CYD Options History — April 2008

In April 2008, CYD traded between $8.51 and $10.09. ATM implied volatility averaged 52.9%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded below realized volatility by 1.2% (HV 20d: 54.0%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.44.

Notable Days

  • 2008-04-21: Highest Volume — 3,081 contracts
  • 2008-04-07: Largest IV spike — 64.4% change
  • 2008-04-14: Highest IV Rank — 40.0%
  • 2008-04-14: Largest Expected Move — 18.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.35$8.51$10.09$8.64$9.41
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV52.9%32.3%63.3%48.4%46.9%
Expected Move15.6%9.3%18.2%13.9%13.5%
HV 20d54.0%49.7%62.9%54.9%51.5%
HV 60d54.3%51.5%58.3%54.9%52.0%
IV Rank26.3%0.0%40.0%17.7%18.9%
IV Percentile20.5%0.0%54.0%6.7%4.0%
Term Structure0.7%-16.5%21.7%-1.8%7.0%
VWIV55.1%46.5%63.3%61.9%47.2%
Skew 25d1.2%-8.2%12.6%2.6%-0.4%
Skew 10d7.0%-5.3%24.9%19.1%2.0%
Call IV 25d48.2%41.7%54.8%54.8%46.4%
Put IV 25d49.4%40.4%62.1%57.4%46.0%
Bid-Ask Spread %19.728.4150.2326.0018.98
Gamma HHI0.440.380.530.530.45
Net GEX-446-23.7K31.1K-23.7K-10.0K
Net DEX324.8K-985.9K1.3M1.3M748.5K
Net VEX-23.8K-30.4K-17.5K-17.5K-30.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.440.0010.450.010.00
Total Volume656.591513,0818582
Total OI19,003.86415,04922,91915,04922,919

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-04-01$8.64$10.0048.4%13.9%54.9%17.7%61.9%2.6%-1.8%-23.7K1.3M-17.5K0.0126.00N/AN/A8416,3808,669
2008-04-02$8.51$10.0057.6%16.5%54.3%30.0%49.4%6.1%-16.5%-22.7K1.3M-17.5K0.278.41N/AN/A208566,4578,669
2008-04-03$8.77$10.0032.3%9.3%54.1%0.0%0.0%10.2%21.7%-20.2K1.1M-17.8K4.559.42N/AN/A1034696,5798,669
2008-04-04$8.94$10.0034.6%16.0%53.2%3.0%59.8%12.6%-1.3%-15.7K963.2K-18.4K0.6622.88N/AN/A129856,6828,908
2008-04-07$9.42$10.0056.9%15.4%56.7%31.7%52.1%-3.2%1.9%-956170.8K-18.6K2.6111.26N/AN/A3078026,7938,953
2008-04-08$9.27$10.0045.1%16.0%52.6%16.5%0.0%-0.9%1.4%-242414.2K-19.8K0.0032.14N/AN/A11307,0319,753
2008-04-09$8.95$10.0052.6%16.1%52.4%26.2%56.3%4.4%-0.5%-13.7K1.0M-19.8K0.0023.60N/AN/A62917,1349,753
2008-04-10$9.73$10.0057.3%16.4%60.3%32.3%54.2%3.3%0.3%25.5K-494.2K-20.9K1.0750.23N/AN/A9721,0437,4039,754
2008-04-11$9.29$10.0061.6%17.7%62.9%37.8%60.8%-7.6%-4.3%7.8K329.5K-24.0K1.3811.09N/AN/A4215828,15010,754
2008-04-14$9.23$10.0063.3%18.2%62.6%40.0%63.3%-8.2%-3.3%3.3K417.8K-24.9K5.9632.09N/AN/A533168,48011,250
2008-04-15$9.24$10.0056.2%16.1%59.2%30.8%56.0%-4.4%3.4%-1.7K582.8K-24.9K0.0431.97N/AN/A452208,48411,566
2008-04-16$9.46$10.0058.3%16.7%57.3%33.5%46.5%1.6%0.5%9.5K203.4K-25.1K0.0634.09N/AN/A349208,31011,586
2008-04-17$9.45$10.0056.4%16.2%51.0%31.1%0.0%-2.5%2.5%13.1K159.1K-25.1K0.0214.59N/AN/A5018,62511,606
2008-04-18$9.60$10.0054.9%15.7%50.8%29.1%51.7%0.7%3.1%31.1K-115.5K-25.3K0.2612.47N/AN/A3861008,66811,605
2008-04-21$9.98$10.0056.4%16.2%50.2%31.2%55.6%4.8%0.9%4.7K-678.0K-24.1K1.259.27N/AN/A1,3711,7107,61011,404
2008-04-22$10.09$10.0059.5%17.0%49.7%35.1%59.3%11.0%-2.3%6.4K-985.9K-23.5K2.6113.66N/AN/A2466417,61011,404
2008-04-23$9.82$10.0055.2%15.8%49.7%29.5%55.2%4.3%-0.1%8.2K-574.2K-29.9K0.0910.54N/AN/A381358,80913,205
2008-04-24$9.61$10.0057.0%16.3%50.3%31.9%56.8%0.3%-1.5%4.0K-166.3K-30.2K0.049.78N/AN/A545239,03113,236
2008-04-25$9.67$10.0051.9%14.9%50.1%25.4%52.0%2.1%2.4%2.1K-144.7K-29.4K0.0012.81N/AN/A8308,81413,249
2008-04-28$9.25$10.0052.1%14.9%52.8%25.5%53.8%-6.1%0.3%-8.9K799.2K-28.7K0.3017.55N/AN/A332998,86213,249
2008-04-29$9.36$10.0048.4%13.9%52.0%20.7%0.0%-4.2%2.6%-7.8K750.9K-28.1K10.4521.04N/AN/A1001,0458,81513,197
2008-04-30$9.41$10.0046.9%13.5%51.5%18.9%47.2%-0.4%7.0%-10.0K748.5K-30.4K0.0018.98N/AN/A8208,89714,022