CYD Options History — August 2008

In August 2008, CYD traded between $8.67 and $11.12. ATM implied volatility averaged 65.8%, placing in the 43.2% IV rank vs the trailing year. The 30-day expected move averaged 17.6%. IV traded below realized volatility by 9.3% (HV 20d: 75.1%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.40.

Notable Days

  • 2008-08-28: Highest Volume — 5,995 contracts
  • 2008-08-11: Largest IV spike — 28.3% change
  • 2008-08-06: Highest IV Rank — 75.5%
  • 2008-08-01: Largest Expected Move — 20.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.95$8.67$11.12$9.01$10.26
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV65.8%54.5%90.8%71.0%60.5%
Expected Move17.6%15.6%20.4%20.4%17.3%
HV 20d75.1%47.3%87.5%48.1%80.9%
HV 60d59.1%50.3%65.4%50.3%61.3%
IV Rank43.2%28.7%75.5%50.0%36.4%
IV Percentile52.3%23.0%98.4%64.7%41.7%
Term Structure1.0%-10.8%6.3%-10.8%3.6%
VWIV60.0%54.5%69.0%56.6%60.5%
Skew 25d-3.5%-19.0%46.3%-19.0%46.3%
Skew 10d-3.1%-47.1%84.0%-47.1%84.0%
Call IV 25d62.1%53.6%73.0%73.0%66.0%
Put IV 25d58.7%47.9%112.3%54.0%112.3%
Bid-Ask Spread %26.5916.4245.6928.6027.12
Gamma HHI0.380.290.570.480.40
Net GEX-36.0K-64.7K83.0K-42.3K-4.9K
Net DEX-535.1K-5.6M3.5M2.8M-1.2M
Net VEX-40.8K-45.0K-36.6K-40.1K-37.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.400.008.960.001.01
Total Volume960.42905,9950139
Total OI28,491.28621,84634,35630,66021,846

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-08-01$9.01$10.0071.0%20.4%48.1%50.0%0.0%-19.0%-10.8%-42.3K2.8M-40.1K0.0028.60N/AN/A0011,72218,938
2008-08-04$8.73$10.0068.0%18.5%48.8%46.1%0.0%8.0%-4.0%-61.3K3.5M-37.8K0.0016.42N/AN/A142011,72218,938
2008-08-05$8.73$10.0071.1%18.2%48.7%50.0%0.0%7.7%0.5%-63.0K3.5M-37.6K0.6121.19N/AN/A563411,76618,927
2008-08-06$8.88$10.0090.8%17.3%49.1%75.5%0.0%6.4%-1.3%-55.6K3.1M-38.6K0.2026.47N/AN/A2785711,76518,926
2008-08-07$8.67$10.0075.5%18.1%47.3%55.7%0.0%6.5%-5.1%-64.7K3.5M-36.6K0.0027.33N/AN/A17011,96818,894
2008-08-08$10.63$10.0064.1%16.4%86.6%41.1%56.6%-4.4%5.9%71.2K-2.7M-37.7K0.0822.87N/AN/A3,68129211,98518,894
2008-08-11$11.12$10.0082.3%19.2%86.5%64.5%68.3%-2.8%0.5%-56.8K-5.6M-37.3K0.1845.69N/AN/A3,95773113,14719,113
2008-08-12$10.87$10.0068.2%18.9%87.5%46.4%65.9%-1.1%0.9%83.0K-5.2M-45.0K0.0317.06N/AN/A3591215,31219,010
2008-08-13$10.54$10.0079.2%18.3%83.7%60.5%69.0%4.2%1.9%-39.1K-5.2M-43.9K0.1521.05N/AN/A4767215,33819,018
2008-08-14$10.75$10.0063.4%18.2%83.8%40.2%62.3%-5.1%1.3%-35.8K-5.3M-43.6K0.1419.04N/AN/A4146014,94118,998
2008-08-15$10.63$10.0060.3%17.3%83.9%36.1%56.4%-7.5%5.2%-3.7K-4.8M-43.9K0.0739.13N/AN/A9256614,85619,044
2008-08-18$10.25$10.0058.9%16.9%83.8%34.4%54.8%-7.1%1.9%-41.9K-428.1K-42.3K0.0829.96N/AN/A321278,62615,359
2008-08-19$10.12$10.0055.6%16.0%83.8%30.1%55.7%-8.0%6.3%-45.0K-170.4K-42.5K8.2925.79N/AN/A514238,88315,386
2008-08-20$10.12$10.0060.8%17.4%83.8%36.8%60.8%-7.2%0.5%-49.8K47.3K-42.6K1.5126.15N/AN/A1602418,89515,809
2008-08-21$10.01$10.0056.9%16.3%82.2%31.8%57.0%-11.2%3.3%-55.2K313.7K-42.5K0.0024.77N/AN/A6608,91216,041
2008-08-22$10.00$10.0054.5%15.6%82.3%28.7%54.5%-13.4%5.8%-55.7K242.5K-41.7K0.6528.93N/AN/A1541008,91816,041
2008-08-25$9.82$10.0061.2%17.6%82.1%37.3%61.2%-18.8%0.3%-63.3K776.0K-42.4K0.0131.66N/AN/A23229,01816,141
2008-08-26$9.87$10.0061.0%17.5%81.2%37.0%0.0%-17.3%-1.3%-64.0K734.9K-41.1K0.0027.42N/AN/A7109,02716,141
2008-08-27$9.87$10.0059.8%17.1%81.2%35.4%0.0%-17.3%-0.3%-59.8K618.4K-41.0K8.9627.85N/AN/A565029,06216,141
2008-08-28$10.12$10.0058.5%16.8%81.3%33.8%57.2%-11.7%6.0%-48.6K232.6K-42.1K5.9723.96N/AN/A8605,1359,07515,774
2008-08-29$10.26$10.0060.5%17.3%80.9%36.4%60.5%46.3%3.6%-4.9K-1.2M-37.1K1.0127.12N/AN/A69709,53712,309