CYD Options History — May 2020

In May 2020, CYD traded between $11.46 and $13.09. ATM implied volatility averaged 51.1%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded below realized volatility by 2.6% (HV 20d: 53.8%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 3.49.

Notable Days

  • 2020-05-19: Highest Volume — 364 contracts
  • 2020-05-19: Largest IV spike — 31.6% change
  • 2020-05-07: Highest IV Rank — 30.6%
  • 2020-05-20: Largest Expected Move — 16.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.22$11.46$13.09$11.91$12.32
Max Pain$12.88$12.50$15.00$12.50$12.50
ATM IV51.1%39.8%59.2%53.9%50.2%
Expected Move13.8%11.4%16.3%15.4%14.4%
HV 20d53.8%44.3%70.2%70.2%53.2%
HV 60d67.9%64.6%70.1%64.6%70.1%
IV Rank24.1%15.1%30.6%26.4%23.4%
IV Percentile79.1%53.6%94.4%86.5%76.6%
Term Structure7.2%-8.0%31.0%-8.0%8.7%
VWIV48.0%33.3%61.0%54.2%50.2%
Skew 25d-0.1%-28.1%13.5%-2.4%2.1%
Skew 10d-2.0%-61.6%33.6%-4.7%4.0%
Call IV 25d49.8%38.5%82.7%55.4%40.1%
Put IV 25d49.7%33.7%63.1%53.0%42.2%
Bid-Ask Spread %84.9048.02115.69115.6974.01
Gamma HHI0.460.320.750.470.35
Net GEX4.6K1.8K8.8K3.8K2.3K
Net DEX-222.1K-394.0K-68.4K-148.5K-246.5K
Net VEX-1.7K-2.1K-1.2K-1.6K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.490.0050.000.0050.00
Total Volume63.55436420102
Total OI1,589.451,2921,9391,5601,939

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$11.91$12.5053.9%15.4%70.2%26.4%54.2%-2.4%-8.0%3.8K-148.5K-1.6K0.00115.69N/AN/A200770790
2020-05-04$11.79$15.0049.8%13.8%67.4%23.1%0.0%-1.6%4.2%3.5K-130.8K-1.6K0.0087.77N/AN/A40775790
2020-05-05$11.60$15.0049.3%13.2%52.8%22.7%0.0%4.6%4.1%3.1K-102.7K-1.5K0.0088.28N/AN/A640775790
2020-05-06$11.64$15.0053.9%12.6%44.3%26.4%44.3%7.7%5.5%2.6K-104.2K-1.5K0.0256.47N/AN/A551711790
2020-05-07$12.20$12.5059.2%12.4%47.0%30.6%0.0%-0.1%4.8%5.1K-204.7K-1.6K0.0050.03N/AN/A570746790
2020-05-08$13.02$12.5052.3%11.9%51.5%25.1%33.3%-2.8%5.9%8.8K-383.2K-1.2K0.0548.02N/AN/A422746790
2020-05-11$12.45$12.5049.8%11.4%53.4%23.1%39.5%-11.5%5.9%8.5K-250.2K-1.5K0.0095.04N/AN/A360756791
2020-05-12$12.05$12.5052.4%13.1%55.0%25.1%0.0%13.5%2.0%4.7K-183.2K-1.4K0.00109.97N/AN/A210742791
2020-05-13$11.46$12.5048.6%13.9%57.9%22.1%47.3%7.6%0.1%1.8K-77.0K-1.4K0.0093.84N/AN/A250744791
2020-05-14$11.46$12.5049.2%14.1%57.8%22.6%47.9%6.6%8.0%2.1K-68.4K-1.4K0.04102.03N/AN/A512749791
2020-05-15$11.86$12.5047.1%13.5%51.2%20.9%47.0%-28.1%7.0%4.1K-150.0K-1.5K0.00103.15N/AN/A04798792
2020-05-18$12.22$12.5042.7%12.2%52.4%17.3%42.7%-24.0%13.2%5.4K-234.9K-1.4K0.00112.57N/AN/A120540752
2020-05-19$12.24$12.5056.1%16.1%50.1%28.2%56.1%4.0%7.1%4.7K-229.1K-1.6K0.9092.25N/AN/A192172545752
2020-05-20$12.28$12.5057.0%16.3%49.8%28.9%61.0%1.1%7.9%4.3K-258.7K-2.0K0.0094.08N/AN/A0101721841
2020-05-21$12.89$12.5055.1%15.8%51.9%27.4%59.2%4.6%8.4%5.3K-355.6K-2.0K5.0086.84N/AN/A210721942
2020-05-22$12.72$12.5055.2%15.8%51.0%27.4%45.2%6.0%7.3%5.2K-321.6K-2.1K2.0051.93N/AN/A510740962
2020-05-26$13.09$12.5050.3%14.4%51.8%23.5%52.5%7.8%9.5%5.8K-394.0K-1.9K1.1894.32N/AN/A3845738973
2020-05-27$12.62$12.5039.8%11.4%53.5%15.1%39.8%-2.5%31.0%5.3K-306.7K-1.9K0.1873.00N/AN/A74137751,015
2020-05-28$12.62$12.5050.7%14.5%53.0%23.8%0.0%5.6%10.7%5.7K-291.5K-2.1K0.0068.80N/AN/A01117991,026
2020-05-29$12.32$12.5050.2%14.4%53.2%23.4%50.2%2.1%8.7%2.3K-246.5K-2.1K50.0074.01N/AN/A21008021,137