CYD Options History — June 2007

In June 2007, CYD traded between $9.78 and $11.55. ATM implied volatility averaged 54.7%. The 30-day expected move averaged 16.4%. IV traded above realized volatility by 14.2% (HV 20d: 40.5%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.38.

Notable Days

  • 2007-06-15: Highest Volume — 1,706 contracts
  • 2007-06-14: Largest IV spike — 54.7% change
  • 2007-06-06: Largest Expected Move — 18.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.53$9.78$11.55$10.12$11.42
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV54.7%39.6%64.7%60.9%51.6%
Expected Move16.4%13.4%18.3%17.5%14.8%
HV 20d40.5%34.0%51.8%51.8%34.4%
HV 60d42.5%41.0%43.3%41.0%43.1%
Term Structure3.7%0.3%11.2%1.2%2.9%
VWIV58.5%51.0%66.4%63.7%51.8%
Skew 25d-0.5%-10.3%7.1%7.1%6.3%
Skew 10d1.8%-19.8%20.9%5.1%14.4%
Call IV 25d59.2%50.1%67.2%60.5%50.1%
Put IV 25d58.7%46.1%69.7%67.6%56.5%
Bid-Ask Spread %23.0713.2431.3527.0216.88
Gamma HHI0.560.480.660.480.66
Net GEX150.1K95.3K217.6K142.3K174.7K
Net DEX-5.8M-7.9M-4.3M-5.2M-7.8M
Net VEX-20.0K-21.8K-18.3K-20.6K-21.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.021.660.120.40
Total Volume553.429941,706452210
Total OI16,255.14312,88018,63916,78615,881

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$10.12$10.0060.9%17.5%51.8%0.0%63.7%7.1%1.2%142.3K-5.2M-20.6K0.1227.02N/AN/A4034913,9972,789
2007-06-04$10.56$10.0062.6%18.2%49.3%0.0%61.9%5.0%1.8%162.3K-6.2M-21.5K0.2229.03N/AN/A3357314,3462,825
2007-06-05$10.18$10.0064.7%18.0%48.3%0.0%66.4%3.3%2.2%149.6K-5.4M-20.7K0.2629.16N/AN/A2887514,5602,858
2007-06-06$10.09$10.0060.0%18.3%48.3%0.0%64.0%1.2%0.3%143.0K-5.1M-20.4K1.2929.46N/AN/A415314,7382,905
2007-06-07$9.78$10.0052.6%18.1%49.6%0.0%62.7%3.7%2.3%136.1K-4.3M-19.4K0.2821.32N/AN/A43512014,7372,926
2007-06-08$10.01$10.0054.9%17.8%50.3%0.0%62.2%2.3%1.5%146.4K-4.9M-20.2K0.1431.35N/AN/A3044414,9822,991
2007-06-11$10.03$10.0060.9%17.9%42.8%0.0%62.4%2.3%0.9%162.0K-5.1M-19.2K1.6626.45N/AN/A7612615,1773,010
2007-06-12$10.05$10.0055.9%18.1%41.7%0.0%63.2%1.9%4.7%176.3K-5.2M-19.5K0.2826.92N/AN/A2477015,1943,075
2007-06-13$10.18$10.0039.6%17.9%38.5%0.0%62.5%4.0%2.8%204.9K-5.6M-19.7K0.5726.32N/AN/A1488415,4223,115
2007-06-14$10.27$10.0061.3%17.6%38.6%0.0%61.3%-7.0%1.7%217.6K-6.3M-19.2K0.5516.38N/AN/A20411315,3983,152
2007-06-15$10.25$10.0055.6%15.9%38.1%0.0%58.0%-8.0%4.9%196.3K-6.0M-19.1K0.1613.44N/AN/A1,47523115,3773,262
2007-06-18$10.25$10.0050.9%14.6%37.6%0.0%51.2%-8.3%5.7%95.3K-4.3M-18.3K0.7326.18N/AN/A37527510,0752,805
2007-06-19$10.41$10.0049.6%14.2%35.8%0.0%53.8%-10.3%5.7%95.3K-4.6M-18.5K0.1713.24N/AN/A5769710,1783,065
2007-06-20$10.36$10.0051.0%14.6%35.0%0.0%54.6%-6.5%6.1%99.3K-4.6M-18.7K0.5817.02N/AN/A18610710,4533,053
2007-06-21$10.40$10.0046.8%13.4%34.0%0.0%51.0%-6.8%9.3%101.4K-4.6M-18.7K0.1227.21N/AN/A4004710,5733,065
2007-06-22$10.97$10.0051.3%14.7%35.5%0.0%60.4%-7.2%11.2%118.8K-6.1M-20.3K0.0825.03N/AN/A1,1269010,9003,087
2007-06-25$11.25$10.0055.4%15.9%35.2%0.0%55.2%-1.5%6.0%141.5K-6.9M-20.5K0.0323.16N/AN/A9643211,5253,174
2007-06-26$11.55$10.0053.3%15.3%35.9%0.0%53.3%1.2%2.8%157.3K-7.9M-20.9K0.0521.31N/AN/A1,0255211,9193,204
2007-06-27$11.45$10.0054.9%15.8%36.0%0.0%54.6%3.9%3.3%160.0K-7.7M-21.6K0.0217.31N/AN/A6271312,4223,256
2007-06-28$11.52$10.0054.6%15.7%34.0%0.0%55.2%3.1%0.3%171.1K-7.9M-21.8K0.3320.24N/AN/A32110512,6213,266
2007-06-29$11.42$10.0051.6%14.8%34.4%0.0%51.8%6.3%2.9%174.7K-7.8M-21.0K0.4016.88N/AN/A1506012,6443,237