CYD Options History — December 2007

In December 2007, CYD traded between $9.40 and $10.85. ATM implied volatility averaged 73.4%, placing in the 55.7% IV rank vs the trailing year. The 30-day expected move averaged 21.2%. IV traded above realized volatility by 14.8% (HV 20d: 58.6%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.86.

Notable Days

  • 2007-12-26: Highest Volume — 1,516 contracts
  • 2007-12-24: Largest IV drop — 10.1% change
  • 2007-12-03: Highest IV Rank — 68.1%
  • 2007-12-03: Largest Expected Move — 24.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.19$9.40$10.85$9.40$9.91
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV73.4%58.8%83.6%83.6%59.2%
Expected Move21.2%16.9%24.0%24.0%17.0%
HV 20d58.6%51.9%67.6%51.9%52.5%
HV 60d69.5%64.4%74.5%71.6%64.7%
IV Rank55.7%37.9%68.1%68.1%38.4%
IV Percentile82.5%52.6%98.3%98.3%53.2%
Term Structure4.9%-1.9%15.2%-1.9%15.2%
VWIV73.5%58.9%85.1%83.8%61.6%
Skew 25d-3.1%-17.2%6.3%-1.3%-13.1%
Skew 10d2.6%-27.0%32.4%-2.9%-21.0%
Call IV 25d75.7%65.0%88.1%85.3%67.3%
Put IV 25d72.6%52.9%84.0%84.0%54.2%
Bid-Ask Spread %25.7413.6238.8425.3013.96
Gamma HHI0.430.340.800.360.44
Net GEX106.4K43.6K316.3K76.2K43.6K
Net DEX-3.0M-5.4M-1.1M-2.3M-1.1M
Net VEX-23.5K-28.3K-20.0K-23.2K-20.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.006.130.310.27
Total Volume372.65801,516222190
Total OI17,942.3514,09819,35118,03215,744

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$9.40$10.0083.6%24.0%51.9%68.1%83.8%-1.3%-1.9%76.2K-2.3M-23.2K0.3125.30N/AN/A1705213,9094,123
2007-12-04$10.32$10.0081.1%23.2%64.5%65.0%85.1%-17.2%3.5%103.1K-4.0M-26.4K0.0717.47N/AN/A7795314,0114,175
2007-12-05$10.85$10.0079.6%22.8%67.6%63.2%79.2%-2.8%1.7%127.4K-5.4M-28.3K0.4622.01N/AN/A26612314,4864,206
2007-12-06$10.84$10.0078.9%22.6%67.5%62.4%66.2%-1.8%2.0%130.7K-5.3M-27.9K0.1118.04N/AN/A72814,5784,149
2007-12-07$10.85$10.0077.9%22.2%60.4%61.2%78.0%3.3%4.7%132.2K-5.3M-27.4K0.3621.06N/AN/A1766414,6354,153
2007-12-10$10.72$10.0075.4%22.3%59.9%58.1%74.9%6.3%3.0%128.5K-4.9M-26.1K3.5336.08N/AN/A11239514,6254,207
2007-12-11$10.24$10.0076.4%22.7%59.5%59.4%78.4%0.1%1.9%111.8K-3.6M-25.5K0.1638.84N/AN/A3425514,6944,547
2007-12-12$10.34$10.0075.2%22.5%59.3%57.8%79.1%2.9%3.0%110.1K-3.7M-25.5K0.1636.60N/AN/A3455614,7184,554
2007-12-13$10.35$10.0079.2%22.7%58.4%62.7%75.6%4.3%1.9%108.7K-3.2M-24.5K1.2530.41N/AN/A8310414,5224,588
2007-12-14$10.25$10.0076.5%21.9%57.7%59.4%77.8%0.6%4.0%106.6K-3.3M-24.6K0.8925.97N/AN/A454014,4994,667
2007-12-17$9.72$10.0077.1%22.1%60.6%60.2%76.9%-3.3%0.9%90.8K-2.1M-22.2K0.8027.63N/AN/A887014,4994,648
2007-12-18$9.92$10.0075.5%21.6%60.1%58.3%76.4%0.8%4.5%95.6K-2.4M-22.0K0.3330.96N/AN/A2859414,4864,618
2007-12-19$10.00$10.0076.5%21.9%59.0%59.4%74.8%6.0%1.8%112.9K-2.5M-22.0K0.1928.10N/AN/A1913714,5854,691
2007-12-20$10.00$10.0074.5%21.3%56.1%57.0%74.9%3.4%2.0%133.3K-2.5M-21.7K0.2529.77N/AN/A1864614,6434,708
2007-12-21$10.05$10.0072.1%20.7%56.0%54.1%75.9%4.2%4.5%316.3K-2.5M-21.1K0.0713.62N/AN/A5824114,5164,702
2007-12-24$9.98$10.0064.8%18.6%56.2%45.2%66.0%-15.0%9.8%48.9K-1.6M-20.2K0.0024.17N/AN/A9109,7654,333
2007-12-26$10.23$10.0063.1%18.1%56.6%43.2%63.8%-8.1%10.9%54.0K-1.9M-20.3K0.8230.18N/AN/A8356819,8354,333
2007-12-27$9.87$10.0062.7%18.0%54.2%42.7%62.9%-14.1%12.4%49.2K-1.4M-20.4K6.1326.02N/AN/A3923910,4044,822
2007-12-28$10.00$10.0058.8%16.9%53.2%37.9%58.9%-17.0%12.8%48.2K-1.4M-21.5K1.1418.51N/AN/A19522310,4105,059
2007-12-31$9.91$10.0059.2%17.0%52.5%38.4%61.6%-13.1%15.2%43.6K-1.1M-20.0K0.2713.96N/AN/A1504010,5395,205