CYD Options History — August 2009

In August 2009, CYD traded between $8.50 and $10.46. ATM implied volatility averaged 55.6%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 16.2%. IV traded below realized volatility by 18.8% (HV 20d: 74.3%). Max pain ranged from $5.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.28.

Notable Days

  • 2009-08-13: Highest Volume — 962 contracts
  • 2009-08-31: Largest IV spike — 43.3% change
  • 2009-08-05: Highest IV Rank — 20.7%
  • 2009-08-10: Largest Expected Move — 18.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.29$8.50$10.46$8.55$8.70
Max Pain$9.05$5.00$10.00$5.00$10.00
ATM IV55.6%40.4%64.2%59.7%63.2%
Expected Move16.2%11.6%18.6%17.1%18.1%
HV 20d74.3%39.4%86.1%39.5%86.1%
HV 60d58.3%48.4%62.1%48.9%61.8%
IV Rank14.1%2.5%20.7%17.2%19.9%
IV Percentile7.4%0.4%15.5%7.1%15.5%
Term Structure5.7%-2.9%25.3%12.9%24.3%
VWIV56.2%35.1%64.9%38.5%62.2%
Skew 25d12.9%-7.7%24.3%19.3%23.5%
Skew 10d21.4%-12.3%46.3%46.3%23.4%
Call IV 25d52.0%37.5%62.3%41.2%49.9%
Put IV 25d64.9%45.9%75.0%60.4%73.4%
Bid-Ask Spread %58.7020.0395.0528.8750.83
Gamma HHI0.650.400.910.470.50
Net GEX18.3K8.2K32.9K13.7K14.4K
Net DEX-1.1M-1.8M-465.1K-1.0M-615.2K
Net VEX-3.8K-4.6K-2.9K-3.0K-4.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.280.001.470.001.47
Total Volume183.57149623584
Total OI3,8423,0754,6043,5313,836

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$8.55$5.0059.7%17.1%39.5%17.2%0.0%19.3%12.9%13.7K-1.0M-3.0K0.0028.87N/AN/A3502,2511,280
2009-08-04$8.50$5.0056.8%16.3%39.4%15.0%38.5%15.3%25.3%13.5K-1.0M-3.0K0.0020.03N/AN/A1802,2601,280
2009-08-05$9.74$5.0064.2%18.4%58.6%20.7%64.1%10.0%-1.1%15.1K-1.6M-2.9K0.1066.35N/AN/A397402,2701,280
2009-08-06$9.07$5.0049.3%14.1%66.5%9.3%56.0%16.1%7.2%17.6K-1.2M-3.1K0.0342.10N/AN/A8632,2641,320
2009-08-07$9.21$10.0060.1%17.0%66.2%17.6%58.9%-6.4%3.9%19.0K-1.2M-3.2K0.0056.04N/AN/A7902,2941,317
2009-08-10$9.42$10.0059.2%18.6%66.2%16.9%64.9%-2.8%-2.7%20.9K-1.3M-3.3K0.0030.41N/AN/A4702,3441,317
2009-08-11$9.20$10.0053.5%18.3%67.5%12.5%64.7%12.7%-0.5%20.2K-1.2M-3.2K0.0679.75N/AN/A1712,3621,317
2009-08-12$9.10$10.0047.2%14.6%66.6%7.7%62.0%1.5%2.0%18.0K-1.2M-3.1K0.0044.10N/AN/A602,3651,317
2009-08-13$10.46$10.0061.1%17.5%76.9%18.3%61.1%18.7%1.2%32.9K-1.8M-3.1K0.4093.02N/AN/A6852772,3571,317
2009-08-14$10.00$10.0060.7%17.4%79.6%18.0%60.6%-7.7%1.5%32.7K-1.6M-4.0K0.4765.68N/AN/A2761302,6681,575
2009-08-17$9.29$10.0062.9%18.0%84.9%19.7%62.9%17.4%0.2%19.5K-1.2M-4.1K1.1794.28N/AN/A1722012,7131,685
2009-08-18$9.55$10.0058.7%16.8%85.0%16.4%58.8%18.7%3.1%28.8K-1.3M-4.4K0.9839.52N/AN/A41402,8161,763
2009-08-19$9.31$10.0061.7%17.7%85.1%18.8%61.9%11.0%-2.9%20.1K-1.1M-4.2K0.0036.09N/AN/A6202,7621,793
2009-08-20$9.39$10.0058.5%16.8%85.0%16.3%0.0%11.9%3.5%23.4K-1.1M-4.3K0.0045.98N/AN/A402,8091,793
2009-08-21$9.35$10.0060.5%17.3%84.4%17.8%35.1%10.7%-0.2%8.2K-1.1M-4.1K0.0046.08N/AN/A20802,8111,793
2009-08-24$9.36$10.0053.9%15.5%84.4%12.8%55.2%21.4%4.9%8.9K-465.1K-4.0K0.0093.50N/AN/A14701,6981,377
2009-08-25$9.47$10.0049.7%14.2%84.4%9.6%49.8%24.3%13.4%9.6K-484.8K-4.1K0.0093.59N/AN/A60201,7261,377
2009-08-26$9.22$10.0041.8%12.0%84.8%3.6%49.0%19.0%11.0%15.1K-796.3K-4.5K0.1352.67N/AN/A3242,2801,377
2009-08-27$9.18$10.0040.4%11.6%84.8%2.5%0.0%20.3%8.2%15.9K-765.2K-4.5K0.4958.79N/AN/A105512,3021,381
2009-08-28$9.02$10.0044.1%12.6%85.1%5.3%45.4%15.1%4.5%16.2K-761.5K-4.6K0.6795.05N/AN/A322,4041,431
2009-08-31$8.70$10.0063.2%18.1%86.1%19.9%62.2%23.5%24.3%14.4K-615.2K-4.4K1.4750.83N/AN/A34502,4041,432