Move14.9%10.3%41.6%10.4%14.0%
HV 20d40.7%17.4%81.1%18.9%81.1%
HV 60d30.0%18.9%48.3%19.7%48.3%
IV Rank32.5%19.9%100.0%19.9%22.2%
IV Percentile83.0%51.2%100.0%51.2%79.4%
Term Structure2.4%-10.4%60.6%-5.8%7.4%
VWIV56.9%39.0%70.8%39.0%45.1%
Skew 25d2.6%-14.1%20.7%-7.4%5.6%
Skew 10d13.3%-65.4%72.9%-6.6%-65.4%
Call IV 25d48.8%36.3%68.6%40.5%49.3%
Put IV 25d51.4%33.1%73.5%33.1%54.9%
Bid-Ask Spread %114.3091.92137.6591.92124.92
Gamma HHI0.540.330.790.710.51
Net GEX4.4K-59613.3K9.8K8.2K
Net DEX58.1K-169.4K156.9K13.6K-169.4K
Net VEX-748-1.6K-382-842-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.002.920.001.18
Total Volume52.0910295137
Total OI1,240.8189351,5361,1541,286

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-03-02$11.91$12.5036.4%10.4%18.9%19.9%0.0%-7.4%-5.8%9.8K13.6K-8420.0091.92N/AN/A10939215
2020-03-03$11.86$12.5048.2%13.8%18.8%35.2%0.0%-3.1%-8.3%9.4K2.1K-8460.00105.41N/AN/A00939215
2020-03-04$12.13$12.5044.0%12.6%17.6%29.8%0.0%-1.0%-9.8%11.3K-41.0K-8970.00102.55N/AN/A00939215
2020-03-05$11.97$12.5051.3%11.2%17.8%39.3%39.0%9.7%-1.8%10.3K-27.0K-8630.00114.45N/AN/A1000939215
2020-03-06$11.91$12.5052.0%11.7%17.4%40.2%0.0%8.9%60.6%13.3K-61.8K-9950.00115.48N/AN/A201,038215
2020-03-09$11.25$12.5052.2%11.7%25.6%40.6%0.0%0.9%8.4%8.2K58.4K-8080.00111.80N/AN/A1401,039215
2020-03-10$11.11$12.5047.6%10.3%25.6%34.5%0.0%-1.7%10.5%7.4K91.4K-5960.02115.56N/AN/A5611,039215
2020-03-11$10.89$12.5043.7%12.5%25.7%31.4%0.0%1.0%-1.4%4.5K142.8K-5390.10109.88N/AN/A5251,090216
2020-03-12$10.27$12.5043.4%12.4%30.9%30.9%0.0%9.0%-0.3%2.6K152.1K-5031.00122.87N/AN/A221,140216
2020-03-13$9.95$12.5043.5%12.5%31.7%31.1%0.0%6.3%2.6%1.9K156.9K-4451.95114.78N/AN/A1001951,140218
2020-03-16$9.22$12.50145.2%41.6%38.4%100.0%0.0%-4.2%-0.1%24154.7K-6910.00137.65N/AN/A0141,240264
2020-03-17$9.08$12.5049.6%14.2%38.2%22.9%0.0%-10.4%-1.2%-89120.6K-5910.47120.36N/AN/A34161,240220
2020-03-18$8.42$12.5046.9%13.4%42.0%20.7%0.0%5.7%15.5%103123.5K-5002.40116.92N/AN/A5121,274219
2020-03-19$7.99$12.5049.7%14.2%42.6%23.0%50.0%15.7%-0.1%2125.7K-4062.92115.32N/AN/A12351,279215
2020-03-20$8.32$7.5053.0%15.2%48.3%25.6%66.2%7.8%-4.8%-344123.3K-5220.08112.44N/AN/A1211,291245
2020-03-23$8.01$7.5052.0%14.9%48.3%24.9%51.2%20.7%-3.3%-592127.2K-3820.00118.19N/AN/A30703233
2020-03-24$8.48$7.5047.7%13.7%55.7%21.4%70.8%1.9%-4.7%-596117.3K-4640.00121.67N/AN/A20702233
2020-03-25$8.40$7.5055.1%15.8%55.6%27.4%69.0%0.0%12.6%-11105.8K-5510.11112.17N/AN/A9010704233
2020-03-26$9.18$7.5062.5%17.9%67.4%33.3%62.1%-14.1%-10.4%1.7K50.9K-9080.01109.92N/AN/A711787243
2020-03-27$9.28$7.5058.7%16.8%68.1%30.2%59.6%14.7%-5.6%2.7K31.1K-1.0K0.05107.36N/AN/A834858244
2020-03-30$10.26$7.5059.3%17.0%78.8%30.7%55.8%-9.4%-6.5%6.7K-120.2K-1.5K0.22113.03N/AN/A14331940248
2020-03-31$10.75$10.0048.7%14.0%81.1%22.2%45.1%5.6%7.4%8.2K-169.4K-1.6K1.18124.92N/AN/A17201,007279