CYD Options History — June 2009

In June 2009, CYD traded between $6.81 and $8.65. ATM implied volatility averaged 69.9%, placing in the 24.0% IV rank vs the trailing year. The 30-day expected move averaged 20.3%. IV traded above realized volatility by 24.0% (HV 20d: 45.9%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.27.

Notable Days

  • 2009-06-10: Highest Volume — 276 contracts
  • 2009-06-24: Largest IV spike — 17.2% change
  • 2009-06-03: Highest IV Rank — 34.9%
  • 2009-06-05: Largest Expected Move — 23.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.68$6.81$8.65$8.65$7.17
Max Pain$6.14$5.00$7.50$7.50$7.50
ATM IV69.9%64.3%80.7%78.9%69.1%
Expected Move20.3%18.4%23.5%22.6%19.8%
HV 20d45.9%32.5%59.4%59.2%43.3%
HV 60d87.8%79.2%95.4%95.3%79.8%
IV Rank24.0%18.6%34.9%33.5%22.3%
IV Percentile23.6%11.9%41.3%40.1%20.6%
Term Structure6.1%-2.9%13.3%6.2%5.6%
VWIV71.3%64.0%79.0%77.9%69.3%
Skew 25d15.2%6.3%24.4%24.4%16.1%
Skew 10d30.0%11.2%53.4%27.6%39.7%
Call IV 25d63.1%44.6%78.8%58.8%77.1%
Put IV 25d78.3%64.3%93.2%83.2%93.2%
Bid-Ask Spread %40.2515.2795.2727.7527.31
Gamma HHI0.460.390.540.480.44
Net GEX9.8K6.9K11.7K10.0K11.3K
Net DEX-845.2K-1.2M-533.6K-1.2M-649.7K
Net VEX-3.8K-4.3K-3.4K-4.1K-3.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.270.001.670.020.00
Total Volume66.136027621910
Total OI4,037.3183,6934,3893,9483,891

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-06-01$8.65$7.5078.9%22.6%59.2%33.5%77.9%24.4%6.2%10.0K-1.2M-4.1K0.0227.75N/AN/A21542,4141,534
2009-06-02$8.50$7.5079.4%22.8%57.6%33.9%79.0%16.7%1.8%9.6K-1.2M-4.3K0.0954.05N/AN/A7572,4181,534
2009-06-03$8.18$7.5080.7%23.1%59.4%34.9%0.0%15.5%0.6%9.0K-994.2K-4.3K0.0051.51N/AN/A002,4171,541
2009-06-04$8.17$7.5073.6%21.1%56.9%29.6%73.9%7.8%7.3%9.1K-995.4K-4.2K0.0032.81N/AN/A0202,4171,541
2009-06-05$8.13$5.0070.8%23.5%54.5%27.5%0.0%10.2%-2.9%9.0K-1.0M-4.0K0.0046.59N/AN/A3602,4171,561
2009-06-08$7.84$5.0070.9%22.3%54.5%27.6%77.8%19.6%0.3%7.9K-844.3K-3.9K0.7062.90N/AN/A94662,3911,561
2009-06-09$7.68$5.0067.0%19.4%54.8%20.7%0.0%17.3%7.8%6.9K-788.6K-3.8K1.6744.46N/AN/A352,4131,627
2009-06-10$7.69$5.0070.6%20.0%54.1%23.5%69.7%18.6%7.2%6.9K-753.4K-3.9K0.0845.71N/AN/A256202,4141,627
2009-06-11$7.84$5.0073.8%21.2%41.6%26.0%0.0%16.7%0.6%9.6K-981.0K-4.1K0.0047.36N/AN/A5002,6381,647
2009-06-12$7.91$5.0064.7%18.5%41.2%18.8%0.0%19.8%10.0%10.2K-1.0M-4.0K0.0050.80N/AN/A5002,6651,647
2009-06-15$7.69$5.0065.0%18.6%40.8%19.1%0.0%13.9%8.7%11.0K-890.5K-3.9K1.1423.79N/AN/A782,7151,647
2009-06-16$7.52$5.0066.0%18.9%38.9%19.9%0.0%13.9%5.5%10.9K-785.4K-3.8K0.0049.63N/AN/A6002,7151,644
2009-06-17$7.59$5.0065.4%18.8%32.7%19.5%0.0%14.0%6.8%10.7K-796.3K-3.8K0.0024.81N/AN/A3202,7191,644
2009-06-18$7.65$5.0067.4%19.3%32.9%21.0%0.0%16.3%6.2%11.2K-875.1K-3.8K0.0026.09N/AN/A2502,7201,644
2009-06-19$7.66$5.0065.8%18.9%32.5%19.7%65.7%17.4%12.7%11.1K-927.1K-3.7K0.0795.27N/AN/A161122,7451,644
2009-06-22$7.39$5.0066.1%19.0%34.6%20.0%66.1%13.9%8.1%10.5K-728.8K-3.6K0.6224.98N/AN/A39242,3671,326
2009-06-23$6.81$7.5065.0%18.6%42.1%19.1%64.0%10.3%13.3%9.0K-533.6K-3.4K0.0053.61N/AN/A0132,3931,347
2009-06-24$7.02$7.5076.1%21.8%43.5%27.9%76.2%6.3%1.5%9.2K-577.0K-3.5K0.0015.27N/AN/A3402,3931,360
2009-06-25$7.23$7.5069.8%20.0%45.4%22.9%0.0%6.4%6.7%10.3K-636.7K-3.5K0.0026.53N/AN/A3502,4251,360
2009-06-26$7.35$7.5064.3%18.4%46.2%18.6%64.4%17.5%12.8%11.2K-698.1K-3.6K0.5626.50N/AN/A54302,4591,348
2009-06-29$7.31$7.5067.9%19.5%43.2%21.4%0.0%21.4%6.6%11.7K-728.2K-3.6K0.0027.76N/AN/A1002,5131,378
2009-06-30$7.17$7.5069.1%19.8%43.3%22.3%69.3%16.1%5.6%11.3K-649.7K-3.5K0.0027.31N/AN/A0102,5131,378