CYD Options History — January 2008

In January 2008, CYD traded between $7.30 and $9.67. ATM implied volatility averaged 77.5%, placing in the 60.7% IV rank vs the trailing year. The 30-day expected move averaged 22.8%. IV traded above realized volatility by 33.8% (HV 20d: 43.7%). 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 10 of 21 days. Put/call ratio averaged 0.91.

Notable Days

  • 2008-01-22: Highest Volume — 713 contracts
  • 2008-01-08: Largest IV spike — 40.0% change
  • 2008-01-22: Highest IV Rank — 86.6%
  • 2008-01-22: Largest Expected Move — 28.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.52$7.30$9.67$9.67$8.11
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV77.5%55.0%98.8%63.3%86.9%
Expected Move22.8%16.9%28.3%18.1%24.9%
HV 20d43.7%34.2%57.8%51.2%57.7%
HV 60d60.4%52.9%64.9%64.5%54.1%
IV Rank60.7%33.3%86.6%43.4%72.1%
IV Percentile83.3%38.1%99.6%68.1%96.8%
Term Structure-0.8%-14.4%15.7%10.1%-1.6%
VWIV80.6%59.4%104.1%63.3%85.9%
Skew 25d-2.2%-17.8%9.8%-17.8%2.5%
Skew 10d0.3%-29.4%43.7%-29.4%-0.9%
Call IV 25d82.1%70.4%103.5%73.0%81.9%
Put IV 25d79.9%55.2%111.3%55.2%84.5%
Bid-Ask Spread %17.3511.8125.1915.9511.81
Gamma HHI0.490.380.660.430.66
Net GEX27.5K13.7K41.0K38.6K25.7K
Net DEX813.0K-826.4K1.7M-673.3K1.2M
Net VEX-14.2K-19.4K-10.3K-19.4K-12.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.004.570.130.15
Total Volume323.90567713128100
Total OI16,700.42915,81317,90015,81317,428

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-01-02$9.67$10.0063.3%18.1%51.2%43.4%63.3%-17.8%10.1%38.6K-673.3K-19.4K0.1315.95N/AN/A1131510,5705,243
2008-01-03$9.65$10.0058.9%16.9%37.9%38.1%59.4%2.3%15.7%41.0K-826.4K-19.2K0.0212.98N/AN/A226510,6765,258
2008-01-04$9.28$10.0058.5%21.3%34.3%37.6%72.9%4.0%-0.1%35.6K-92.1K-17.9K0.3315.90N/AN/A1103610,8185,263
2008-01-07$9.01$10.0055.0%21.2%35.0%33.3%73.1%2.9%1.3%31.1K363.1K-15.9K0.1925.19N/AN/A1082010,8225,274
2008-01-08$9.03$10.0077.1%21.1%35.1%60.1%73.3%-3.3%0.0%30.6K537.0K-15.6K3.8219.98N/AN/A3413010,7985,279
2008-01-09$8.89$10.0060.0%21.3%35.1%39.4%78.0%-0.8%0.5%27.6K677.5K-15.2K0.2017.44N/AN/A2264510,7965,336
2008-01-10$9.13$10.0071.5%20.5%34.6%53.3%71.3%1.8%2.5%32.1K338.9K-15.9K0.0018.26N/AN/A280010,8775,321
2008-01-11$9.00$10.0072.2%20.7%34.2%54.3%83.1%-3.2%1.5%33.0K550.3K-15.3K0.2921.75N/AN/A692011,0665,321
2008-01-14$9.11$10.0071.2%20.4%34.8%53.1%70.9%-2.8%1.9%33.9K703.3K-14.5K0.8619.22N/AN/A16714311,1125,331
2008-01-15$8.50$10.0081.2%23.3%41.3%65.1%78.3%9.8%-4.1%24.7K1.3M-12.7K1.1818.62N/AN/A28633711,2605,431
2008-01-16$8.55$10.0080.4%23.0%38.3%64.2%83.8%-3.1%-3.0%26.3K992.4K-14.2K1.7012.47N/AN/A25042411,4055,530
2008-01-17$8.05$10.0082.3%23.6%41.4%66.5%82.3%-6.7%-4.2%17.0K1.7M-12.6K0.0714.77N/AN/A6034511,6275,900
2008-01-18$7.98$10.0076.9%22.0%40.8%59.9%74.4%-6.9%0.1%20.9K1.5M-12.7K0.3519.13N/AN/A29110212,0415,859
2008-01-22$7.55$10.0098.8%28.3%43.4%86.6%104.1%7.8%-14.4%16.6K1.6M-11.7K4.5719.87N/AN/A12858511,0425,649
2008-01-23$7.30$10.0092.3%26.5%43.3%78.8%93.4%-17.7%-6.8%13.7K1.7M-10.3K0.0713.52N/AN/A5584111,1055,387
2008-01-24$7.89$10.0091.9%26.3%54.6%78.2%91.1%-0.9%-5.9%23.4K1.2M-12.3K0.1615.96N/AN/A4176611,5035,318
2008-01-25$7.81$10.0083.3%23.9%52.9%67.7%88.4%-7.9%1.0%22.1K1.3M-12.0K0.2913.42N/AN/A2066011,7095,384
2008-01-28$8.27$10.0089.7%25.7%57.8%75.5%86.9%-1.5%-0.4%29.3K905.2K-13.1K0.1117.89N/AN/A2623011,7675,424
2008-01-29$8.18$10.0089.8%25.7%57.2%75.6%88.6%-0.3%-8.6%29.4K935.6K-13.1K0.1818.44N/AN/A571011,9435,440
2008-01-30$8.00$10.0086.2%24.7%57.4%71.3%90.8%-4.1%-1.4%25.1K1.2M-12.0K4.4721.70N/AN/A3616111,9465,450
2008-01-31$8.11$10.0086.9%24.9%57.7%72.1%85.9%2.5%-1.6%25.7K1.2M-12.0K0.1511.81N/AN/A871311,9775,451