CYD Options History — September 2008

In September 2008, CYD traded between $7.31 and $9.86. ATM implied volatility averaged 66.8%, placing in the 44.5% IV rank vs the trailing year. The 30-day expected move averaged 20.0%. IV traded above realized volatility by 14.6% (HV 20d: 52.2%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 5.46.

Notable Days

  • 2008-09-23: Highest Volume — 924 contracts
  • 2008-09-11: Largest IV spike — 66.0% change
  • 2008-09-23: Highest IV Rank — 64.0%
  • 2008-09-23: Largest Expected Move — 23.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.58$7.31$9.86$9.86$7.59
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV66.8%40.6%81.9%62.0%78.3%
Expected Move20.0%16.9%23.5%17.8%22.5%
HV 20d52.2%30.5%82.1%81.5%66.9%
HV 60d62.0%59.5%67.1%61.2%67.1%
IV Rank44.5%10.8%64.0%38.4%59.4%
IV Percentile56.3%2.8%92.9%46.0%83.3%
Term Structure2.5%-2.5%9.0%1.9%-0.4%
VWIV69.0%50.3%89.4%52.8%78.3%
Skew 25d1.4%-18.6%16.5%-15.8%16.5%
Skew 10d6.0%-30.6%27.4%-25.6%23.8%
Call IV 25d68.3%51.8%88.2%70.8%60.3%
Put IV 25d69.7%52.9%81.8%55.0%76.8%
Bid-Ask Spread %39.1712.92100.3812.9226.09
Gamma HHI0.560.410.680.410.67
Net GEX-40.4K-58.7K-12.4K-12.4K-53.0K
Net DEX1.7M-678.5K3.3M-678.5K3.3M
Net VEX-30.4K-36.0K-23.9K-36.0K-24.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.460.0066.670.870.68
Total Volume346.95233924356493
Total OI22,154.42921,18523,18621,93821,656

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-09-02$9.86$10.0062.0%17.8%81.5%38.4%52.8%-15.8%1.9%-12.4K-678.5K-36.0K0.8712.92N/AN/A1901669,55912,379
2008-09-03$9.78$10.0060.9%17.5%81.6%36.9%60.9%-18.6%3.6%-13.3K-495.9K-35.9K0.3325.06N/AN/A154519,61812,393
2008-09-04$9.56$10.0059.0%16.9%82.1%34.5%58.7%-4.5%5.6%-17.1K-174.0K-34.5K0.7313.44N/AN/A30229,64812,362
2008-09-05$9.41$10.0055.2%18.6%81.8%29.5%0.0%-0.3%4.7%-21.6K149.2K-33.9K1.6835.24N/AN/A1873149,65912,368
2008-09-08$9.35$10.0057.4%18.8%33.4%32.4%0.0%16.3%4.0%-24.6K421.8K-33.6K9.2446.78N/AN/A171579,75212,559
2008-09-09$8.83$10.0046.3%19.2%32.2%18.1%67.3%6.4%3.1%-33.0K1.4M-32.5K0.5953.65N/AN/A1911129,76612,663
2008-09-10$8.85$10.0040.6%19.2%32.3%10.8%71.1%11.0%4.7%-33.6K1.3M-32.4K66.6751.60N/AN/A64009,77312,765
2008-09-11$8.83$10.0067.5%19.3%31.5%45.4%70.2%8.0%4.5%-37.4K1.4M-32.3K0.7550.53N/AN/A60459,77112,991
2008-09-12$8.92$10.0067.6%19.4%30.5%45.5%0.0%-6.2%1.2%-36.8K1.4M-32.0K0.0030.32N/AN/A61209,73713,009
2008-09-15$8.44$10.0070.0%20.1%34.6%48.7%67.8%2.1%0.4%-50.7K2.5M-29.3K1.0434.82N/AN/A1441509,34013,009
2008-09-16$8.08$10.0069.1%19.8%35.4%47.5%50.3%-5.7%5.5%-52.4K2.9M-28.0K0.9325.46N/AN/A75709,46613,159
2008-09-17$7.71$10.0073.0%20.9%37.5%52.6%53.1%11.3%-1.0%-55.7K3.3M-27.5K2.9866.13N/AN/A2026029,47013,090
2008-09-18$7.91$10.0072.1%20.7%39.7%51.3%67.2%15.6%-0.7%-58.7K3.3M-28.4K0.1649.23N/AN/A183309,52413,584
2008-09-19$8.65$10.0064.8%18.6%53.7%41.9%61.6%2.2%9.0%-50.9K2.2M-31.1K8.8368.91N/AN/A524599,63713,549
2008-09-22$8.34$10.0074.8%21.4%54.6%54.9%89.4%-10.7%0.8%-51.0K2.1M-29.6K0.1428.00N/AN/A213308,64812,971
2008-09-23$8.20$10.0081.9%23.5%54.6%64.0%83.3%-0.5%-2.5%-51.7K2.1M-29.6K16.4327.75N/AN/A538718,79113,059
2008-09-24$8.02$10.0074.4%21.3%54.5%54.4%84.1%-12.0%1.1%-49.3K2.4M-27.1K0.5723.72N/AN/A2451408,80612,379
2008-09-25$8.30$10.0077.2%22.1%56.7%58.0%74.6%3.8%0.2%-48.4K2.1M-28.0K0.3132.73N/AN/A234738,85412,454
2008-09-26$8.16$10.0074.9%21.5%55.4%55.0%76.2%-0.2%3.5%-46.6K2.3M-27.8K1.3619.76N/AN/A14199,04112,464
2008-09-29$7.31$10.0075.5%21.7%64.7%55.8%75.6%11.2%3.5%-51.1K3.3M-23.9K0.33100.38N/AN/A165559,04412,476
2008-09-30$7.59$10.0078.3%22.5%66.9%59.4%78.3%16.5%-0.4%-53.0K3.3M-24.5K0.6826.09N/AN/A2932009,13612,520