CYD Options History — January 2009

In January 2009, CYD traded between $3.63 and $4.89. ATM implied volatility averaged 117.6%, placing in the 62.8% IV rank vs the trailing year. The 30-day expected move averaged 33.7%. IV traded above realized volatility by 22.5% (HV 20d: 95.1%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 4.17.

Notable Days

  • 2009-01-30: Highest Volume — 462 contracts
  • 2009-01-22: Largest IV spike — 45.6% change
  • 2009-01-12: Highest IV Rank — 95.4%
  • 2009-01-22: Largest Expected Move — 39.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.18$3.63$4.89$4.12$4.29
Max Pain$7.38$5.00$7.50$5.00$7.50
ATM IV117.6%94.5%161.9%120.3%112.1%
Expected Move33.7%27.1%39.4%34.5%32.1%
HV 20d95.1%66.4%106.1%66.4%99.0%
HV 60d132.8%129.3%138.8%136.7%130.4%
IV Rank62.8%45.8%95.4%64.8%58.8%
IV Percentile87.9%78.6%99.2%90.9%85.7%
Term Structure1.3%-14.1%33.7%0.7%4.3%
VWIV112.4%76.0%132.2%86.8%125.2%
Skew 25d17.3%-41.1%58.3%48.6%-23.4%
Skew 10d35.7%-62.1%91.6%76.3%-38.2%
Call IV 25d107.7%67.1%150.1%95.3%127.6%
Put IV 25d124.9%87.4%152.6%143.9%104.2%
Bid-Ask Spread %29.6912.6145.4539.9119.36
Gamma HHI0.360.240.560.350.42
Net GEX-3.5K-5.9K-200-3.9K-3.5K
Net DEX1.2M1.0M1.3M1.3M1.0M
Net VEX-2.3K-4.0K-1.0K-2.8K-1.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.170.0041.670.000.05
Total Volume68.304621462
Total OI10,114.99,81310,33610,3369,813

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-01-02$4.12$5.00120.3%34.5%66.4%64.8%0.0%48.6%0.7%-3.9K1.3M-2.8K0.0039.91N/AN/A105,7664,570
2009-01-05$4.60$7.50136.7%36.4%76.2%76.9%86.8%26.2%-6.5%-5.3K1.3M-3.1K41.6730.65N/AN/A62505,7674,539
2009-01-06$4.89$7.50134.5%35.5%78.3%75.3%96.5%42.4%-3.8%-5.7K1.1M-4.0K9.0934.49N/AN/A111005,7734,389
2009-01-07$4.47$7.5098.9%36.5%85.8%49.0%127.2%17.3%-12.6%-5.1K1.1M-3.4K5.0036.61N/AN/A2105,7804,289
2009-01-08$4.78$7.50115.9%36.6%88.5%61.6%124.1%33.5%-13.0%-5.6K1.1M-3.6K0.0034.66N/AN/A6305,7824,299
2009-01-09$4.75$7.50125.2%34.3%88.6%68.4%0.0%-4.4%-4.3%-5.9K1.1M-3.4K0.6745.45N/AN/A645,8424,299
2009-01-12$4.27$7.50161.9%34.4%97.4%95.4%0.0%3.9%-6.7%-4.5K1.2M-2.7K0.4034.68N/AN/A525,8464,303
2009-01-13$4.20$7.50113.9%36.5%97.7%60.1%0.0%50.5%-14.1%-4.2K1.2M-2.6K0.0029.16N/AN/A015,8484,302
2009-01-14$4.22$7.50109.7%35.1%97.4%57.0%0.0%58.3%-4.8%-4.4K1.2M-2.6K0.4020.88N/AN/A1565,8484,301
2009-01-15$4.25$7.50125.5%36.0%97.1%68.6%76.0%50.1%-8.0%-4.3K1.2M-2.4K0.0031.48N/AN/A4005,8634,295
2009-01-16$4.20$7.50116.3%33.3%97.1%61.9%116.3%8.4%-4.0%-4.4K1.2M-2.3K1.2536.25N/AN/A24305,8884,295
2009-01-20$3.71$7.50129.4%37.1%106.1%71.5%120.1%39.6%24.7%-3.0K1.1M-1.8K0.0024.84N/AN/A10505,8044,144
2009-01-21$3.79$7.5094.5%27.1%105.0%45.8%112.3%10.0%4.5%-3001.3M-1.0K1.5026.43N/AN/A235,8884,149
2009-01-22$3.63$7.50137.5%39.4%105.2%77.5%0.0%40.8%22.1%-2.7K1.1M-1.9K0.0031.30N/AN/A0205,8904,159
2009-01-23$3.66$7.5094.5%27.1%104.3%45.8%0.0%20.3%33.7%-1.7K1.2M-1.2K0.0035.47N/AN/A005,8904,139
2009-01-26$3.74$7.5099.0%28.4%104.5%49.1%132.2%-41.1%17.2%-2451.3M-1.0K0.0012.61N/AN/A17405,8904,139
2009-01-27$3.96$7.50117.1%33.6%105.9%62.5%120.0%-13.7%-8.7%-2.6K1.2M-1.7K2.5022.35N/AN/A4106,0424,139
2009-01-28$4.04$7.50109.9%31.5%105.1%57.2%0.0%-6.6%2.3%-2.6K1.2M-1.6K0.0021.03N/AN/A006,0154,149
2009-01-29$3.95$7.5099.6%28.5%96.7%49.5%0.0%-15.4%2.2%-2001.3M-1.1K0.0026.14N/AN/A0106,0154,149
2009-01-30$4.29$7.50112.1%32.1%99.0%58.8%125.2%-23.4%4.3%-3.5K1.0M-1.9K0.0519.36N/AN/A442206,0153,798