CYD Options History — July 2007

In July 2007, CYD traded between $9.39 and $12.46. ATM implied volatility averaged 53.8%, placing in the 59.6% IV rank vs the trailing year. The 30-day expected move averaged 15.9%. IV traded above realized volatility by 20.1% (HV 20d: 33.7%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.34.

Notable Days

  • 2007-07-25: Highest Volume — 2,828 contracts
  • 2007-07-12: Largest IV spike — 33.5% change
  • 2007-07-31: Highest IV Rank — 82.3%
  • 2007-07-31: Largest Expected Move — 18.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.55$9.39$12.46$11.76$9.66
Max Pain$8.10$7.50$10.00$10.00$10.00
ATM IV53.8%40.3%64.5%50.0%64.5%
Expected Move15.9%12.7%18.5%14.3%18.5%
HV 20d33.7%21.1%59.4%32.8%57.9%
HV 60d41.9%37.2%49.9%43.0%48.3%
IV Rank59.6%28.2%82.3%37.5%82.3%
IV Percentile62.7%16.2%93.8%25.4%93.8%
Term Structure0.7%-3.8%10.7%6.9%-0.9%
VWIV55.7%42.4%66.7%50.1%64.1%
Skew 25d0.8%-21.0%68.5%1.1%-20.6%
Skew 10d2.1%-37.5%83.4%12.6%-33.7%
Call IV 25d56.0%41.2%75.4%57.3%75.4%
Put IV 25d56.8%36.8%109.7%58.4%54.9%
Bid-Ask Spread %19.4410.5026.0415.3323.39
Gamma HHI0.650.390.820.690.41
Net GEX197.4K72.8K374.8K190.9K86.7K
Net DEX-7.8M-9.7M-2.6M-8.5M-3.3M
Net VEX-19.1K-21.6K-16.7K-20.9K-18.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.001.970.131.97
Total Volume700.9522592,8281,064389
Total OI16,22913,75217,08616,00017,073

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-07-02$11.76$10.0050.0%14.3%32.8%0.0%50.1%1.1%6.9%190.9K-8.5M-20.9K0.1315.33N/AN/A93912512,7113,289
2007-07-03$12.07$10.0047.1%13.5%29.5%0.0%47.0%-6.1%8.5%201.8K-9.5M-20.9K0.0712.45N/AN/A9015912,7913,324
2007-07-05$12.11$10.0044.5%12.7%28.9%37.5%44.3%-2.4%10.7%215.0K-9.6M-21.2K0.2710.50N/AN/A3349113,0993,356
2007-07-06$12.09$7.5047.8%15.8%25.1%45.1%55.7%1.2%-0.2%212.3K-9.6M-21.6K0.0018.49N/AN/A306013,1473,365
2007-07-09$12.00$7.5047.0%15.9%25.4%43.1%60.4%-2.5%-0.3%223.4K-9.3M-20.8K0.0914.78N/AN/A2492213,2953,365
2007-07-10$11.98$7.5048.1%16.0%25.6%45.7%57.5%-2.8%-1.1%222.9K-9.3M-20.9K0.1318.71N/AN/A6578813,4443,386
2007-07-11$11.99$7.5040.3%15.8%25.6%28.2%53.2%68.5%0.4%230.8K-9.0M-20.1K0.1523.50N/AN/A3034513,1603,393
2007-07-12$12.21$7.5053.8%15.4%25.8%58.4%54.2%0.7%0.2%243.1K-9.7M-20.1K0.2412.64N/AN/A3308013,0963,411
2007-07-13$12.21$7.5051.3%14.7%26.0%52.8%54.5%1.6%2.0%251.1K-9.7M-19.7K0.2322.57N/AN/A3678613,1813,486
2007-07-16$12.05$7.5056.7%16.3%26.9%64.9%60.3%-0.4%-2.1%240.8K-9.1M-18.7K0.0720.78N/AN/A3002213,0913,461
2007-07-17$12.04$7.5055.8%16.0%26.9%63.0%56.5%0.5%-2.2%258.6K-9.2M-18.5K0.7514.28N/AN/A18213713,2733,441
2007-07-18$12.02$7.5053.9%15.4%27.0%58.6%53.9%4.0%0.1%231.0K-8.6M-17.9K0.0026.04N/AN/A432013,2573,492
2007-07-19$12.07$7.5055.0%15.8%26.6%61.1%42.4%-4.7%-1.7%250.2K-8.8M-17.6K0.6225.32N/AN/A1609913,1393,492
2007-07-20$12.29$7.5055.4%15.9%26.8%62.0%54.8%-0.7%-2.3%374.8K-9.5M-17.6K0.1724.24N/AN/A2414013,0873,512
2007-07-23$12.46$7.5052.5%15.0%21.1%55.5%52.1%1.6%0.8%172.0K-9.2M-16.7K0.1321.73N/AN/A6949011,0922,660
2007-07-24$12.02$7.5055.9%16.0%24.7%63.2%54.1%3.3%-2.3%165.3K-8.2M-17.7K0.6215.44N/AN/A78848711,3872,714
2007-07-25$10.62$7.5062.3%17.9%50.4%77.5%66.7%-8.5%-3.8%119.7K-4.9M-18.3K0.0916.77N/AN/A2,60122711,9253,083
2007-07-26$9.83$7.5061.4%17.6%56.7%75.5%61.5%6.1%1.2%96.6K-3.7M-17.5K0.6522.27N/AN/A75449112,5723,212
2007-07-27$9.39$7.5063.7%18.3%58.0%80.6%63.8%-21.0%1.3%72.8K-2.6M-17.2K0.3825.84N/AN/A84732212,8793,582
2007-07-30$9.64$10.0062.3%17.9%59.4%77.5%62.3%-1.8%-0.5%85.9K-3.3M-18.2K0.3423.21N/AN/A32511013,3453,741
2007-07-31$9.66$10.0064.5%18.5%57.9%82.3%64.1%-20.6%-0.9%86.7K-3.3M-18.2K1.9723.39N/AN/A13125813,2853,788