CYD Options History — May 2009

In May 2009, CYD traded between $7.35 and $8.55. ATM implied volatility averaged 83.4%, placing in the 36.9% IV rank vs the trailing year. The 30-day expected move averaged 23.6%. IV traded below realized volatility by 2.3% (HV 20d: 85.7%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.79.

Notable Days

  • 2009-05-19: Highest Volume — 591 contracts
  • 2009-05-14: Largest IV drop — 12.2% change
  • 2009-05-13: Highest IV Rank — 50.3%
  • 2009-05-11: Largest Expected Move — 27.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.07$7.35$8.55$7.78$8.33
Max Pain$6.75$5.00$7.50$5.00$7.50
ATM IV83.4%65.4%101.3%91.7%65.4%
Expected Move23.6%18.8%27.1%26.3%18.8%
HV 20d85.7%58.2%113.8%113.6%58.2%
HV 60d108.3%95.6%111.9%111.5%95.6%
IV Rank36.9%23.5%50.3%43.1%23.5%
IV Percentile45.5%20.6%72.2%56.0%20.6%
Term Structure1.0%-6.5%12.0%0.7%12.0%
VWIV81.9%66.0%94.2%91.8%66.0%
Skew 25d13.4%6.2%24.1%19.0%7.7%
Skew 10d35.1%9.8%61.1%55.0%12.1%
Call IV 25d74.0%61.8%84.6%78.1%65.1%
Put IV 25d87.4%71.4%98.8%97.1%72.8%
Bid-Ask Spread %29.7915.9457.8815.9457.88
Gamma HHI0.390.300.460.300.44
Net GEX6.6K1.6K10.7K4.8K10.7K
Net DEX-962.1K-1.3M-591.7K-948.8K-1.1M
Net VEX-3.9K-4.3K-3.3K-3.6K-4.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.004.050.113.18
Total Volume149.45759110271
Total OI4,167.453,1104,8794,2963,896

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$7.78$5.0091.7%26.3%113.6%43.1%0.0%19.0%0.7%4.8K-948.8K-3.6K0.1115.94N/AN/A92102,4301,866
2009-05-04$8.15$5.0099.7%26.3%113.8%49.0%91.8%14.1%-1.0%5.2K-1.2M-3.3K0.2929.38N/AN/A56162,4681,876
2009-05-05$8.17$5.0099.0%26.4%111.4%48.5%92.5%21.4%-4.0%5.3K-1.1M-3.6K4.0524.10N/AN/A411662,4791,884
2009-05-06$8.55$5.0093.9%26.0%109.9%44.7%0.0%11.3%-4.4%5.4K-1.3M-3.6K0.1731.90N/AN/A205352,5002,050
2009-05-07$8.16$5.0094.4%25.8%113.0%45.1%88.1%16.0%-3.5%5.2K-1.0M-3.8K0.8324.83N/AN/A75622,4562,065
2009-05-08$8.43$5.0086.1%25.9%111.8%38.9%85.4%24.1%-3.1%4.7K-1.2M-3.8K0.1824.46N/AN/A280502,4852,122
2009-05-11$8.43$7.5087.4%27.1%110.7%39.9%94.2%0.0%-6.5%5.6K-1.2M-4.0K0.8925.62N/AN/A982,6132,172
2009-05-12$8.20$7.5090.3%25.9%110.5%42.1%0.0%16.7%-2.7%5.2K-1.1M-3.9K0.0027.04N/AN/A6002,6182,174
2009-05-13$7.44$7.50101.3%26.2%77.0%50.3%91.4%12.8%-4.8%5.1K-749.8K-3.8K0.2433.64N/AN/A100242,6482,174
2009-05-14$7.59$7.5089.0%25.5%76.7%41.1%89.0%13.9%-3.5%4.7K-809.2K-3.8K2.3131.83N/AN/A551272,6422,178
2009-05-15$7.35$7.5084.7%24.3%76.6%37.9%84.6%14.5%0.7%1.6K-591.7K-3.8K0.1634.40N/AN/A229362,6032,276
2009-05-18$7.66$7.5083.7%24.0%67.4%37.1%83.7%12.8%-1.4%6.4K-668.1K-3.8K0.1727.82N/AN/A204351,8471,263
2009-05-19$8.11$7.5075.4%21.6%68.4%31.0%74.9%6.2%3.3%9.0K-879.0K-4.0K2.6733.69N/AN/A1614302,0311,278
2009-05-20$8.13$7.5071.2%20.4%68.4%27.8%71.2%13.6%6.1%7.9K-847.7K-4.3K0.1828.51N/AN/A4992,1421,476
2009-05-21$8.00$7.5072.7%20.8%68.4%28.9%72.7%11.9%6.3%7.8K-809.7K-4.3K0.3331.61N/AN/A36122,1661,481
2009-05-22$8.00$7.5073.9%21.2%67.4%29.9%0.0%10.5%2.8%8.0K-828.4K-4.3K0.0032.07N/AN/A702,1921,487
2009-05-26$8.24$7.5074.4%21.3%65.0%30.2%74.4%8.8%1.9%8.6K-916.4K-4.2K0.0019.80N/AN/A7102,1921,487
2009-05-27$8.37$7.5067.6%19.4%64.8%25.1%68.1%7.5%10.9%10.3K-986.8K-4.3K0.0923.47N/AN/A134122,2631,487
2009-05-28$8.40$7.5066.1%18.9%61.6%24.0%0.0%11.9%9.8%10.2K-1.1M-4.2K0.0037.81N/AN/A2202,3831,499
2009-05-29$8.33$7.5065.4%18.8%58.2%23.5%66.0%7.7%12.0%10.7K-1.1M-4.1K3.1857.88N/AN/A17542,3971,499