CYD Options History — March 2007

In March 2007, CYD traded between $7.16 and $8.09. ATM implied volatility averaged 44.5%. The 30-day expected move averaged 12.8%. IV traded below realized volatility by 26.9% (HV 20d: 71.4%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.35.

Notable Days

  • 2007-03-16: Highest Volume — 1,266 contracts
  • 2007-03-19: Largest IV drop — 24.0% change
  • 2007-03-05: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.71$7.16$8.09$7.49$7.97
Max Pain$7.50$7.50$7.50$7.50$7.50
ATM IV44.5%35.4%58.7%50.0%40.5%
Expected Move12.8%10.1%15.4%14.3%11.6%
HV 20d71.4%35.3%82.8%77.2%36.0%
HV 60d53.7%50.8%57.2%57.2%50.8%
Term Structure8.2%0.1%18.0%1.8%15.5%
VWIV45.8%35.7%53.8%50.0%40.5%
Skew 25d9.7%-4.1%54.1%5.8%5.8%
Skew 10d23.0%3.0%89.2%7.5%19.9%
Call IV 25d39.5%30.0%56.5%38.7%34.8%
Put IV 25d49.1%35.4%102.7%44.4%40.5%
Bid-Ask Spread %17.908.7731.8119.2531.81
Gamma HHI0.530.460.800.510.47
Net GEX49.7K30.2K135.9K43.8K47.6K
Net DEX-1.6M-2.1M-962.7K-1.3M-2.1M
Net VEX-8.7K-9.4K-7.6K-8.7K-9.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.001.541.160.00
Total Volume373.318251,266348723
Total OI9,789.0917,88310,5089,9029,844

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$7.49$7.5050.0%14.3%77.2%0.0%50.0%5.8%1.8%43.8K-1.3M-8.7K1.1619.25N/AN/A1611877,7532,149
2007-03-02$7.50$7.5049.6%14.2%77.2%0.0%49.6%54.1%0.1%44.6K-1.3M-8.7K0.1116.34N/AN/A350407,8682,270
2007-03-05$7.16$7.5058.7%15.4%79.0%0.0%53.8%4.0%1.5%40.0K-962.7K-8.3K0.2713.88N/AN/A319857,9832,310
2007-03-06$7.56$7.5049.9%14.5%81.4%0.0%50.5%10.1%3.3%48.2K-1.5M-9.1K0.0514.98N/AN/A573308,0502,350
2007-03-07$7.43$7.5050.4%14.4%81.7%0.0%51.2%3.7%0.7%44.5K-1.2M-8.5K0.0414.16N/AN/A7137,9262,380
2007-03-08$7.67$7.5050.9%14.6%82.3%0.0%51.0%8.9%2.9%48.3K-1.6M-8.8K0.009.35N/AN/A8607,9392,377
2007-03-09$7.63$7.5052.1%13.4%82.4%0.0%46.6%10.2%5.4%50.0K-1.5M-8.5K1.1914.49N/AN/A42507,9662,377
2007-03-12$7.68$7.5040.6%14.6%82.4%0.0%0.0%11.3%0.3%58.3K-1.8M-8.2K0.2012.35N/AN/A100207,9882,384
2007-03-13$7.59$7.5048.0%14.5%82.3%0.0%50.4%8.0%4.7%56.7K-1.6M-8.4K0.0715.57N/AN/A547407,9982,404
2007-03-14$7.43$7.5049.7%14.5%82.8%0.0%50.7%7.5%2.7%52.4K-1.2M-7.9K0.0613.06N/AN/A279168,0212,439
2007-03-15$7.50$7.5050.1%14.4%82.8%0.0%50.0%8.1%5.4%58.2K-1.3M-8.2K0.0111.31N/AN/A33658,0522,456
2007-03-16$7.50$7.5049.3%14.1%82.5%0.0%49.3%8.3%2.4%135.9K-1.3M-7.6K1.548.77N/AN/A4997678,0552,444
2007-03-19$7.69$7.5037.5%10.7%81.9%0.0%37.5%8.2%13.6%30.2K-1.3M-8.0K0.2915.38N/AN/A9822836,0781,805
2007-03-20$7.87$7.5038.3%11.0%81.9%0.0%38.3%23.1%10.9%34.4K-1.6M-8.6K0.1016.71N/AN/A232236,6892,028
2007-03-21$7.96$7.5037.1%10.6%79.4%0.0%37.0%7.7%13.6%38.7K-1.8M-9.1K0.2218.80N/AN/A225506,8602,051
2007-03-22$8.05$7.5036.7%10.5%70.0%0.0%0.0%8.2%18.0%41.0K-2.0M-9.1K0.8920.65N/AN/A45407,0192,076
2007-03-23$8.08$7.5038.0%10.9%70.1%0.0%40.4%5.2%11.8%43.6K-2.1M-9.2K0.0724.84N/AN/A177127,0522,036
2007-03-26$7.97$7.5035.4%10.1%69.8%0.0%0.0%3.4%16.9%42.9K-2.0M-9.0K1.2729.18N/AN/A11147,2072,046
2007-03-27$8.09$7.5036.3%10.4%35.3%0.0%35.7%-4.1%17.4%44.3K-2.1M-9.0K0.0026.43N/AN/A34717,2052,060
2007-03-28$7.86$7.5038.8%11.1%37.0%0.0%0.0%7.1%16.2%43.2K-1.9M-9.2K0.0325.41N/AN/A343107,5072,060
2007-03-29$7.91$7.5041.7%12.0%35.9%0.0%41.2%8.3%15.8%46.5K-2.0M-9.4K0.1321.12N/AN/A79107,7282,070
2007-03-30$7.97$7.5040.5%11.6%36.0%0.0%40.5%5.8%15.5%47.6K-2.1M-9.2K0.0031.81N/AN/A72037,7752,069