CYD Options History — July 2008

In July 2008, CYD traded between $8.56 and $10.13. ATM implied volatility averaged 68.5%, placing in the 46.8% IV rank vs the trailing year. The 30-day expected move averaged 19.6%. IV traded above realized volatility by 19.9% (HV 20d: 48.6%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 3.41.

Notable Days

  • 2008-07-01: Highest Volume — 4,641 contracts
  • 2008-07-29: Largest IV spike — 60.0% change
  • 2008-07-25: Highest IV Rank — 58.6%
  • 2008-07-25: Largest Expected Move — 22.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.10$8.56$10.13$10.13$9.17
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV68.5%45.8%77.7%62.8%70.0%
Expected Move19.6%13.1%22.3%18.0%20.1%
HV 20d48.6%36.3%52.5%47.3%48.9%
HV 60d48.7%46.0%50.4%48.8%50.2%
IV Rank46.8%17.4%58.6%39.3%48.6%
IV Percentile63.2%9.1%83.3%55.2%63.1%
Term Structure-6.1%-15.8%17.8%-1.9%-8.0%
VWIV70.6%46.5%86.6%64.6%67.0%
Skew 25d-11.8%-40.5%-0.3%-21.5%-13.9%
Skew 10d-17.6%-43.0%-0.1%-32.2%-10.7%
Call IV 25d73.6%58.4%84.7%75.4%68.4%
Put IV 25d61.9%44.3%76.9%54.0%54.5%
Bid-Ask Spread %31.8815.1148.0319.4521.82
Gamma HHI0.470.340.570.340.46
Net GEX-34.3K-61.8K25.0K25.0K-37.0K
Net DEX2.0M-1.1M3.5M-1.1M2.4M
Net VEX-43.2K-46.8K-40.4K-41.9K-40.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.410.0032.504.580.00
Total Volume495.36494,6414,64170
Total OI30,662.90927,29532,63627,29530,716

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-07-01$10.13$10.0062.8%18.0%47.3%39.3%64.6%-21.5%-1.9%25.0K-1.1M-41.9K4.5819.45N/AN/A8323,80912,57314,722
2008-07-02$9.60$10.0061.5%17.6%50.2%37.7%61.5%-10.2%5.7%-19.1K667.4K-46.8K0.1915.11N/AN/A1252412,75717,656
2008-07-03$9.30$10.0061.7%17.7%49.2%37.9%61.6%-16.2%3.3%-24.4K1.5M-46.0K2.8320.80N/AN/A13839012,81517,680
2008-07-07$9.12$10.0070.2%20.7%47.7%48.9%71.4%-4.1%-11.9%-26.1K1.7M-45.0K0.2934.81N/AN/A7212,93117,369
2008-07-08$9.20$10.0071.3%20.3%45.6%50.4%46.5%-3.1%-9.7%-27.2K1.7M-44.3K6.0033.68N/AN/A4024012,93017,369
2008-07-09$9.13$10.0074.0%20.6%45.6%53.8%64.2%-3.1%-10.6%-28.2K1.8M-44.6K0.0033.92N/AN/A86012,93517,534
2008-07-10$8.74$10.0059.6%17.1%47.5%35.3%76.8%-14.7%-0.6%-48.6K2.9M-43.0K0.8332.14N/AN/A645312,97917,534
2008-07-11$8.77$10.0072.5%20.8%44.1%51.9%72.2%-5.8%-11.3%-44.8K2.7M-42.7K1.1129.77N/AN/A27430313,00017,476
2008-07-14$8.56$10.0071.0%20.4%44.3%50.0%81.5%-8.8%-7.8%-52.3K3.0M-41.1K1.6628.46N/AN/A38764213,24317,679
2008-07-15$8.66$10.0071.6%20.5%36.3%50.7%73.3%-4.8%-13.0%-53.0K3.1M-42.0K2.9827.17N/AN/A22767613,55318,232
2008-07-16$9.46$10.0070.8%20.3%51.3%49.7%70.9%-4.5%-9.0%-16.2K1.1M-45.4K0.2332.97N/AN/A1633813,77218,697
2008-07-17$9.50$10.0071.9%20.6%51.5%51.1%75.9%-0.3%-11.2%-6.1K855.9K-45.6K0.1027.66N/AN/A2642613,92518,711
2008-07-18$9.43$10.0068.4%19.6%51.4%46.7%69.5%-6.1%-7.3%-19.1K1.0M-44.2K0.2419.47N/AN/A2145113,89418,737
2008-07-21$9.07$10.0071.7%20.5%52.5%50.8%72.2%-5.6%-11.3%-35.7K2.0M-43.1K5.6644.08N/AN/A9151511,63518,241
2008-07-22$8.98$10.0072.1%20.7%52.3%51.4%72.3%-13.5%-8.5%-43.7K2.5M-43.6K0.0031.31N/AN/A20011,67918,756
2008-07-23$9.10$10.0071.7%20.5%51.3%50.8%72.0%-6.7%-6.7%-38.8K2.2M-43.6K0.3831.48N/AN/A632411,68418,756
2008-07-24$8.73$10.0060.7%17.4%50.8%36.6%74.3%-1.8%17.8%-55.3K3.2M-41.7K32.5031.73N/AN/A1032511,69318,758
2008-07-25$8.84$10.0077.7%22.3%49.4%58.6%68.5%-32.6%-13.2%-44.3K2.5M-41.7K1.2044.08N/AN/A9211011,70318,569
2008-07-28$8.65$10.0045.8%13.1%49.4%17.4%86.6%-40.5%9.2%-61.8K3.5M-40.4K13.0446.92N/AN/A2330011,72618,669
2008-07-29$8.99$10.0073.3%21.0%52.0%52.9%73.3%-22.2%-13.1%-52.1K2.8M-41.0K0.6846.44N/AN/A443011,72218,926
2008-07-30$8.97$10.0077.4%22.2%51.3%58.2%76.9%-19.4%-15.8%-46.2K2.6M-41.5K0.4948.03N/AN/A713511,72218,926
2008-07-31$9.17$10.0070.0%20.1%48.9%48.6%67.0%-13.9%-8.0%-37.0K2.4M-40.7K0.0021.82N/AN/A70011,77018,946