CYD Options History — September 2020

In September 2020, CYD traded between $15.86 and $18.69. ATM implied volatility averaged 45.9%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 3.3% (HV 20d: 42.6%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.80.

Notable Days

  • 2020-09-25: Highest Volume — 241 contracts
  • 2020-09-18: Largest IV spike — 15.5% change
  • 2020-09-24: Highest IV Rank — 25.6%
  • 2020-09-24: Largest Expected Move — 15.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.45$15.86$18.69$15.86$18.03
Max Pain$15.12$12.50$17.50$15.00$17.50
ATM IV45.9%38.6%52.9%45.8%46.6%
Expected Move13.1%11.1%15.2%13.1%13.4%
HV 20d42.6%28.8%55.2%38.3%54.7%
HV 60d38.5%34.3%44.2%34.9%44.2%
IV Rank20.0%14.1%25.6%19.9%20.5%
IV Percentile58.9%36.1%82.9%60.3%57.1%
Term Structure3.3%0.4%8.7%1.6%5.7%
VWIV45.4%38.8%52.6%46.2%48.8%
Skew 25d1.8%-10.4%7.4%3.0%-4.5%
Skew 10d0.6%-23.3%22.2%5.7%-10.8%
Call IV 25d44.7%36.0%52.4%43.5%48.1%
Put IV 25d46.5%30.2%57.8%46.4%43.6%
Bid-Ask Spread %102.1250.74133.07112.17116.73
Gamma HHI0.580.460.770.550.48
Net GEX26.5K16.8K36.7K16.8K36.7K
Net DEX-773.5K-1.1M-402.4K-402.4K-959.4K
Net VEX-2.0K-3.0K-1.6K-1.7K-3.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.008.670.000.13
Total Volume47.47602411017
Total OI885.0487261,1857261,185

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$15.86$15.0045.8%13.1%38.3%19.9%0.0%3.0%1.6%16.8K-402.4K-1.7K0.00112.17N/AN/A10064284
2020-09-02$15.98$15.0044.1%12.7%38.3%18.5%0.0%0.2%3.8%17.1K-417.7K-1.7K0.00118.26N/AN/A0064384
2020-09-03$15.99$12.5047.0%14.2%38.2%20.8%46.2%4.4%1.5%17.2K-418.8K-1.7K0.00107.62N/AN/A4064384
2020-09-04$16.56$12.5046.9%12.8%38.4%20.8%0.0%4.5%2.2%19.2K-511.9K-1.8K0.00106.82N/AN/A119064584
2020-09-08$16.82$12.5048.4%12.9%38.4%22.0%44.7%3.0%3.3%24.2K-709.7K-1.8K0.00106.60N/AN/A33075184
2020-09-09$17.64$12.5044.1%12.6%40.3%18.5%44.2%6.4%2.4%25.6K-878.7K-1.7K0.0071.40N/AN/A33076384
2020-09-10$17.32$12.5042.2%12.1%37.6%17.0%42.3%3.9%3.9%27.0K-818.2K-1.7K0.0793.76N/AN/A15177184
2020-09-11$17.35$12.5039.9%11.4%35.9%15.1%40.3%3.1%5.1%26.9K-827.8K-1.7K0.00109.81N/AN/A1077485
2020-09-14$17.83$12.5038.6%11.1%28.8%14.1%38.8%-1.9%6.0%30.5K-945.3K-1.6K0.00133.07N/AN/A14077285
2020-09-15$17.52$12.5040.5%11.6%29.8%15.6%40.4%5.0%3.6%36.0K-695.9K-1.6K0.05107.60N/AN/A19168285
2020-09-16$16.83$12.5040.7%11.7%33.4%15.8%40.7%-5.8%3.3%26.8K-543.9K-1.6K0.09111.81N/AN/A23269786
2020-09-17$18.39$17.5041.3%11.8%44.7%16.3%40.7%1.4%2.5%22.3K-915.4K-1.6K0.01113.00N/AN/A185269786
2020-09-18$18.02$17.5047.7%13.7%45.5%21.4%46.6%3.7%2.1%22.7K-990.1K-1.9K0.00106.56N/AN/A148084487
2020-09-21$18.22$17.5050.8%14.6%45.6%23.9%52.6%4.1%1.7%26.9K-865.5K-2.3K2.50104.58N/AN/A2584270
2020-09-22$18.07$17.5051.1%14.6%45.4%24.1%49.2%5.9%0.8%26.7K-833.9K-2.3K0.0088.92N/AN/A12084475
2020-09-23$17.18$17.5051.9%14.9%49.2%24.8%52.4%3.6%0.4%24.6K-660.1K-2.1K0.0492.45N/AN/A50284375
2020-09-24$18.05$17.5052.9%15.2%51.7%25.6%52.3%7.4%4.3%28.0K-876.0K-2.3K8.6794.40N/AN/A32688077
2020-09-25$18.69$17.5047.2%13.5%52.6%21.0%44.5%-0.6%8.7%29.8K-1.0M-2.2K0.3095.57N/AN/A1865588159
2020-09-28$18.37$17.5048.7%14.0%53.1%22.2%48.2%0.3%2.1%35.7K-1.1M-3.0K0.13102.67N/AN/A811,041114
2020-09-29$17.71$17.5047.3%13.6%55.2%21.1%45.1%-10.4%5.2%35.1K-887.2K-2.9K4.0050.74N/AN/A4161,054120
2020-09-30$18.03$17.5046.6%13.4%54.7%20.5%48.8%-4.5%5.7%36.7K-959.4K-3.0K0.13116.73N/AN/A1521,055130