CYD Options History — March 2008

In March 2008, CYD traded between $8.27 and $9.83. ATM implied volatility averaged 59.2%, placing in the 32.2% IV rank vs the trailing year. The 30-day expected move averaged 17.7%. IV traded above realized volatility by 8.4% (HV 20d: 50.8%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 4.39.

Notable Days

  • 2008-03-03: Highest Volume — 1,992 contracts
  • 2008-03-12: Largest IV spike — 28.4% change
  • 2008-03-25: Highest IV Rank — 45.1%
  • 2008-03-25: Largest Expected Move — 19.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.89$8.27$9.83$9.32$8.38
Max Pain$8.13$7.50$10.00$10.00$10.00
ATM IV59.2%44.2%68.8%53.0%61.2%
Expected Move17.7%14.7%19.7%15.2%17.5%
HV 20d50.8%37.9%59.2%51.6%59.2%
HV 60d52.1%49.1%54.8%50.0%54.5%
IV Rank32.2%12.1%45.1%24.0%34.9%
IV Percentile40.4%7.1%65.9%21.0%45.2%
Term Structure1.8%-11.1%13.0%9.4%-1.3%
VWIV60.6%51.7%70.0%52.3%58.7%
Skew 25d7.8%-3.3%19.3%0.0%3.6%
Skew 10d15.7%-4.8%38.4%2.4%11.8%
Call IV 25d57.0%38.5%64.7%52.5%56.3%
Put IV 25d64.8%52.5%73.9%52.5%59.9%
Bid-Ask Spread %26.2214.9742.7342.7330.03
Gamma HHI0.430.350.550.410.55
Net GEX-4.5K-25.6K13.4K2.9K-25.6K
Net DEX546.8K-889.5K1.7M188.9K1.7M
Net VEX-19.6K-21.8K-17.2K-17.2K-17.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.390.0050.001.600.34
Total Volume415.1351,9921,992121
Total OI15,005.1512,07016,34112,07015,021

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$9.32$10.0053.0%15.2%51.6%24.0%52.3%0.0%9.4%2.9K188.9K-17.2K1.6042.73N/AN/A7661,2265,3996,671
2008-03-04$9.52$10.0053.8%15.4%50.9%25.0%53.9%7.5%10.1%2.0K-270.0K-19.5K0.0314.97N/AN/A718246,0087,787
2008-03-05$9.83$10.0058.1%16.7%37.9%30.7%58.1%2.7%6.5%10.3K-889.5K-20.7K0.4415.22N/AN/A1,0194496,4997,809
2008-03-06$9.45$10.0051.2%14.7%38.4%21.5%51.7%3.2%13.0%13.4K-581.2K-21.8K0.1117.25N/AN/A107127,1707,827
2008-03-07$9.39$7.5053.5%18.9%38.7%24.6%0.0%3.1%1.1%11.9K-405.4K-21.5K11.4033.51N/AN/A252857,1417,822
2008-03-10$8.85$7.5052.1%19.1%45.7%22.8%70.0%11.7%-0.2%2.6K418.9K-20.3K0.6941.55N/AN/A78547,1468,083
2008-03-11$9.19$7.5044.2%18.0%46.4%12.1%62.6%16.1%1.7%7.9K13.9K-20.4K50.0023.11N/AN/A52507,1428,063
2008-03-12$9.11$7.5056.8%18.4%45.7%29.0%64.3%14.2%1.0%8.3K-101.4K-20.5K0.0040.31N/AN/A12007,1478,250
2008-03-13$9.12$7.5064.6%18.5%44.5%39.5%65.1%14.1%0.9%8.0K70.9K-20.4K2.7824.76N/AN/A651817,2248,250
2008-03-14$8.96$7.5063.6%18.2%45.2%38.1%0.0%12.5%2.1%4.6K262.3K-20.5K0.2225.78N/AN/A45107,2848,382
2008-03-17$8.50$7.5068.0%19.5%49.4%44.0%67.0%15.3%2.4%-6.8K949.5K-18.7K1.4726.64N/AN/A2413547,3008,372
2008-03-18$8.93$7.5063.6%18.2%52.2%38.1%66.6%15.6%-0.0%-5.5K606.5K-20.3K5.6917.78N/AN/A321827,3808,693
2008-03-19$8.35$7.5066.1%19.0%58.0%41.5%66.1%6.9%-2.1%-8.9K1.2M-19.3K3.3223.02N/AN/A1464857,3918,849
2008-03-20$8.27$7.5065.2%18.7%58.0%40.3%0.0%0.9%-1.6%-18.3K1.5M-19.0K3.6025.11N/AN/A1274577,3309,011
2008-03-24$8.65$7.5063.9%18.3%59.2%38.5%56.4%5.0%-6.9%-18.6K1.2M-19.2K0.3822.45N/AN/A192726,2778,388
2008-03-25$8.55$7.5068.8%19.7%57.7%45.1%57.1%10.8%-11.1%-16.6K1.0M-18.8K1.0721.87N/AN/A54586,2418,439
2008-03-26$8.32$7.5058.8%16.9%58.3%31.7%58.2%19.3%3.6%-21.6K1.5M-18.3K0.7519.93N/AN/A20156,2598,443
2008-03-27$8.55$7.5058.5%16.8%59.1%31.3%58.9%-3.3%5.7%-20.2K1.3M-18.6K1.5928.86N/AN/A631006,2678,458
2008-03-28$8.51$7.5058.4%16.7%59.1%31.2%63.9%-2.7%1.5%-20.8K1.3M-18.4K2.2729.52N/AN/A441006,3228,558
2008-03-31$8.38$10.0061.2%17.5%59.2%34.9%58.7%3.6%-1.3%-25.6K1.7M-17.9K0.3430.03N/AN/A90316,3638,658