CYD Options History — June 2008

In June 2008, CYD traded between $9.95 and $11.55. ATM implied volatility averaged 49.7%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded above realized volatility by 1.4% (HV 20d: 48.3%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.38.

Notable Days

  • 2008-06-27: Highest Volume — 2,418 contracts
  • 2008-06-04: Largest IV spike — 37.3% change
  • 2008-06-27: Highest IV Rank — 36.4%
  • 2008-06-27: Largest Expected Move — 17.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.78$9.95$11.55$11.24$9.95
Max Pain$10.36$10.00$12.50$10.00$10.00
ATM IV49.7%33.9%60.5%41.6%60.3%
Expected Move14.6%9.8%17.3%11.9%17.3%
HV 20d48.3%41.9%57.2%51.4%46.6%
HV 60d49.7%47.7%51.6%51.5%49.8%
IV Rank22.5%2.0%36.4%12.1%36.1%
IV Percentile20.1%0.4%48.4%2.8%48.0%
Term Structure5.5%-10.1%17.2%-2.4%2.9%
VWIV51.0%26.4%61.7%56.0%59.6%
Skew 25d-4.0%-26.3%22.3%-26.3%-0.5%
Skew 10d0.6%-29.6%32.4%-9.0%-3.2%
Call IV 25d54.1%32.1%69.9%55.9%66.3%
Put IV 25d50.1%29.5%65.8%29.5%65.8%
Bid-Ask Spread %25.7613.6638.7513.6618.64
Gamma HHI0.350.310.410.320.34
Net GEX29.2K4.8K55.5K32.6K22.4K
Net DEX-2.5M-4.5M-427.4K-3.6M-942.3K
Net VEX-37.4K-41.2K-35.5K-35.5K-41.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.009.100.000.00
Total Volume489.238282,41830133
Total OI25,220.04823,38627,29523,38627,295

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-06-02$11.24$10.0041.6%11.9%51.4%12.1%56.0%-26.3%-2.4%32.6K-3.6M-35.5K0.0013.66N/AN/A30109,63413,752
2008-06-03$11.23$10.0034.2%9.8%49.7%2.4%47.2%-17.8%17.2%36.1K-3.7M-35.5K0.2930.00N/AN/A4511319,84513,752
2008-06-04$11.25$10.0046.9%13.4%49.7%18.8%61.7%-20.4%-10.1%47.3K-3.9M-36.5K0.0128.94N/AN/A274210,21513,847
2008-06-05$11.55$10.0047.4%13.6%49.3%19.5%0.0%-13.5%0.2%54.2K-4.5M-36.9K0.5022.44N/AN/A301510,44013,845
2008-06-06$11.05$12.5033.9%15.1%53.2%2.0%50.1%3.9%7.5%37.0K-3.4M-36.7K1.3928.74N/AN/A16422810,47013,832
2008-06-09$10.51$12.5045.6%14.6%57.0%17.2%51.6%-1.5%9.2%30.2K-2.1M-36.3K0.0822.35N/AN/A3863110,56813,832
2008-06-10$10.46$12.5053.6%15.8%56.5%27.4%55.5%-6.6%7.6%29.0K-1.9M-36.8K2.6920.18N/AN/A30682410,79513,842
2008-06-11$10.40$10.0050.8%15.2%56.7%23.9%0.0%-8.3%8.0%22.0K-1.5M-38.7K2.6227.35N/AN/A10327010,90614,533
2008-06-12$10.83$10.0054.3%15.6%57.2%28.4%52.8%5.1%7.3%25.7K-2.5M-38.7K0.0023.24N/AN/A109010,88314,753
2008-06-13$10.77$10.0049.6%14.2%51.1%22.3%49.4%-0.1%8.5%29.1K-2.5M-37.7K0.4225.36N/AN/A38916210,95714,753
2008-06-16$11.45$10.0049.6%14.2%42.4%22.3%49.9%2.4%8.1%42.2K-4.0M-38.2K0.0726.08N/AN/A3272311,11314,808
2008-06-17$11.26$10.0051.4%14.7%41.9%24.6%0.0%1.3%4.3%35.4K-3.7M-37.1K9.1024.30N/AN/A5045511,29714,788
2008-06-18$11.20$10.0052.5%15.0%41.9%26.1%46.9%4.0%5.1%55.5K-3.7M-36.8K7.9721.73N/AN/A6148611,33714,776
2008-06-19$11.03$10.0053.6%15.4%42.1%27.5%49.7%7.4%10.1%31.3K-3.0M-37.7K0.2229.98N/AN/A23511,37014,943
2008-06-20$10.83$10.0045.3%13.0%42.3%16.7%47.0%5.2%7.7%22.1K-2.5M-37.9K0.0038.75N/AN/A202011,35514,925
2008-06-23$10.60$10.0055.8%16.0%42.5%30.3%26.4%22.3%2.3%17.7K-1.5M-37.1K2.0317.43N/AN/A36473910,40514,801
2008-06-24$10.17$10.0047.6%13.6%44.4%19.7%49.4%-10.3%9.5%10.8K-685.5K-36.4K1.1928.91N/AN/A8410010,74614,262
2008-06-25$10.50$10.0053.6%15.4%44.9%27.5%59.5%5.5%4.7%18.7K-1.2M-37.7K0.0131.14N/AN/A304210,79214,362
2008-06-26$10.03$10.0056.1%16.1%47.1%30.7%54.5%-17.7%3.1%4.8K-427.4K-37.5K0.2027.36N/AN/A3527011,03414,362
2008-06-27$10.10$10.0060.5%17.3%46.5%36.4%59.6%-17.4%5.5%9.4K-647.5K-38.4K0.1534.39N/AN/A2,09832011,03414,362
2008-06-30$9.95$10.0060.3%17.3%46.6%36.1%0.0%-0.5%2.9%22.4K-942.3K-41.2K0.0018.64N/AN/A33012,57314,722