CYD Options History — October 2009

In October 2009, CYD traded between $8.86 and $11.95. ATM implied volatility averaged 49.2%, placing in the 9.3% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded above realized volatility by 7.8% (HV 20d: 41.4%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.85.

Notable Days

  • 2009-10-20: Highest Volume — 986 contracts
  • 2009-10-02: Largest IV spike — 33.4% change
  • 2009-10-29: Highest IV Rank — 17.5%
  • 2009-10-29: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.15$8.86$11.95$8.98$10.70
Max Pain$7.73$7.50$10.00$7.50$10.00
ATM IV49.2%41.3%60.0%41.3%59.2%
Expected Move14.9%11.8%17.2%11.8%17.0%
HV 20d41.4%26.1%68.8%41.8%68.8%
HV 60d59.7%56.6%66.0%59.6%60.1%
IV Rank9.3%3.2%17.5%3.2%16.8%
IV Percentile9.9%1.6%23.0%1.6%22.2%
Term Structure0.0%-7.7%7.8%7.8%-5.8%
VWIV54.3%49.1%64.5%49.4%59.6%
Skew 25d7.1%-18.4%22.0%0.9%-0.5%
Skew 10d16.7%-16.3%63.0%6.3%0.8%
Call IV 25d48.7%39.9%65.4%50.2%60.3%
Put IV 25d55.8%30.9%68.4%51.1%59.7%
Bid-Ask Spread %38.9917.6757.9746.8938.32
Gamma HHI0.560.420.690.640.45
Net GEX27.7K13.5K41.8K15.3K33.0K
Net DEX-1.2M-2.0M-652.4K-723.4K-1.2M
Net VEX-3.9K-5.7K-2.8K-3.6K-5.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.005.005.000.48
Total Volume157.591098612123
Total OI4,222.7273,2654,8883,9784,888

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-10-01$8.98$7.5041.3%11.8%41.8%3.2%49.4%0.9%7.8%15.3K-723.4K-3.6K5.0046.89N/AN/A2102,4301,548
2009-10-02$8.86$7.5055.0%15.8%38.2%13.7%0.0%-10.8%-7.0%15.0K-679.5K-3.7K0.0057.97N/AN/A002,4301,548
2009-10-05$9.04$7.5052.2%16.8%38.5%11.5%58.9%18.8%-1.2%16.4K-802.9K-3.6K3.3324.74N/AN/A301002,4301,548
2009-10-06$9.33$7.5044.9%15.1%38.6%5.9%0.0%21.7%4.6%18.2K-899.2K-3.4K0.0021.12N/AN/A1302,4501,589
2009-10-07$9.31$7.5049.7%15.1%35.3%9.6%0.0%22.0%2.2%18.3K-907.0K-3.4K0.0044.67N/AN/A0502,4631,589
2009-10-08$9.48$7.5041.4%15.7%35.8%3.2%0.0%18.4%1.1%19.8K-1.0M-3.5K0.0056.46N/AN/A002,4631,639
2009-10-09$9.54$7.5046.6%15.1%35.1%7.2%64.5%20.5%1.7%20.6K-1.0M-3.4K0.5639.03N/AN/A61342,4631,639
2009-10-12$9.62$7.5043.2%15.1%27.0%4.6%0.0%20.2%2.2%26.3K-1.0M-3.3K0.0028.96N/AN/A302,5091,639
2009-10-13$9.60$7.5047.9%15.9%26.6%8.3%55.4%17.7%1.0%25.6K-1.0M-3.3K3.3336.73N/AN/A15502,5121,639
2009-10-14$9.85$7.5044.4%15.0%26.8%5.6%52.5%21.7%0.7%37.3K-1.2M-3.2K0.0044.68N/AN/A2302,5261,639
2009-10-15$9.96$7.5049.8%14.3%27.0%9.7%49.8%5.3%1.8%38.6K-1.3M-2.9K0.6936.16N/AN/A29202,5391,639
2009-10-16$9.75$7.5049.2%14.1%26.1%9.2%49.1%-3.1%-0.3%37.1K-1.1M-3.0K0.1936.09N/AN/A53102,5681,659
2009-10-19$9.92$7.5053.3%15.3%26.1%12.3%53.3%7.5%-0.9%13.5K-652.4K-3.0K0.1617.67N/AN/A124201,7431,522
2009-10-20$11.13$7.5047.9%13.7%47.4%8.2%49.8%0.1%6.6%23.3K-1.3M-2.8K0.2025.94N/AN/A8231631,8671,542
2009-10-21$11.02$7.5045.3%13.0%47.1%6.2%52.0%-18.4%-7.7%31.6K-1.3M-4.2K0.2740.71N/AN/A4031102,4871,697
2009-10-22$11.31$7.5047.0%13.5%46.9%7.6%49.1%0.9%-2.2%35.8K-1.5M-4.5K0.0230.46N/AN/A23742,5911,807
2009-10-23$11.40$7.5042.4%12.2%46.4%4.1%55.9%12.2%6.4%38.7K-1.7M-4.8K0.9147.86N/AN/A44402,7441,807
2009-10-26$11.95$7.5048.9%14.0%47.9%9.0%50.5%-0.8%0.1%41.8K-2.0M-4.8K0.2955.94N/AN/A4131182,7531,787
2009-10-27$11.26$7.5055.5%15.9%52.7%14.0%58.5%5.6%-5.6%38.2K-1.6M-5.7K0.0444.86N/AN/A18082,9521,899
2009-10-28$10.29$7.5058.3%16.7%63.7%16.2%60.1%-9.5%-1.6%29.8K-977.8K-5.4K0.6541.23N/AN/A60392,9571,891
2009-10-29$11.05$10.0060.0%17.2%67.6%17.5%0.0%5.3%-3.7%36.1K-1.4M-5.6K0.0041.30N/AN/A5502,9421,926
2009-10-30$10.70$10.0059.2%17.0%68.8%16.8%59.6%-0.5%-5.8%33.0K-1.2M-5.5K0.4838.32N/AN/A83402,9621,926