CYD Options History — December 2009

In December 2009, CYD traded between $14.74 and $16.69. ATM implied volatility averaged 59.0%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 16.9%. IV traded below realized volatility by 16.5% (HV 20d: 75.5%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.33.

Notable Days

  • 2009-12-30: Highest Volume — 21,131 contracts
  • 2009-12-08: Largest IV spike — 17.0% change
  • 2009-12-08: Highest IV Rank — 24.4%
  • 2009-12-14: Largest Expected Move — 18.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.41$14.74$16.69$16.24$14.74
Max Pain$12.50$10.00$15.00$10.00$15.00
ATM IV59.0%48.4%67.5%61.5%50.7%
Expected Move16.9%13.9%18.5%17.6%14.5%
HV 20d75.5%51.8%103.1%90.0%51.8%
HV 60d71.8%68.8%73.0%69.2%72.6%
IV Rank17.5%9.0%24.4%18.8%10.9%
IV Percentile28.0%11.1%44.8%30.6%15.1%
Term Structure1.3%-3.0%6.3%0.9%4.6%
VWIV58.1%47.6%65.2%61.7%50.7%
Skew 25d4.5%-2.6%10.9%-1.4%4.0%
Skew 10d6.8%-14.4%28.2%-14.4%7.8%
Call IV 25d55.8%36.6%64.5%61.6%40.7%
Put IV 25d60.2%44.5%68.6%60.2%44.7%
Bid-Ask Spread %32.7013.4771.5935.8132.60
Gamma HHI0.280.230.710.270.30
Net GEX109.4K-75.8K375.1K102.4K-75.8K
Net DEX-3.8M-5.6M1.7M-5.0M1.7M
Net VEX-15.8K-49.9K-12.1K-14.7K-49.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.001.980.031.02
Total Volume1,419.5913221,13199799
Total OI10,183.2277,62529,9997,66429,999

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-12-01$16.24$10.0061.5%17.6%90.0%18.8%61.7%-1.4%0.9%102.4K-5.0M-14.7K0.0335.81N/AN/A972256,2471,417
2009-12-02$16.40$10.0056.4%16.2%90.1%15.4%54.2%10.6%3.8%118.6K-5.3M-15.4K0.0515.84N/AN/A251126,7271,446
2009-12-03$15.97$10.0059.7%17.1%91.6%18.1%59.0%-2.6%1.7%110.8K-4.8M-15.0K0.2715.89N/AN/A233646,8011,458
2009-12-04$15.87$12.5059.7%17.6%91.0%18.1%61.0%6.9%-1.4%109.1K-4.6M-14.6K0.2347.35N/AN/A175406,8631,482
2009-12-07$16.69$12.5057.7%16.4%91.4%16.5%55.4%7.3%0.9%134.0K-5.6M-15.2K0.1458.91N/AN/A9181316,9341,508
2009-12-08$14.85$12.5067.5%18.4%103.1%24.4%64.3%4.5%-3.0%90.3K-3.7M-14.3K0.1336.51N/AN/A2,0112547,5291,638
2009-12-09$15.14$12.5061.3%18.1%82.2%19.4%63.3%2.6%0.6%98.7K-3.9M-15.2K0.2418.89N/AN/A5191278,4031,860
2009-12-10$15.17$12.5063.8%18.3%74.9%21.4%65.2%2.0%-2.6%116.3K-4.3M-15.4K0.1325.21N/AN/A115158,8271,975
2009-12-11$15.10$12.5063.0%18.1%73.9%20.8%60.6%4.5%-1.0%112.9K-4.1M-15.1K0.0030.17N/AN/A8808,8181,973
2009-12-14$15.61$12.5064.7%18.5%74.8%22.1%60.0%6.5%0.1%124.8K-4.9M-15.1K0.0371.59N/AN/A524188,7671,973
2009-12-15$15.51$12.5063.7%18.3%72.4%21.3%63.4%3.3%-0.9%113.9K-4.7M-14.9K0.6321.00N/AN/A1591008,7591,986
2009-12-16$15.48$12.5063.9%18.3%71.9%21.5%0.0%4.8%-2.7%106.2K-4.6M-14.9K0.0230.72N/AN/A22058,7952,086
2009-12-17$15.09$12.5062.4%17.9%72.3%20.3%62.4%4.2%-0.3%100.9K-3.7M-14.2K0.0446.01N/AN/A580228,6672,087
2009-12-18$14.98$12.5060.9%17.4%72.2%19.0%60.4%3.1%1.4%375.1K-3.2M-13.5K1.3436.08N/AN/A1231658,7952,108
2009-12-21$14.86$12.5058.9%16.9%72.2%17.5%58.5%5.0%1.5%70.9K-2.9M-12.5K0.1832.10N/AN/A242436,1011,524
2009-12-22$15.04$15.0055.6%15.9%72.3%14.8%55.3%7.1%4.4%72.9K-3.0M-12.5K0.0423.48N/AN/A287126,1741,567
2009-12-23$15.32$12.5054.3%15.6%71.7%13.8%53.9%6.0%4.8%86.0K-3.4M-12.9K0.0129.30N/AN/A864106,3921,576
2009-12-24$15.50$12.5051.9%14.9%70.3%11.8%51.5%-1.5%6.2%110.6K-3.8M-13.8K0.0325.64N/AN/A3116,9351,566
2009-12-28$15.48$12.5055.8%16.0%67.0%15.0%47.6%4.8%2.8%112.2K-3.9M-13.3K0.0038.90N/AN/A44406,9341,566
2009-12-29$15.12$12.5055.8%16.0%52.4%15.0%53.4%10.9%1.6%111.9K-3.6M-13.1K0.6813.47N/AN/A120817,2611,566
2009-12-30$14.86$15.0048.4%13.9%52.0%9.0%0.0%5.4%6.3%104.1K-3.2M-12.1K1.9833.95N/AN/A7,09114,0407,3081,633
2009-12-31$14.74$15.0050.7%14.5%51.8%10.9%50.7%4.0%4.6%-75.8K1.7M-49.9K1.0232.60N/AN/A495014,33115,668