CYD Options History — December 2020

In December 2020, CYD traded between $15.83 and $17.51. ATM implied volatility averaged 47.3%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded above realized volatility by 10.2% (HV 20d: 37.1%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.46.

Notable Days

  • 2020-12-01: Highest Volume — 367 contracts
  • 2020-12-28: Largest IV spike — 39.8% change
  • 2020-12-28: Highest IV Rank — 28.6%
  • 2020-12-28: Largest Expected Move — 16.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.82$15.83$17.51$17.48$16.35
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV47.3%41.6%58.2%45.6%42.8%
Expected Move13.6%11.9%16.7%13.1%12.3%
HV 20d37.1%27.2%50.9%50.9%27.2%
HV 60d47.2%43.6%51.7%51.5%44.0%
IV Rank20.0%15.0%28.6%18.8%16.0%
IV Percentile52.1%26.2%90.5%44.8%28.6%
Term Structure-2.8%-17.6%5.3%-4.0%3.2%
VWIV47.5%26.5%66.5%45.1%56.2%
Skew 25d4.1%-11.0%22.3%6.9%-11.0%
Skew 10d10.0%-13.6%35.4%10.9%-13.6%
Call IV 25d44.5%33.1%53.4%34.5%45.0%
Put IV 25d48.6%34.0%58.2%41.4%34.0%
Bid-Ask Spread %113.1399.05123.62122.62118.64
Gamma HHI0.370.300.570.350.43
Net GEX34.7K22.3K54.8K22.3K43.0K
Net DEX-1.0M-1.3M-598.1K-598.1K-1.0M
Net VEX-2.7K-3.0K-2.4K-2.4K-2.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.006.330.036.33
Total Volume55.818136736722
Total OI1,493.1821,0041,7121,0041,667

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$17.48$15.0045.6%13.1%50.9%18.8%45.1%6.9%-4.0%22.3K-598.1K-2.4K0.03122.62N/AN/A35710842162
2020-12-02$17.09$15.0044.5%12.8%50.9%17.9%31.9%0.3%-0.4%29.4K-904.6K-2.8K0.00119.44N/AN/A2301,128172
2020-12-03$16.93$15.0044.5%13.5%48.6%17.9%56.6%5.9%-0.8%29.7K-851.5K-2.7K0.0199.05N/AN/A10211,148172
2020-12-04$16.98$15.0049.5%13.8%47.8%21.9%60.3%1.2%-9.7%30.5K-960.4K-2.8K0.0099.69N/AN/A3801,221178
2020-12-07$16.80$15.0044.3%13.4%47.8%17.7%46.7%2.3%-1.7%33.2K-972.7K-2.8K0.00102.72N/AN/A101,258178
2020-12-08$16.68$15.0045.6%12.9%44.5%18.8%0.0%0.9%-0.8%33.5K-938.7K-2.7K0.40107.56N/AN/A521,259178
2020-12-09$17.51$15.0043.2%12.4%37.6%16.8%42.6%0.8%5.3%34.8K-1.2M-2.7K0.00111.87N/AN/A101,258180
2020-12-10$17.39$15.0044.0%12.6%37.1%17.4%45.8%3.9%1.5%34.0K-1.2M-2.6K0.00112.86N/AN/A301,258180
2020-12-11$17.27$15.0048.2%13.8%36.0%20.9%0.0%3.8%-1.9%34.6K-1.1M-2.6K0.00113.38N/AN/A0101,261180
2020-12-14$17.02$15.0045.8%13.1%36.2%19.0%26.5%17.0%-2.2%35.3K-1.0M-2.4K0.14122.17N/AN/A711,261190
2020-12-15$17.09$15.0047.3%13.6%36.3%20.1%44.3%2.7%-2.1%35.6K-1.1M-2.4K0.00113.78N/AN/A20001,262191
2020-12-16$17.17$15.0047.5%13.6%33.8%20.3%47.5%22.3%-0.7%47.8K-1.3M-2.6K0.00123.62N/AN/A021,452191
2020-12-17$17.22$15.0046.5%13.3%30.5%19.5%0.0%17.2%-0.1%54.8K-1.3M-2.5K0.00112.92N/AN/A7001,452191
2020-12-18$16.81$15.0048.5%13.9%31.3%20.6%43.6%-9.1%-3.4%24.9K-1.1M-2.4K0.38116.57N/AN/A1661,521191
2020-12-21$16.46$15.0050.0%14.3%32.0%21.9%51.9%3.6%-1.1%26.7K-852.1K-2.4K0.01114.84N/AN/A15511,193175
2020-12-22$16.45$15.0048.3%13.8%31.9%20.5%44.7%5.9%-2.1%33.9K-946.0K-2.6K0.23113.78N/AN/A104241,348176
2020-12-23$16.53$15.0045.5%13.1%31.9%18.2%0.0%-4.0%-2.1%35.0K-1.1M-3.0K0.00110.13N/AN/A101,434182
2020-12-24$16.57$15.0041.6%11.9%32.0%15.0%0.0%10.2%2.4%35.5K-1.0M-3.0K0.00110.18N/AN/A0101,435182
2020-12-28$16.23$15.0058.2%16.7%32.4%28.6%66.5%-2.1%-16.4%36.1K-918.3K-2.8K0.00116.26N/AN/A101,435202
2020-12-29$15.83$15.0053.2%15.2%32.9%24.5%49.4%6.3%-7.6%36.7K-817.8K-2.7K0.15112.75N/AN/A4671,436202
2020-12-30$16.18$15.0056.2%16.1%27.7%27.0%56.2%4.8%-17.6%36.8K-916.2K-2.8K1.00114.10N/AN/A111,461207
2020-12-31$16.35$15.0042.8%12.3%27.2%16.0%0.0%-11.0%3.2%43.0K-1.0M-2.7K6.33118.64N/AN/A3191,460207