CYD Options History — November 2007

In November 2007, CYD traded between $9.20 and $13.12. ATM implied volatility averaged 81.0%, placing in the 76.2% IV rank vs the trailing year. The 30-day expected move averaged 23.1%. IV traded above realized volatility by 6.6% (HV 20d: 74.4%). 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 7 of 21 days. Put/call ratio averaged 0.30.

Notable Days

  • 2007-11-16: Highest Volume — 1,644 contracts
  • 2007-11-14: Largest IV drop — 37.7% change
  • 2007-11-09: Highest IV Rank — 100.0%
  • 2007-11-09: Largest Expected Move — 24.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.71$9.20$13.12$13.06$9.78
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV81.0%68.4%109.8%72.0%74.3%
Expected Move23.1%20.0%24.8%20.7%21.3%
HV 20d74.4%49.4%88.9%80.3%51.7%
HV 60d70.8%68.7%73.8%73.8%71.2%
IV Rank76.2%49.5%100.0%82.6%56.8%
IV Percentile96.3%83.1%100.0%91.4%90.0%
Term Structure-0.8%-5.8%6.4%0.7%3.7%
VWIV82.3%62.6%89.1%77.2%76.5%
Skew 25d-1.1%-25.7%8.1%0.1%1.5%
Skew 10d-2.6%-40.5%21.3%0.6%3.9%
Call IV 25d83.8%74.5%91.5%80.0%80.1%
Put IV 25d82.7%62.0%90.5%80.1%81.6%
Bid-Ask Spread %22.8910.4330.2527.1724.61
Gamma HHI0.380.340.480.370.37
Net GEX120.4K66.1K171.5K157.6K84.1K
Net DEX-6.2M-13.1M-2.2M-12.8M-2.8M
Net VEX-26.7K-31.5K-22.6K-29.7K-24.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.011.470.050.08
Total Volume820.4291561,644827394
Total OI18,99914,69921,89919,01817,670

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-11-01$13.06$10.0072.0%20.7%80.3%82.6%77.2%0.1%0.7%157.6K-12.8M-29.7K0.0527.17N/AN/A7893815,2343,784
2007-11-02$13.12$10.0069.8%20.0%80.0%78.5%62.6%-9.3%6.4%166.5K-13.1M-29.6K0.4216.00N/AN/A82434915,4923,808
2007-11-05$12.70$10.0073.5%21.7%80.9%85.4%75.7%-20.3%-2.5%163.3K-12.2M-29.5K0.0710.43N/AN/A1,2899315,7714,147
2007-11-06$12.37$10.0079.7%22.5%81.8%96.8%78.9%0.8%-1.3%166.9K-11.4M-30.6K0.5920.75N/AN/A77845716,2194,153
2007-11-07$12.16$10.0080.0%23.5%82.1%97.5%80.8%-25.7%-2.9%171.5K-10.9M-31.5K0.0225.75N/AN/A9561916,5434,553
2007-11-08$11.15$10.0081.2%24.7%87.9%99.7%88.6%2.2%-1.6%145.8K-7.5M-29.6K0.2318.91N/AN/A1,06324816,3854,565
2007-11-09$11.40$10.0089.4%24.8%87.0%100.0%86.8%-0.5%-5.8%161.8K-8.5M-31.2K0.1823.03N/AN/A1,03218717,0324,774
2007-11-12$10.85$10.0090.2%24.7%88.1%100.0%89.1%-1.9%-2.3%144.9K-6.7M-28.9K0.8623.57N/AN/A21618616,9604,720
2007-11-13$11.02$10.00109.8%24.6%87.5%100.0%89.1%-4.9%-3.3%150.0K-7.2M-29.2K0.0226.14N/AN/A6951716,9414,748
2007-11-14$10.68$10.0068.4%22.9%88.4%49.5%82.7%-3.1%-0.6%136.4K-6.1M-27.9K0.0120.50N/AN/A1,1571017,1464,753
2007-11-15$10.40$10.0079.2%22.7%88.9%62.8%81.3%3.4%0.8%142.9K-5.6M-25.8K0.1123.90N/AN/A6887516,8894,749
2007-11-16$10.32$10.0079.8%22.9%84.9%63.5%80.4%1.8%0.3%153.9K-5.6M-25.4K0.0824.67N/AN/A1,52711716,8044,657
2007-11-19$9.99$10.0080.5%23.1%85.2%64.3%84.7%-0.9%-1.0%75.0K-3.2M-24.2K0.2628.18N/AN/A63616711,5713,128
2007-11-20$9.68$10.0081.4%23.3%85.6%65.4%84.8%4.0%-2.0%73.7K-2.8M-23.7K0.1230.25N/AN/A5336612,0873,280
2007-11-21$9.23$10.0080.7%23.1%59.2%64.6%86.2%5.8%0.6%66.1K-2.3M-22.6K0.7423.91N/AN/A50537612,4793,336
2007-11-23$9.20$10.0084.9%24.3%54.2%69.7%87.7%4.1%-2.6%66.3K-2.3M-23.4K0.2213.51N/AN/A1443112,7973,696
2007-11-26$9.21$10.0081.9%23.5%54.4%66.0%86.5%1.9%-1.0%67.6K-2.2M-22.7K0.3425.54N/AN/A36912612,8973,726
2007-11-27$9.20$10.0082.9%23.8%49.4%67.3%86.3%2.6%-1.3%71.6K-2.2M-23.2K0.2519.67N/AN/A40810113,0693,820
2007-11-28$9.79$10.0081.3%23.3%53.1%65.3%81.8%8.1%-1.1%83.6K-3.0M-24.8K0.0724.56N/AN/A1461013,3203,920
2007-11-29$9.51$10.0079.8%22.9%51.1%63.5%80.0%7.8%0.1%78.5K-2.6M-23.6K1.4729.63N/AN/A16524213,4403,916
2007-11-30$9.78$10.0074.3%21.3%51.7%56.8%76.5%1.5%3.7%84.1K-2.8M-24.5K0.0824.61N/AN/A3643013,5774,093