CYD Options History — August 2007

In August 2007, CYD traded between $7.43 and $9.59. ATM implied volatility averaged 61.9%, placing in the 70.8% IV rank vs the trailing year. The 30-day expected move averaged 18.7%. IV traded below realized volatility by 8.2% (HV 20d: 70.1%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 0.82.

Notable Days

  • 2007-08-10: Highest Volume — 1,571 contracts
  • 2007-08-13: Largest IV spike — 42.1% change
  • 2007-08-06: Highest IV Rank — 100.0%
  • 2007-08-07: Largest Expected Move — 22.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.29$7.43$9.59$9.45$8.09
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV61.9%48.6%77.7%62.0%57.9%
Expected Move18.7%16.3%22.7%17.8%16.6%
HV 20d70.1%56.4%81.6%56.4%65.5%
HV 60d53.3%47.4%56.9%47.4%56.0%
IV Rank70.8%45.3%100.0%76.9%60.5%
IV Percentile79.6%30.0%100.0%90.3%71.3%
Term Structure2.4%-4.6%8.5%0.7%5.0%
VWIV64.7%45.2%77.2%63.2%66.9%
Skew 25d-2.4%-17.0%14.9%2.3%-6.1%
Skew 10d1.2%-20.8%30.8%-3.5%-5.1%
Call IV 25d66.8%55.7%78.5%63.9%64.5%
Put IV 25d64.4%53.5%78.9%66.2%58.4%
Bid-Ask Spread %25.669.5745.0642.4614.28
Gamma HHI0.320.240.420.400.31
Net GEX28.2K10.8K75.5K72.4K19.5K
Net DEX-487.9K-2.9M802.4K-2.6M-278.3K
Net VEX-12.3K-17.6K-9.9K-17.6K-10.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.044.180.970.19
Total Volume405.739331,57165125
Total OI14,433.8269,57618,16617,26710,386

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-08-01$9.45$10.0062.0%17.8%56.4%76.9%63.2%2.3%0.7%72.4K-2.6M-17.6K0.9742.46N/AN/A333213,2873,980
2007-08-02$9.59$10.0058.2%16.7%57.0%68.3%58.2%-2.8%4.9%75.5K-2.9M-17.6K0.1314.60N/AN/A2723413,2964,001
2007-08-03$8.82$10.0059.6%17.1%62.3%71.3%47.9%-14.6%4.7%51.0K-1.5M-15.4K2.4543.76N/AN/A28970813,2564,023
2007-08-06$8.87$10.0073.8%21.0%62.7%100.0%74.3%-2.1%-2.3%42.7K-1.1M-15.4K0.6229.10N/AN/A45327913,0144,545
2007-08-07$8.65$10.0057.9%22.7%62.6%65.5%75.5%14.9%-4.6%32.3K-679.7K-14.2K0.3745.06N/AN/A873212,9894,573
2007-08-08$8.63$10.0048.6%19.4%62.4%45.3%69.9%-6.1%2.7%27.9K-476.7K-13.0K0.0630.62N/AN/A3632312,9844,576
2007-08-09$7.91$10.0060.7%20.3%65.8%71.6%71.5%-2.0%0.5%21.1K216.2K-11.9K0.2718.98N/AN/A38210313,2344,599
2007-08-10$8.55$10.0050.8%20.0%74.4%50.1%69.1%4.6%-0.9%25.5K-341.7K-13.0K0.1243.36N/AN/A1,40117013,1824,638
2007-08-13$8.50$10.0072.2%21.9%74.5%96.6%77.2%5.3%-2.8%34.4K-499.3K-13.5K0.0441.94N/AN/A6262413,3224,704
2007-08-14$7.90$10.0077.7%20.8%76.8%100.0%45.2%-3.3%0.9%21.7K233.8K-12.0K2.4825.87N/AN/A18946913,4624,704
2007-08-15$7.82$10.0063.1%21.3%76.6%70.9%73.9%-3.2%-0.3%14.1K253.4K-11.7K0.2320.62N/AN/A2315413,4294,586
2007-08-16$7.43$10.0072.7%20.8%76.6%90.0%72.9%-2.1%2.4%10.8K802.4K-10.0K0.2428.74N/AN/A54513013,4194,431
2007-08-17$7.50$10.0069.3%19.9%76.0%83.3%69.6%-17.0%1.9%14.1K597.8K-10.4K0.3718.33N/AN/A31311613,4454,360
2007-08-20$7.97$10.0064.3%18.4%80.9%73.3%62.6%-4.3%0.9%17.9K-260.3K-10.9K0.0720.84N/AN/A535386,8432,733
2007-08-21$8.06$10.0062.7%18.0%81.6%70.1%62.1%1.7%3.2%21.4K-342.5K-11.1K0.4324.13N/AN/A185807,1282,761
2007-08-22$8.38$10.0061.4%17.6%74.2%67.4%62.1%1.5%3.0%25.3K-573.9K-11.4K0.1319.04N/AN/A328437,2062,786
2007-08-23$8.00$10.0056.8%16.3%71.3%58.3%58.0%-2.6%8.5%20.6K-257.9K-10.7K0.469.57N/AN/A150697,4762,829
2007-08-24$8.25$10.0058.1%16.7%71.5%60.8%56.9%2.4%5.6%24.2K-449.1K-11.5K3.4816.69N/AN/A21737,5292,868
2007-08-27$8.29$10.0060.9%17.4%70.6%66.3%60.5%-1.3%3.7%23.3K-470.2K-11.2K4.1824.33N/AN/A331387,3412,925
2007-08-28$8.00$10.0059.9%17.2%71.1%64.3%59.9%-6.6%7.1%18.0K-187.8K-10.4K1.0625.22N/AN/A16177,3623,018
2007-08-29$8.10$10.0057.2%16.4%71.4%59.0%65.2%-5.9%5.4%18.5K-217.8K-10.3K0.2215.93N/AN/A51117,3683,020
2007-08-30$7.99$10.0057.5%16.5%70.9%59.6%0.0%-7.0%4.8%17.8K-213.9K-9.9K0.2016.63N/AN/A51107,3682,992
2007-08-31$8.09$10.0057.9%16.6%65.5%60.5%66.9%-6.1%5.0%19.5K-278.3K-10.1K0.1914.28N/AN/A105207,3972,989