CYD Options History — November 2008

In November 2008, CYD traded between $2.61 and $5.44. ATM implied volatility averaged 107.3%, placing in the 69.3% IV rank vs the trailing year. The 30-day expected move averaged 31.1%. IV traded below realized volatility by 24.4% (HV 20d: 131.7%). Max pain ranged from $5.00 to $10.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 11.56.

Notable Days

  • 2008-11-20: Highest Volume — 9,377 contracts
  • 2008-11-20: Largest IV spike — 113.0% change
  • 2008-11-20: Highest IV Rank — 100.0%
  • 2008-11-20: Largest Expected Move — 48.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.17$2.61$5.44$5.18$4.45
Max Pain$6.05$5.00$10.00$10.00$5.00
ATM IV107.3%64.5%168.1%98.8%157.0%
Expected Move31.1%18.5%48.2%28.3%45.0%
HV 20d131.7%96.4%193.6%122.2%193.6%
HV 60d101.6%84.4%134.9%84.4%134.9%
IV Rank69.3%35.5%100.0%73.3%91.9%
IV Percentile89.7%48.0%100.0%96.0%99.6%
Term Structure0.8%-33.3%76.6%-2.2%-5.9%
VWIV128.5%65.4%166.0%106.2%157.1%
Skew 25d9.3%-37.5%34.0%20.7%19.0%
Skew 10d22.7%-47.3%70.7%35.7%34.3%
Call IV 25d114.6%79.3%186.7%88.3%140.7%
Put IV 25d124.0%52.5%179.9%109.0%159.6%
Bid-Ask Spread %50.2822.2977.9745.5872.06
Gamma HHI0.600.290.810.700.29
Net GEX-8.5K-28.6K-851-22.0K-1.1K
Net DEX3.5M726.5K4.9M4.7M726.5K
Net VEX-4.9K-9.5K-2.7K-8.6K-6.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.560.00157.000.000.00
Total Volume641.78949,377124
Total OI18,403.0539,46921,10620,9029,693

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-11-03$5.18$10.0098.8%28.3%122.2%73.3%0.0%20.7%-2.2%-22.0K4.7M-8.6K0.0045.58N/AN/A1209,04511,857
2008-11-04$5.44$10.00106.5%30.5%122.0%81.8%0.0%33.4%-9.8%-28.6K4.8M-9.5K1.3344.59N/AN/A1502009,04711,857
2008-11-05$5.00$10.0096.0%27.5%124.2%70.3%0.0%21.0%-16.9%-18.1K4.9M-7.0K0.2249.59N/AN/A2769,04312,057
2008-11-06$4.50$10.00104.2%29.9%126.0%79.3%106.2%29.4%-9.5%-11.4K4.6M-5.8K1.0949.62N/AN/A1151259,03312,013
2008-11-07$4.75$5.0087.0%26.6%126.8%60.3%0.0%24.2%-4.2%-11.2K4.8M-6.3K0.0022.29N/AN/A1009,09112,015
2008-11-10$4.74$5.0091.9%27.8%99.1%65.7%0.0%24.0%-13.5%-11.2K4.8M-5.7K2.7856.49N/AN/A722009,09112,015
2008-11-11$4.52$5.0094.7%27.3%99.8%68.7%0.0%13.6%-11.7%-10.9K4.6M-5.1K0.5023.20N/AN/A60309,09111,835
2008-11-12$4.09$5.0071.8%23.5%96.4%43.5%0.0%-25.4%-11.0%-7.9K4.3M-3.9K3.1832.45N/AN/A22709,13111,815
2008-11-13$4.21$5.0093.7%26.9%97.3%67.7%0.0%-37.5%-8.1%-8.2K4.4M-3.8K1.6036.76N/AN/A1001609,14711,714
2008-11-14$3.75$5.0083.5%23.9%101.9%56.5%0.0%-30.7%3.3%-5.6K4.1M-2.7K0.9338.98N/AN/A90849,21711,732
2008-11-17$3.86$5.0064.5%18.5%101.9%35.5%0.0%-7.8%20.9%-6.5K4.2M-2.9K5.2877.97N/AN/A542859,29711,736
2008-11-18$3.75$5.0078.4%22.5%102.0%50.8%0.0%7.3%-21.7%-6.0K4.0M-2.8K0.0036.15N/AN/A2009,30511,625
2008-11-19$3.69$5.0078.9%22.6%100.3%51.4%0.0%5.1%-33.3%-5.7K4.0M-2.7K157.0054.80N/AN/A23149,31111,625
2008-11-20$2.61$5.00168.1%48.2%154.5%100.0%0.0%8.1%0.5%-2.4K2.6M-3.3K43.4456.67N/AN/A2119,1669,31111,678
2008-11-21$3.02$5.00156.5%44.9%166.3%91.5%0.0%8.6%14.2%-8511.9M-3.4K1.7561.93N/AN/A801409,4958,191
2008-11-24$3.85$5.00155.6%44.6%189.5%90.8%65.4%34.0%76.6%-1.3K900.5K-4.2K0.1368.74N/AN/A76105,3134,156
2008-11-25$3.72$5.00102.7%29.4%187.6%51.9%166.0%19.3%51.5%-1.3K854.4K-4.2K0.1053.19N/AN/A101105,3614,156
2008-11-26$4.04$5.00148.8%42.6%190.2%85.8%148.0%10.8%-3.5%-1.1K813.8K-5.0K0.2474.28N/AN/A152365,3934,166
2008-11-28$4.45$5.00157.0%45.0%193.6%91.9%157.1%19.0%-5.9%-1.1K726.5K-6.0K0.0072.06N/AN/A405,4914,202