CYD Options History — May 2008

In May 2008, CYD traded between $9.13 and $11.89. ATM implied volatility averaged 46.2%, placing in the 18.0% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded below realized volatility by 0.2% (HV 20d: 46.4%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.30.

Notable Days

  • 2008-05-19: Highest Volume — 2,795 contracts
  • 2008-05-14: Largest IV spike — 33.3% change
  • 2008-05-14: Highest IV Rank — 35.9%
  • 2008-05-15: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.51$9.13$11.89$9.57$11.25
Max Pain$8.33$7.50$10.00$10.00$10.00
ATM IV46.2%34.3%60.1%44.0%45.1%
Expected Move13.5%12.2%15.3%12.6%12.9%
HV 20d46.4%32.2%53.9%50.8%51.9%
HV 60d50.6%47.5%53.8%48.7%52.2%
IV Rank18.0%2.6%35.9%15.1%16.6%
IV Percentile8.3%0.4%41.7%2.4%7.1%
Term Structure3.2%-9.5%10.4%10.4%-9.5%
VWIV49.2%39.6%72.6%44.1%57.7%
Skew 25d-2.3%-23.8%9.8%0.2%-23.8%
Skew 10d2.0%-27.9%22.1%1.3%-5.8%
Call IV 25d45.9%38.1%54.0%43.7%54.0%
Put IV 25d43.7%30.2%55.4%43.9%30.2%
Bid-Ask Spread %35.9218.0853.2219.3251.16
Gamma HHI0.390.310.490.430.34
Net GEX12.6K-31.2K54.2K2.0K27.0K
Net DEX-1.7M-5.9M1.6M450.6K-3.5M
Net VEX-32.5K-36.3K-29.1K-30.3K-36.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.0010.660.030.02
Total Volume829.286602,795320268
Total OI23,786.33320,29326,99222,98023,226

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-05-01$9.57$10.0044.0%12.6%50.8%15.1%44.1%0.2%10.4%2.0K450.6K-30.3K0.0319.32N/AN/A310108,95814,022
2008-05-02$9.45$10.0045.1%12.9%50.8%16.5%45.5%2.0%8.4%-1.5K632.3K-30.4K2.8618.08N/AN/A351009,15514,012
2008-05-05$9.18$7.5044.6%15.3%48.5%15.9%53.2%5.5%2.6%-14.1K1.2M-29.7K1.2753.22N/AN/A2393049,19014,075
2008-05-06$9.25$7.5043.7%14.2%48.3%14.7%59.3%-13.2%-0.6%-13.6K1.3M-29.1K7.0144.39N/AN/A2872,0119,28914,315
2008-05-07$9.13$7.5045.7%14.4%46.7%17.3%0.0%-15.7%1.1%-26.8K1.6M-32.7K0.0249.20N/AN/A23149,43216,290
2008-05-08$9.20$7.5048.4%13.5%35.3%20.7%0.0%-16.3%5.8%-31.2K1.6M-33.1K0.2021.57N/AN/A50109,48816,290
2008-05-09$9.38$7.5045.4%13.6%32.2%16.9%43.5%-3.8%3.0%-15.0K1.3M-32.6K0.0022.22N/AN/A9209,50616,290
2008-05-12$9.63$7.5034.3%13.1%33.3%2.6%45.9%-0.6%6.8%24.3K970.0K-31.7K0.7923.46N/AN/A2562019,57616,290
2008-05-13$9.68$7.5045.1%12.2%33.3%16.5%50.1%-11.4%7.2%20.0K348.7K-31.5K0.0030.92N/AN/A14609,70816,310
2008-05-14$10.01$7.5060.1%14.2%34.3%35.9%39.6%3.9%3.1%54.2K-1.1M-30.7K0.1443.40N/AN/A1,9802739,79416,310
2008-05-15$10.77$7.5053.5%15.3%42.4%27.3%52.3%3.1%1.0%11.1K-3.9M-31.1K0.3533.77N/AN/A1,22142610,59416,170
2008-05-16$11.89$7.5047.2%13.5%53.6%19.2%55.1%9.4%5.5%4.4K-5.9M-29.2K0.0452.46N/AN/A1,3535910,77216,220
2008-05-19$11.60$7.5042.5%12.2%53.9%13.1%40.6%9.8%2.6%14.9K-3.9M-29.7K0.1825.16N/AN/A2,3594367,20713,086
2008-05-20$11.65$7.5043.1%12.4%53.9%13.9%44.1%6.1%5.1%32.3K-4.0M-34.0K10.6631.57N/AN/A1571,6738,57013,431
2008-05-21$11.56$7.5049.3%14.1%52.7%22.0%49.4%-11.8%1.9%28.7K-3.7M-35.2K0.3537.85N/AN/A2861008,63613,004
2008-05-22$11.64$7.5044.5%12.8%51.5%15.8%44.6%6.7%4.5%32.1K-3.9M-36.0K1.1032.15N/AN/A1421568,80112,913
2008-05-23$11.45$10.0046.0%13.2%52.3%17.7%43.5%3.1%3.9%28.0K-3.6M-35.6K0.0337.21N/AN/A15048,78113,063
2008-05-27$11.26$10.0049.5%14.2%49.5%22.2%47.7%-1.3%-0.0%26.6K-3.2M-34.5K0.1842.45N/AN/A254468,79613,065
2008-05-28$11.57$10.0046.7%13.4%49.9%18.5%72.6%9.0%2.3%30.9K-4.0M-33.8K2.1232.96N/AN/A3958378,89513,095
2008-05-29$11.60$10.0046.6%13.4%49.9%18.4%46.8%-9.1%2.0%30.2K-4.0M-35.1K0.0151.91N/AN/A54779,13113,757
2008-05-30$11.25$10.0045.1%12.9%51.9%16.6%57.7%-23.8%-9.5%27.0K-3.5M-36.3K0.0251.16N/AN/A26269,47213,754