CYD Options History — May 2007

In May 2007, CYD traded between $9.09 and $11.07. ATM implied volatility averaged 61.2%. The 30-day expected move averaged 17.4%. IV traded above realized volatility by 13.1% (HV 20d: 48.1%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.19.

Notable Days

  • 2007-05-15: Highest Volume — 12,142 contracts
  • 2007-05-04: Largest IV spike — 15.7% change
  • 2007-05-15: Largest Expected Move — 20.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.18$9.09$11.07$9.09$10.12
Max Pain$8.98$7.50$10.00$7.50$10.00
ATM IV61.2%51.5%72.4%56.6%61.6%
Expected Move17.4%14.7%20.7%16.2%17.7%
HV 20d48.1%43.6%51.8%44.4%51.8%
HV 60d52.6%41.3%58.8%54.6%41.3%
Term Structure-0.8%-6.7%2.0%-4.8%-0.7%
VWIV63.4%51.3%79.3%57.2%65.7%
Skew 25d-2.1%-14.7%17.6%14.3%5.0%
Skew 10d-4.8%-33.2%26.6%26.2%5.0%
Call IV 25d61.8%44.8%78.4%44.8%62.0%
Put IV 25d59.7%46.2%70.2%59.1%67.0%
Bid-Ask Spread %20.0711.2233.4812.6112.77
Gamma HHI0.600.460.840.710.48
Net GEX142.8K89.5K226.7K89.5K138.3K
Net DEX-6.4M-10.5M-3.7M-3.7M-5.1M
Net VEX-17.4K-24.6K-10.1K-10.4K-20.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.190.030.600.250.07
Total Volume1,465.22710612,142185377
Total OI14,802.18210,57421,22810,57416,560

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$9.09$7.5056.6%16.2%44.4%0.0%57.2%14.3%-4.8%89.5K-3.7M-10.4K0.2512.61N/AN/A148378,5542,020
2007-05-02$9.09$7.5055.2%15.8%43.7%0.0%79.1%12.9%-1.7%90.4K-3.7M-10.3K0.0617.77N/AN/A10068,6472,032
2007-05-03$9.12$7.5051.5%14.8%43.6%0.0%54.0%17.6%1.4%93.6K-3.7M-10.1K0.3512.51N/AN/A86308,7052,038
2007-05-04$9.71$10.0059.5%14.7%46.7%0.0%51.3%5.8%-1.2%110.7K-4.8M-10.8K0.0333.48N/AN/A1,329418,6792,048
2007-05-07$10.20$10.0055.6%15.5%48.6%0.0%55.7%-9.5%-2.5%139.7K-6.0M-11.4K0.0819.21N/AN/A2,3031929,2582,069
2007-05-08$10.15$10.0052.3%15.7%49.0%0.0%54.3%-9.0%-1.9%154.6K-6.4M-12.9K0.1122.22N/AN/A1992210,1602,168
2007-05-09$10.10$10.0057.8%15.4%46.1%0.0%53.8%-9.1%0.4%152.4K-6.2M-13.1K0.4919.06N/AN/A33716410,2652,170
2007-05-10$10.08$10.0060.0%17.2%46.2%0.0%60.7%-10.7%-6.7%161.6K-6.0M-13.2K0.2519.12N/AN/A68717410,3732,322
2007-05-11$10.82$10.0059.9%17.2%51.1%0.0%57.9%-0.9%-0.1%131.2K-7.9M-13.3K0.0917.54N/AN/A1,58514810,5552,453
2007-05-14$11.07$10.0066.3%19.0%50.7%0.0%72.7%-9.8%-3.0%130.3K-9.0M-13.7K0.1316.19N/AN/A3,95652811,3692,547
2007-05-15$10.53$10.0072.4%20.7%50.0%0.0%75.9%-13.1%-0.5%155.8K-7.9M-17.3K0.0622.83N/AN/A11,45368913,0992,913
2007-05-16$10.45$7.5069.7%20.0%46.0%0.0%79.3%-1.4%-0.2%226.7K-9.9M-23.6K0.1017.83N/AN/A8818517,5353,304
2007-05-17$10.62$7.5069.8%20.0%46.1%0.0%70.1%-0.3%-1.3%211.5K-10.5M-24.6K0.0418.35N/AN/A6112517,8593,369
2007-05-18$10.43$7.5066.5%19.1%47.0%0.0%67.4%4.1%0.4%157.8K-10.0M-23.3K0.0426.99N/AN/A2,3459817,6793,380
2007-05-21$10.80$7.5066.1%18.9%47.6%0.0%66.4%-4.5%-2.0%151.1K-6.8M-23.1K0.3229.98N/AN/A55017512,9252,185
2007-05-22$10.57$7.5062.0%17.8%47.7%0.0%69.1%1.8%1.1%152.7K-6.3M-22.6K0.4118.94N/AN/A27411213,1602,339
2007-05-23$10.32$7.5060.0%17.2%48.4%0.0%60.2%-11.0%2.0%142.8K-5.5M-21.8K0.6019.22N/AN/A26015713,1812,411
2007-05-24$9.92$10.0061.3%17.6%51.0%0.0%62.5%-14.7%0.6%124.7K-4.5M-20.6K0.3823.28N/AN/A58122213,2952,535
2007-05-25$10.21$10.0061.6%17.7%50.9%0.0%61.7%-11.9%1.5%136.3K-5.3M-22.1K0.1826.64N/AN/A4558113,5422,681
2007-05-29$10.20$10.0062.0%17.8%51.0%0.0%62.0%4.4%0.8%139.7K-5.3M-21.7K0.0623.76N/AN/A3262013,7832,755
2007-05-30$10.39$10.0058.8%16.9%50.5%0.0%58.8%-5.4%1.8%149.7K-5.8M-21.7K0.1011.22N/AN/A3503613,9512,775
2007-05-31$10.12$10.0061.6%17.7%51.8%0.0%65.7%5.0%-0.7%138.3K-5.1M-20.7K0.0712.77N/AN/A3512613,7922,768