CYD Options History — September 2009

In September 2009, CYD traded between $8.36 and $9.73. ATM implied volatility averaged 52.7%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded below realized volatility by 2.0% (HV 20d: 54.7%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.83.

Notable Days

  • 2009-09-03: Highest Volume — 215 contracts
  • 2009-09-08: Largest IV spike — 69.5% change
  • 2009-09-08: Highest IV Rank — 33.5%
  • 2009-09-02: Largest Expected Move — 21.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.11$8.36$9.73$8.36$9.00
Max Pain$7.86$7.50$10.00$10.00$7.50
ATM IV52.7%37.9%81.0%62.5%47.0%
Expected Move15.4%11.4%21.9%17.9%13.5%
HV 20d54.7%41.8%87.3%87.3%41.8%
HV 60d62.0%59.6%64.3%61.9%59.7%
IV Rank11.9%0.6%33.5%19.4%7.5%
IV Percentile8.9%0.4%42.5%14.3%5.2%
Term Structure1.7%-11.5%10.9%-10.5%4.4%
VWIV56.2%47.1%69.2%59.8%52.6%
Skew 25d17.1%-7.0%31.0%9.6%18.6%
Skew 10d25.0%-2.6%36.9%16.9%28.6%
Call IV 25d49.9%38.4%62.2%62.2%47.1%
Put IV 25d66.9%45.6%75.9%71.8%65.6%
Bid-Ask Spread %51.1725.0382.8847.0636.91
Gamma HHI0.590.460.720.460.64
Net GEX17.1K11.0K30.0K11.7K15.7K
Net DEX-761.4K-986.5K-389.5K-424.2K-718.0K
Net VEX-4.0K-4.6K-3.7K-4.3K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.830.0015.004.4012.40
Total Volume6902151350
Total OI4,078.6193,7354,5073,8563,978

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$8.36$10.0062.5%17.9%87.3%19.4%0.0%9.6%-10.5%11.7K-424.2K-4.3K4.4047.06N/AN/A251102,3741,482
2009-09-02$8.41$10.0076.5%21.9%70.9%30.1%0.0%12.4%-11.5%11.0K-389.5K-4.4K0.0028.77N/AN/A502,3541,592
2009-09-03$8.85$10.0051.0%14.6%69.5%10.6%59.8%23.5%-6.5%13.9K-624.5K-4.5K0.0757.79N/AN/A200152,3581,592
2009-09-04$8.99$7.5047.8%16.4%69.5%8.1%0.0%22.4%2.7%18.5K-707.9K-4.6K0.0066.93N/AN/A10002,5461,607
2009-09-08$8.75$7.5081.0%21.0%69.5%33.5%0.0%18.4%2.0%16.8K-630.4K-4.4K15.0031.73N/AN/A1152,6261,607
2009-09-09$9.15$7.5037.9%16.6%71.1%0.6%69.2%22.0%4.8%19.1K-695.6K-4.3K0.3050.57N/AN/A33102,6251,606
2009-09-10$9.20$7.5054.2%15.5%71.0%13.0%0.0%31.0%1.9%22.4K-858.7K-4.3K0.0025.03N/AN/A5002,6281,616
2009-09-11$9.03$7.5057.5%16.5%48.8%15.5%57.5%29.4%-1.3%18.3K-815.0K-4.4K0.0032.64N/AN/A4102,6281,616
2009-09-14$9.62$7.5062.2%17.8%52.7%19.1%62.3%18.4%-3.3%24.1K-889.0K-3.9K0.0032.96N/AN/A14802,6421,616
2009-09-15$9.50$7.5056.5%16.2%45.6%14.8%56.7%21.5%1.7%15.9K-780.9K-4.1K0.1453.88N/AN/A73102,7581,616
2009-09-16$9.73$7.5056.7%16.2%45.4%14.9%56.8%19.9%2.5%20.6K-982.7K-3.9K0.0167.75N/AN/A16522,8051,606
2009-09-17$9.70$7.5057.5%16.5%44.3%15.5%56.9%3.7%2.1%30.0K-986.5K-4.0K2.0882.88N/AN/A24502,8631,604
2009-09-18$9.43$7.5055.1%15.8%45.5%13.7%55.0%-4.0%3.3%14.9K-813.5K-3.9K1.6769.42N/AN/A24402,8631,644
2009-09-21$9.31$7.5042.3%12.1%45.7%3.9%50.4%25.4%8.6%14.8K-887.8K-3.9K0.0558.95N/AN/A4222,2421,493
2009-09-22$9.28$7.5042.4%12.2%45.7%4.0%49.6%26.0%8.3%14.9K-947.2K-3.7K0.0034.15N/AN/A2002,2701,495
2009-09-23$9.15$7.5039.7%11.4%45.8%2.0%47.1%23.6%10.9%14.8K-904.4K-3.7K0.4271.31N/AN/A26112,2901,495
2009-09-24$9.06$7.5044.4%12.7%44.9%5.6%0.0%18.3%6.5%14.4K-756.5K-3.8K0.0058.22N/AN/A7002,2901,506
2009-09-25$9.00$7.5045.1%12.9%44.9%6.1%52.6%-7.0%4.6%15.2K-791.4K-3.8K0.0076.09N/AN/A5002,3601,506
2009-09-28$9.01$7.5044.2%12.7%44.5%5.4%0.0%23.3%10.0%15.9K-748.6K-3.8K0.0058.94N/AN/A2002,4101,506
2009-09-29$8.77$7.5045.1%12.9%43.6%6.1%0.0%1.8%-6.4%15.3K-637.5K-3.7K12.4032.71N/AN/A5622,4301,506
2009-09-30$9.00$7.5047.0%13.5%41.8%7.5%0.0%18.6%4.4%15.7K-718.0K-3.7K0.0036.91N/AN/A002,4301,548