CYD Options History — December 2008

In December 2008, CYD traded between $3.60 and $4.33. ATM implied volatility averaged 132.9%, placing in the 74.1% IV rank vs the trailing year. The 30-day expected move averaged 39.2%. IV traded below realized volatility by 18.0% (HV 20d: 150.9%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 2.65.

Notable Days

  • 2008-12-01: Highest Volume — 372 contracts
  • 2008-12-31: Largest IV drop — 42.0% change
  • 2008-12-01: Highest IV Rank — 98.8%
  • 2008-12-01: Largest Expected Move — 47.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.99$3.60$4.33$3.81$3.84
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV132.9%72.2%166.5%166.5%72.2%
Expected Move39.2%20.7%47.7%47.7%20.7%
HV 20d150.9%60.6%197.0%195.8%61.3%
HV 60d137.1%135.1%138.6%138.0%136.3%
IV Rank74.1%29.4%98.8%98.8%29.4%
IV Percentile93.7%61.5%99.6%99.6%61.5%
Term Structure9.0%-10.5%70.1%-9.6%43.9%
VWIV140.8%135.4%146.8%146.8%135.4%
Skew 25d15.9%6.3%39.9%6.3%39.9%
Skew 10d51.5%-7.1%86.1%66.6%72.3%
Call IV 25d137.5%100.5%153.0%153.0%100.5%
Put IV 25d153.3%135.8%165.8%159.3%140.3%
Bid-Ask Spread %50.7513.0584.1136.2113.05
Gamma HHI0.310.280.390.290.39
Net GEX-1.8K-3.0K-804-954-3.0K
Net DEX948.0K738.5K1.3M738.5K1.2M
Net VEX-4.0K-5.1K-2.1K-4.8K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.650.0020.910.0020.91
Total Volume74.1360372372241
Total OI10,007.0919,69710,1769,69710,095

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-12-01$3.81$5.00166.5%47.7%195.8%98.8%0.0%6.3%-9.6%-954738.5K-4.8K0.0036.21N/AN/A37115,4954,202
2008-12-02$4.00$5.00148.0%42.4%197.0%85.2%146.8%10.9%4.6%-804765.8K-5.1K0.0044.83N/AN/A16005,7114,203
2008-12-03$3.99$5.00157.2%45.1%195.7%92.0%0.0%8.4%-9.1%-1.0K843.3K-4.7K0.0033.30N/AN/A0145,7754,203
2008-12-04$3.91$5.00126.7%36.3%194.0%69.5%0.0%16.7%6.4%-1.2K867.7K-4.5K5.0043.22N/AN/A10505,7754,199
2008-12-05$4.00$5.00115.7%40.9%191.2%61.4%0.0%24.2%4.9%-1.7K949.8K-4.2K0.3053.16N/AN/A1035,7654,239
2008-12-08$4.08$5.00120.8%41.5%190.1%65.2%145.4%6.3%4.3%-1.2K823.7K-4.9K0.0063.44N/AN/A705,7754,236
2008-12-09$4.05$5.00125.7%42.2%190.1%68.8%0.0%31.9%8.8%-1.2K819.4K-4.8K0.0080.21N/AN/A1105,7734,236
2008-12-10$4.07$5.00137.4%42.2%189.6%77.4%0.0%17.4%8.8%-1.2K827.5K-4.7K0.0063.67N/AN/A01085,7644,236
2008-12-11$4.05$5.00154.5%44.3%186.3%90.0%0.0%10.7%-2.3%-1.3K937.7K-4.0K0.0069.00N/AN/A005,7644,128
2008-12-12$4.05$5.00155.4%44.6%185.9%90.7%0.0%25.6%-1.5%-1.0K783.0K-4.6K0.0059.96N/AN/A01005,7644,128
2008-12-15$4.14$5.00155.1%44.5%181.1%90.4%0.0%24.5%-0.7%-1.6K890.7K-4.4K0.0062.29N/AN/A6205,7644,197
2008-12-16$4.24$5.00150.7%43.2%181.0%87.2%0.0%13.7%-2.8%-1.3K848.9K-4.8K0.0064.96N/AN/A01005,7814,197
2008-12-17$4.23$5.00155.5%44.6%180.6%90.7%0.0%12.7%-0.3%-1.5K853.3K-4.7K0.0049.64N/AN/A005,7814,258
2008-12-18$4.33$5.00135.9%39.0%180.5%76.3%135.8%10.0%4.5%-1.6K877.8K-4.8K7.1651.47N/AN/A191365,7814,258
2008-12-19$4.10$5.00140.5%40.3%126.1%79.7%140.6%18.4%-7.1%-3.0K1.0M-3.8K0.4984.11N/AN/A100495,7834,393
2008-12-22$3.94$5.00134.6%38.6%119.0%75.3%135.4%15.9%-1.3%-3.0K1.0M-3.3K0.3328.49N/AN/A33115,7094,335
2008-12-23$3.78$5.00139.6%40.0%83.9%79.0%0.0%7.0%-10.5%-2.6K1.1M-2.8K0.2963.50N/AN/A1755,7424,335
2008-12-24$3.84$5.00102.7%29.4%83.2%51.9%0.0%15.8%15.7%-2.5K1.1M-3.1K0.0040.70N/AN/A605,7514,340
2008-12-26$3.73$5.00102.7%29.4%78.0%51.9%0.0%8.2%29.6%-2.5K1.1M-2.7K0.0077.64N/AN/A005,7554,340
2008-12-29$3.60$5.00103.1%29.6%69.0%52.1%0.0%8.6%40.5%-2.4K1.1M-2.3K0.0017.36N/AN/A075,7554,340
2008-12-30$4.05$5.00124.5%35.7%60.6%67.9%0.0%16.3%70.1%-3.0K1.3M-2.2K0.0016.39N/AN/A005,7554,340
2008-12-31$3.84$5.0072.2%20.7%61.3%29.4%0.0%39.9%43.9%-3.0K1.2M-2.1K20.9113.05N/AN/A112305,7554,340