CYD Options History — July 2009

In July 2009, CYD traded between $6.60 and $8.46. ATM implied volatility averaged 60.2%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 18.8%. IV traded above realized volatility by 10.3% (HV 20d: 49.9%). 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 18 of 22 days. Put/call ratio averaged 8.62.

Notable Days

  • 2009-07-16: Highest Volume — 295 contracts
  • 2009-07-07: Largest IV drop — 35.8% change
  • 2009-07-15: Highest IV Rank — 27.6%
  • 2009-07-15: Largest Expected Move — 21.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.70$6.60$8.46$7.02$8.42
Max Pain$5.23$5.00$7.50$7.50$5.00
ATM IV60.2%37.1%73.3%51.7%62.3%
Expected Move18.8%13.0%21.3%14.8%17.9%
HV 20d49.9%40.0%59.4%42.1%40.0%
HV 60d60.7%49.7%80.5%79.4%49.7%
IV Rank17.3%0.0%27.6%8.7%19.2%
IV Percentile12.0%0.0%31.0%1.2%11.1%
Term Structure6.1%-2.3%29.9%21.6%6.7%
VWIV67.7%48.1%106.4%51.8%106.4%
Skew 25d19.3%1.2%39.5%39.5%24.4%
Skew 10d37.7%10.7%58.1%57.4%36.3%
Call IV 25d57.3%36.9%76.1%51.7%37.0%
Put IV 25d76.6%57.2%94.6%91.2%61.4%
Bid-Ask Spread %39.3627.1465.5938.5433.22
Gamma HHI0.470.380.580.460.47
Net GEX11.7K8.8K16.8K11.1K13.3K
Net DEX-718.2K-1.1M-399.8K-538.6K-992.5K
Net VEX-3.1K-3.3K-2.9K-3.3K-3.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.620.00175.001.010.00
Total Volume70.13602951678
Total OI3,734.7273,3824,0223,9013,529

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-07-01$7.02$7.5051.7%14.8%42.1%8.7%51.8%39.5%21.6%11.1K-538.6K-3.3K1.0138.54N/AN/A83842,5131,388
2009-07-02$6.60$7.5045.4%13.0%46.2%3.7%0.0%38.3%29.9%8.8K-488.3K-3.2K1.0047.36N/AN/A11112,5511,444
2009-07-06$6.80$5.0057.8%20.5%48.4%13.5%72.0%25.3%1.6%10.2K-412.5K-3.0K0.0044.93N/AN/A14102,5511,455
2009-07-07$7.00$5.0037.1%20.1%49.0%0.0%66.2%27.9%-0.5%11.8K-399.8K-3.0K0.0045.42N/AN/A1102,5291,455
2009-07-08$6.89$5.0048.7%20.8%48.8%8.8%0.0%33.0%-2.3%10.6K-403.5K-3.0K0.0065.59N/AN/A702,5241,455
2009-07-09$6.95$5.0055.2%19.3%49.0%13.8%67.4%29.5%3.0%11.1K-428.9K-2.9K0.0028.48N/AN/A4602,5241,455
2009-07-10$6.93$5.0065.6%20.6%48.2%21.8%67.1%31.8%0.8%11.1K-457.8K-3.0K0.8027.14N/AN/A15122,5391,455
2009-07-13$7.09$5.0049.0%20.3%49.0%9.0%70.8%9.1%1.4%13.7K-462.3K-2.9K0.0041.69N/AN/A102,5461,466
2009-07-14$7.11$5.0064.6%19.8%48.3%21.0%0.0%9.8%2.3%13.4K-483.9K-2.9K0.0035.28N/AN/A002,5471,466
2009-07-15$7.46$5.0073.3%21.3%51.2%27.6%74.2%17.4%-1.0%16.8K-694.1K-3.1K0.9140.03N/AN/A35322,5471,466
2009-07-16$8.11$5.0072.0%20.6%59.2%26.6%72.0%14.9%1.1%14.0K-1.1M-3.1K0.0929.48N/AN/A271242,5781,444
2009-07-17$8.24$5.0064.9%18.6%59.3%21.2%0.0%11.7%10.2%9.8K-1.0M-3.1K0.0533.27N/AN/A9752,3781,453
2009-07-20$8.22$5.0065.9%18.9%59.4%22.0%64.8%4.9%4.9%10.3K-807.6K-3.1K1.4831.75N/AN/A27402,0551,327
2009-07-21$8.15$5.0066.1%18.9%57.7%22.1%66.0%13.9%1.6%9.6K-786.8K-3.1K0.0230.42N/AN/A9922,0671,356
2009-07-22$8.46$5.0061.6%17.6%48.8%18.7%59.0%1.2%10.0%10.6K-891.7K-3.1K0.0041.17N/AN/A7802,0471,356
2009-07-23$8.44$5.0068.0%19.5%48.5%23.6%68.9%7.1%4.0%10.6K-889.0K-3.2K175.0040.50N/AN/A11752,0851,356
2009-07-24$8.24$5.0063.2%18.1%49.2%19.9%60.0%6.7%4.0%10.5K-813.1K-3.1K0.3534.65N/AN/A80282,0861,297
2009-07-27$8.30$5.0070.9%20.3%49.1%25.8%0.0%8.9%-0.1%11.9K-891.7K-3.1K0.0034.07N/AN/A1502,1541,282
2009-07-28$8.44$5.0067.3%19.3%49.0%23.1%0.0%24.7%3.7%12.4K-948.7K-3.0K0.0050.74N/AN/A3502,1601,280
2009-07-29$8.30$5.0062.6%17.9%48.8%19.4%48.1%25.7%6.6%12.6K-916.1K-3.0K0.2828.73N/AN/A50142,1941,280
2009-07-30$8.29$5.0050.5%14.5%47.8%10.2%0.0%19.4%25.1%13.0K-954.7K-3.0K0.0063.48N/AN/A502,2441,280
2009-07-31$8.42$5.0062.3%17.9%40.0%19.2%106.4%24.4%6.7%13.3K-992.5K-3.1K0.0033.22N/AN/A802,2491,280