CYD Options History — October 2020

In October 2020, CYD traded between $16.91 and $20.35. ATM implied volatility averaged 47.8%, placing in the 21.5% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded below realized volatility by 5.6% (HV 20d: 53.4%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.23.

Notable Days

  • 2020-10-12: Highest Volume — 240 contracts
  • 2020-10-14: Largest IV spike — 18.7% change
  • 2020-10-30: Highest IV Rank — 28.7%
  • 2020-10-30: Largest Expected Move — 16.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.29$16.91$20.35$17.75$17.41
Max Pain$13.64$12.50$17.50$17.50$15.00
ATM IV47.8%39.7%56.7%48.8%56.7%
Expected Move14.3%13.1%16.3%14.0%16.3%
HV 20d53.4%48.1%61.2%55.3%50.8%
HV 60d45.7%41.8%48.3%44.4%48.3%
IV Rank21.5%14.9%28.7%22.3%28.7%
IV Percentile61.2%31.7%88.9%65.9%88.9%
Term Structure-1.8%-6.3%2.6%1.7%-5.4%
VWIV49.2%41.9%58.7%49.3%53.2%
Skew 25d2.8%-6.8%9.6%-6.8%5.2%
Skew 10d6.5%-13.1%28.9%-13.1%10.0%
Call IV 25d48.7%42.1%56.5%48.7%56.5%
Put IV 25d51.5%41.9%61.6%41.9%61.6%
Bid-Ask Spread %88.8561.20113.04109.6098.72
Gamma HHI0.430.280.680.490.28
Net GEX38.6K25.4K76.0K35.5K27.9K
Net DEX-993.7K-1.9M-543.3K-903.4K-736.2K
Net VEX-2.8K-3.1K-2.5K-3.0K-2.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.230.001.380.061.00
Total Volume47.1821240182
Total OI1,256.1821,1861,5311,1941,293

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-10-01$17.75$17.5048.8%14.0%55.3%22.3%49.3%-6.8%1.7%35.5K-903.4K-3.0K0.06109.60N/AN/A1711,062132
2020-10-02$18.02$17.5047.7%13.7%55.4%21.4%48.0%-6.6%2.6%37.7K-964.4K-3.0K1.00113.04N/AN/A221,067133
2020-10-05$18.18$12.5048.8%14.8%54.3%22.3%48.9%3.4%-3.4%38.6K-1.0M-2.9K0.0072.06N/AN/A201,069135
2020-10-06$17.85$12.5048.4%14.5%54.8%21.9%0.0%2.6%-1.7%39.1K-912.5K-2.8K0.0085.62N/AN/A501,068135
2020-10-07$17.76$12.5044.4%14.6%52.2%18.7%48.5%5.1%-2.6%39.9K-882.3K-2.8K0.0084.59N/AN/A071,068135
2020-10-08$17.81$12.5043.8%14.4%51.7%18.2%0.0%4.1%-2.3%41.1K-885.3K-2.7K0.0085.58N/AN/A101,068136
2020-10-09$17.64$12.5040.1%14.4%51.9%15.2%0.0%4.3%-2.7%43.2K-836.1K-2.6K0.0089.49N/AN/A031,068136
2020-10-12$19.40$12.5040.4%13.6%61.2%15.5%50.2%-0.2%-1.1%39.3K-1.4M-2.5K0.0581.00N/AN/A228121,068131
2020-10-13$19.45$12.5039.7%13.6%60.7%14.9%47.0%1.5%-1.2%67.5K-1.5M-2.5K0.0280.39N/AN/A22551,179144
2020-10-14$19.49$12.5047.1%13.5%58.3%20.9%51.5%4.1%-2.0%65.3K-1.5M-3.1K0.0477.37N/AN/A5521,383148
2020-10-15$20.35$12.5047.4%13.6%51.7%21.2%49.7%7.3%-1.6%76.0K-1.9M-2.9K0.0161.20N/AN/A13811,314150
2020-10-16$19.30$12.5046.2%13.2%55.1%20.2%45.5%-0.1%-0.8%30.4K-1.3M-3.1K0.3588.04N/AN/A37131,310151
2020-10-19$19.16$12.5045.9%13.1%55.1%19.9%49.6%3.3%-0.3%31.5K-1.1M-3.1K0.1475.27N/AN/A711,055131
2020-10-20$19.02$12.5046.7%13.4%55.1%20.6%47.9%3.5%-0.7%31.7K-1.0M-3.1K0.0088.21N/AN/A1401,055132
2020-10-21$18.64$12.5048.4%13.9%52.2%21.9%48.7%1.2%0.9%31.5K-931.7K-3.0K0.0087.91N/AN/A1701,067132
2020-10-22$18.44$12.5050.3%14.4%49.6%23.5%48.7%9.6%-3.2%31.3K-886.7K-3.0K1.3890.87N/AN/A8111,070132
2020-10-23$18.21$15.0048.8%14.0%48.1%22.3%0.0%4.4%-0.8%30.6K-822.3K-2.8K0.0098.05N/AN/A1101,059137
2020-10-26$17.27$15.0051.4%14.7%51.3%24.4%41.9%3.9%-3.3%27.3K-597.0K-2.6K0.1297.26N/AN/A3341,059137
2020-10-27$17.40$15.0051.7%14.8%49.8%24.6%0.0%1.6%-2.5%28.2K-624.4K-2.7K0.0098.84N/AN/A1301,078141
2020-10-28$16.91$15.0056.7%16.3%50.2%28.6%58.7%6.4%-6.3%25.4K-543.3K-2.6K0.1090.18N/AN/A137141,086141
2020-10-29$16.92$15.0052.5%15.1%50.0%25.3%53.2%3.1%-2.2%29.5K-665.1K-2.6K0.25101.33N/AN/A821,196145
2020-10-30$17.41$15.0056.7%16.3%50.8%28.7%0.0%5.2%-5.4%27.9K-736.2K-2.7K1.0098.72N/AN/A111,146147