CYD Options History — November 2009

In November 2009, CYD traded between $10.70 and $16.65. ATM implied volatility averaged 60.9%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 17.0%. IV traded below realized volatility by 24.1% (HV 20d: 85.0%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.17.

Notable Days

  • 2009-11-18: Highest Volume — 2,487 contracts
  • 2009-11-11: Largest IV spike — 46.4% change
  • 2009-11-09: Highest IV Rank — 31.6%
  • 2009-11-04: Largest Expected Move — 20.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.31$10.70$16.65$10.70$16.65
Max Pain$9.38$7.50$10.00$7.50$10.00
ATM IV60.9%46.1%78.5%69.5%60.4%
Expected Move17.0%15.4%20.4%19.9%17.3%
HV 20d85.0%68.5%98.0%68.7%88.8%
HV 60d62.9%53.0%68.9%60.0%68.9%
IV Rank18.2%6.8%31.6%24.7%18.0%
IV Percentile27.4%7.9%48.4%38.9%29.0%
Term Structure-1.2%-15.4%4.1%-15.4%-2.0%
VWIV58.2%48.4%73.9%66.4%62.0%
Skew 25d3.4%-10.1%17.9%2.4%1.0%
Skew 10d11.0%-13.0%32.2%8.6%-8.2%
Call IV 25d57.2%44.3%72.7%66.6%62.9%
Put IV 25d60.7%43.9%73.5%69.0%63.8%
Bid-Ask Spread %39.2819.3577.4044.4038.61
Gamma HHI0.380.220.720.450.28
Net GEX58.1K28.6K100.5K33.6K89.9K
Net DEX-3.9M-6.2M-1.2M-1.2M-4.9M
Net VEX-8.7K-13.6K-5.2K-5.5K-13.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.170.010.970.120.02
Total Volume603.15812,4871831,346
Total OI6,464.84,9559,5444,9556,957

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$10.70$7.5069.5%19.9%68.7%24.7%0.0%2.4%-15.4%33.6K-1.2M-5.5K0.1244.40N/AN/A163203,0231,932
2009-11-03$10.96$7.5068.8%19.7%68.5%24.2%66.4%4.6%-7.7%37.5K-1.5M-6.0K0.3927.28N/AN/A200773,1691,952
2009-11-04$11.24$7.5071.2%20.4%68.6%26.0%73.9%0.3%-5.5%37.8K-1.7M-6.2K0.1143.08N/AN/A283303,1491,984
2009-11-05$11.85$7.5065.5%18.8%70.3%21.6%61.7%14.3%-9.6%43.4K-2.2M-6.2K0.0360.22N/AN/A17253,2101,974
2009-11-06$11.75$10.0067.9%16.3%70.6%23.5%60.9%17.9%-1.5%42.6K-2.1M-6.2K0.1443.71N/AN/A71103,2341,977
2009-11-09$11.88$10.0078.5%17.5%70.6%31.6%59.8%-0.1%-1.6%41.9K-2.2M-6.3K0.1528.47N/AN/A169253,2551,977
2009-11-10$14.20$7.5046.1%15.6%92.1%6.8%70.4%6.2%4.1%28.6K-3.9M-5.2K0.0266.32N/AN/A1,483243,3092,002
2009-11-11$15.60$10.0067.4%15.8%95.8%23.1%51.8%5.7%3.9%35.8K-5.2M-5.5K0.1443.53N/AN/A1,3481873,8262,010
2009-11-12$15.06$10.0055.6%15.9%98.0%14.1%53.6%5.3%2.1%52.6K-4.7M-6.5K0.1224.20N/AN/A386474,2482,152
2009-11-13$15.18$10.0055.5%15.9%96.9%14.0%48.4%6.5%1.3%54.7K-4.8M-6.7K0.9731.64N/AN/A1991944,3542,188
2009-11-16$15.99$10.0057.2%16.4%97.4%15.3%57.1%6.2%1.7%57.4K-5.4M-6.6K0.0339.31N/AN/A920234,3862,251
2009-11-17$16.30$10.0053.8%15.4%91.3%12.8%55.3%9.0%1.9%73.7K-6.0M-8.0K0.3136.55N/AN/A3181004,9692,257
2009-11-18$16.10$10.0056.2%16.1%91.4%14.6%52.5%-4.8%2.7%54.2K-5.9M-8.1K0.0140.06N/AN/A2,451365,1632,327
2009-11-19$15.83$10.0058.8%16.9%92.2%16.6%56.5%11.5%-1.3%100.5K-6.2M-13.3K0.2219.35N/AN/A383857,0412,332
2009-11-20$15.76$10.0058.8%16.9%92.4%16.5%59.2%9.0%-0.9%90.6K-6.0M-13.4K0.0527.74N/AN/A17697,1542,390
2009-11-23$15.59$10.0055.8%16.0%92.2%14.4%55.8%-8.4%1.3%71.7K-3.7M-12.5K0.1135.16N/AN/A280315,2681,316
2009-11-24$15.08$10.0055.6%16.0%89.9%14.3%51.8%-10.1%0.9%68.5K-3.5M-12.7K0.2038.48N/AN/A94195,3871,347
2009-11-25$15.70$10.0055.6%16.0%81.2%14.3%54.3%-4.0%0.9%77.8K-4.0M-12.8K0.0619.99N/AN/A343215,4451,364
2009-11-27$14.83$10.0059.8%17.1%83.4%17.5%55.2%-3.8%-0.0%69.2K-3.5M-12.2K0.2077.40N/AN/A279565,6421,375
2009-11-30$16.65$10.0060.4%17.3%88.8%18.0%62.0%1.0%-2.0%89.9K-4.9M-13.6K0.0238.61N/AN/A1,317295,5621,395