CYD Options History — November 2020

In November 2020, CYD traded between $16.60 and $18.14. ATM implied volatility averaged 47.2%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded below realized volatility by 4.0% (HV 20d: 51.1%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.17.

Notable Days

  • 2020-11-09: Highest Volume — 266 contracts
  • 2020-11-11: Largest IV drop — 17.3% change
  • 2020-11-02: Highest IV Rank — 30.8%
  • 2020-11-02: Largest Expected Move — 17.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.36$16.60$18.14$17.82$16.60
Max Pain$15.38$15.00$17.50$15.00$15.00
ATM IV47.2%38.8%59.3%59.3%45.0%
Expected Move13.5%11.1%17.0%17.0%12.9%
HV 20d51.1%44.2%54.6%51.5%47.9%
HV 60d49.7%46.8%50.9%48.3%50.9%
IV Rank20.9%14.2%30.8%30.8%18.3%
IV Percentile53.7%25.8%92.1%92.1%42.9%
Term Structure-4.4%-20.8%1.9%-8.2%-4.2%
VWIV42.9%22.1%59.3%59.3%45.1%
Skew 25d1.5%-7.0%13.6%9.0%3.3%
Skew 10d4.5%-12.8%22.3%20.9%13.5%
Call IV 25d44.7%33.0%56.1%56.1%42.5%
Put IV 25d46.3%35.1%65.2%65.2%45.8%
Bid-Ask Spread %111.1691.89121.7591.89110.20
Gamma HHI0.350.250.720.280.29
Net GEX31.4K15.2K75.2K29.5K20.3K
Net DEX-758.2K-1.1M-369.0K-839.2K-369.0K
Net VEX-2.2K-2.7K-1.7K-2.7K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.170.001.140.000.71
Total Volume48.35026626132
Total OI1,267.557621,4901,294881

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$17.82$15.0059.3%17.0%51.5%30.8%59.3%9.0%-8.2%29.5K-839.2K-2.7K0.0091.89N/AN/A2601,146148
2020-11-03$18.14$15.0056.7%16.2%51.5%28.6%56.6%4.7%-4.0%30.9K-919.2K-2.7K0.00102.55N/AN/A101,146148
2020-11-04$17.35$15.0054.8%15.7%53.9%27.1%59.2%4.2%-7.4%30.2K-744.5K-2.5K0.00100.19N/AN/A0371,146148
2020-11-05$17.74$17.5052.1%14.9%54.6%24.9%0.0%5.0%-9.5%29.9K-793.0K-2.4K0.00121.75N/AN/A501,146185
2020-11-06$17.55$17.5051.9%16.3%54.6%24.8%32.1%5.1%-20.8%29.8K-754.1K-2.4K0.00120.51N/AN/A101,146185
2020-11-09$16.70$17.5054.8%15.7%44.2%27.1%22.1%-7.0%-17.4%28.0K-585.6K-2.2K0.02115.41N/AN/A26241,146185
2020-11-10$18.11$15.0056.9%13.7%54.3%28.8%47.8%2.2%-3.0%29.9K-1.1M-2.4K0.03110.50N/AN/A3611,244194
2020-11-11$17.78$15.0047.1%13.5%54.5%20.9%0.0%7.9%-4.5%31.2K-1.0M-2.4K0.08113.16N/AN/A1211,278193
2020-11-12$17.31$15.0048.0%13.8%51.9%21.7%0.0%-0.1%-7.0%31.0K-915.3K-2.3K0.00114.68N/AN/A101,271192
2020-11-13$17.41$15.0046.9%13.5%49.3%20.8%45.9%-5.7%0.2%30.5K-934.9K-2.3K0.00113.07N/AN/A101,271192
2020-11-16$17.46$15.0042.9%12.3%49.4%17.5%36.0%-5.9%-2.8%36.2K-1.0M-2.2K0.40114.11N/AN/A521,272192
2020-11-17$16.84$15.0041.8%12.0%50.6%16.6%41.8%6.3%-4.4%30.1K-761.5K-1.9K0.02117.88N/AN/A9721,275192
2020-11-18$17.53$15.0041.8%12.0%52.9%16.6%41.8%-5.3%1.8%44.1K-965.4K-1.9K0.20121.09N/AN/A2041,295193
2020-11-19$17.28$15.0041.3%11.9%53.0%16.3%0.0%0.1%0.8%42.8K-864.1K-1.9K0.00115.96N/AN/A001,296194
2020-11-20$17.33$15.0038.8%11.1%52.9%14.2%38.8%-5.5%1.2%75.2K-820.7K-1.8K0.04104.27N/AN/A13561,296194
2020-11-23$17.14$15.0039.3%11.3%49.6%14.6%39.3%0.8%1.9%15.2K-399.0K-1.7K0.00112.70N/AN/A154066498
2020-11-24$17.12$15.0042.2%12.1%49.5%16.9%42.2%0.1%-1.3%20.9K-455.7K-1.9K0.50106.17N/AN/A2176298
2020-11-25$17.15$15.0041.1%11.8%48.4%16.1%41.1%13.6%-0.3%21.4K-470.7K-1.9K1.14105.87N/AN/A7876399
2020-11-27$16.93$15.0040.4%11.6%48.6%15.5%37.1%-2.2%-0.1%21.6K-439.2K-1.9K0.00111.28N/AN/A40770107
2020-11-30$16.60$15.0045.0%12.9%47.9%18.3%45.1%3.3%-4.2%20.3K-369.0K-1.7K0.71110.20N/AN/A7755774107