CYD Options History — April 2009

In April 2009, CYD traded between $4.58 and $7.88. ATM implied volatility averaged 97.3%, placing in the 47.3% IV rank vs the trailing year. The 30-day expected move averaged 28.6%. IV traded below realized volatility by 18.4% (HV 20d: 115.7%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.18.

Notable Days

  • 2009-04-16: Highest Volume — 574 contracts
  • 2009-04-09: Largest IV spike — 19.1% change
  • 2009-04-20: Highest IV Rank — 58.2%
  • 2009-04-20: Largest Expected Move — 32.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.94$4.58$7.88$4.79$7.88
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV97.3%86.9%111.9%87.0%95.7%
Expected Move28.6%24.9%32.1%24.9%27.4%
HV 20d115.7%103.9%139.8%106.3%114.1%
HV 60d105.9%96.9%112.2%102.0%111.4%
IV Rank47.3%39.6%58.2%40.3%46.0%
IV Percentile68.4%56.7%82.1%58.7%62.7%
Term Structure-6.2%-13.8%18.8%18.8%-3.9%
VWIV96.3%62.1%108.7%93.1%97.0%
Skew 25d20.2%-7.0%37.5%22.3%19.1%
Skew 10d36.4%-0.7%63.5%23.2%56.0%
Call IV 25d82.2%68.9%100.0%68.9%80.4%
Put IV 25d102.4%90.0%119.6%91.2%99.4%
Bid-Ask Spread %20.2813.1429.8817.3113.14
Gamma HHI0.360.280.480.420.32
Net GEX1.7K1244.5K6194.5K
Net DEX-288.8K-1.0M117.1K57.9K-1.0M
Net VEX-2.7K-3.3K-2.2K-2.4K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.180.001.130.000.13
Total Volume116.238057410332
Total OI3,662.9523,3284,1233,3334,123

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-04-01$4.79$5.0087.0%24.9%106.3%40.3%0.0%22.3%18.8%61957.9K-2.4K0.0017.31N/AN/A1001,6531,680
2009-04-02$4.69$5.0092.6%26.5%106.0%44.4%93.1%0.0%11.6%54546.5K-2.3K0.0022.88N/AN/A2801,6481,680
2009-04-03$4.88$5.0087.2%28.7%103.9%39.7%0.0%-7.0%-5.6%63143.7K-2.4K0.0026.04N/AN/A501,6511,680
2009-04-06$4.68$5.0094.7%31.3%105.3%45.4%0.0%0.0%-12.8%60668.3K-2.3K0.0017.34N/AN/A001,6561,680
2009-04-07$4.58$5.0095.3%30.3%104.9%45.8%91.8%14.3%-11.7%579113.2K-2.2K0.0016.02N/AN/A501,6561,680
2009-04-08$4.59$5.0086.9%29.4%104.9%39.6%102.5%13.1%-6.3%643117.1K-2.2K1.1313.93N/AN/A55621,6611,680
2009-04-09$4.94$5.00103.6%29.7%107.0%51.9%103.6%27.5%-8.7%94833.2K-2.4K0.0016.33N/AN/A4101,6911,722
2009-04-13$4.83$5.00104.1%29.8%107.7%52.3%0.0%25.4%-8.0%1.1K53.5K-2.2K0.0016.12N/AN/A001,7021,722
2009-04-14$5.24$5.00104.8%30.0%110.6%52.8%104.8%2.5%-9.7%1.2K-37.4K-2.4K0.2329.88N/AN/A80181,6971,722
2009-04-15$6.78$5.0096.1%27.5%139.8%46.4%96.8%37.5%-7.1%124-451.3K-2.7K0.3616.91N/AN/A267961,7521,725
2009-04-16$6.98$5.0098.3%28.2%139.6%48.0%84.2%0.0%-11.6%1.5K-528.1K-2.8K0.0719.72N/AN/A535391,8851,769
2009-04-17$6.75$5.0099.3%28.5%139.1%48.8%62.1%34.0%-13.6%2.2K-551.3K-3.2K0.0326.92N/AN/A7722,1671,787
2009-04-20$6.12$5.00111.9%32.1%125.8%58.2%105.1%16.3%-13.8%2.1K-328.0K-3.0K0.7620.47N/AN/A92702,0311,745
2009-04-21$6.39$5.0095.6%27.4%124.1%46.0%95.3%21.2%-4.7%1.9K-397.8K-3.1K0.5516.23N/AN/A60332,0261,796
2009-04-22$6.41$5.0097.4%27.9%116.1%47.4%108.7%14.7%-7.3%1.9K-391.3K-3.1K0.0023.99N/AN/A6102,0571,829
2009-04-23$6.31$5.0098.9%28.3%115.8%48.4%0.0%24.5%-7.4%2.1K-378.6K-3.1K0.0021.26N/AN/A002,1121,829
2009-04-24$6.60$5.0096.4%27.6%115.9%46.6%105.9%37.5%-6.5%2.4K-479.6K-3.2K0.0024.12N/AN/A12302,1121,829
2009-04-27$7.02$5.0097.6%28.0%114.9%47.5%85.6%34.6%-5.5%2.8K-610.6K-3.1K0.0027.57N/AN/A16902,1341,829
2009-04-28$6.96$5.00103.2%29.6%115.1%51.7%108.1%12.8%-9.7%3.1K-630.2K-3.2K0.0025.72N/AN/A11402,1981,829
2009-04-29$7.41$5.0097.0%27.8%113.3%47.1%97.0%12.9%-6.5%3.8K-787.1K-3.3K0.0314.01N/AN/A6522,2681,829
2009-04-30$7.88$5.0095.7%27.4%114.1%46.0%0.0%19.1%-3.9%4.5K-1.0M-2.9K0.1313.14N/AN/A295372,2941,829