CYD Options History — January 2010

In January 2010, CYD traded between $13.40 and $19.69. ATM implied volatility averaged 61.1%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 17.5%. IV traded below realized volatility by 3.9% (HV 20d: 65.0%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.35.

Notable Days

  • 2010-01-20: Highest Volume — 18,414 contracts
  • 2010-01-07: Largest IV spike — 18.3% change
  • 2010-01-29: Highest IV Rank — 35.7%
  • 2010-01-29: Largest Expected Move — 20.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.75$13.40$19.69$15.49$13.40
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV61.1%45.4%69.7%55.9%69.7%
Expected Move17.5%14.8%20.0%15.5%20.0%
HV 20d65.0%51.4%80.2%54.6%80.2%
HV 60d76.9%73.0%80.4%73.0%77.0%
IV Rank23.3%6.6%35.7%15.0%35.7%
IV Percentile39.1%7.9%61.5%24.2%61.5%
Term Structure0.2%-4.7%6.0%6.0%-0.1%
VWIV59.4%49.7%66.7%50.6%62.2%
Skew 25d6.3%-0.0%15.6%8.3%4.9%
Skew 10d12.6%-3.3%33.6%7.1%6.8%
Call IV 25d57.1%48.9%67.9%50.0%61.5%
Put IV 25d63.4%55.4%71.7%58.4%66.4%
Bid-Ask Spread %20.839.4150.3523.3312.96
Gamma HHI0.350.310.470.320.41
Net GEX67.1K-471.2K480.8K2.4K-471.2K
Net DEX-3.7M-22.5M20.0M-1.3M20.0M
Net VEX-57.3K-86.5K-45.0K-49.6K-55.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.031.860.100.19
Total Volume2,255.73723118,414639744
Total OI39,928.36830,02953,38130,02953,381

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-01-04$15.49$15.0055.9%15.5%54.6%15.0%50.6%8.3%6.0%2.4K-1.3M-49.6K0.1023.33N/AN/A5815814,32115,708
2010-01-05$16.62$15.0051.4%14.8%60.2%11.4%53.1%7.3%5.6%128.7K-6.2M-49.5K0.0519.90N/AN/A7293714,39815,764
2010-01-06$16.18$15.0045.4%16.0%58.3%6.6%52.9%5.7%3.1%100.3K-4.8M-50.4K0.0321.53N/AN/A9573114,88115,783
2010-01-07$17.85$15.0053.7%15.1%51.4%13.3%49.7%6.5%4.7%303.8K-13.2M-48.1K0.2522.05N/AN/A1,62139815,45815,785
2010-01-08$18.70$15.0054.5%16.4%53.0%13.9%55.5%5.7%1.8%367.1K-17.1M-46.7K0.1615.57N/AN/A1,83629616,34216,142
2010-01-11$19.69$15.0062.1%16.2%54.9%20.0%57.6%8.9%0.4%416.1K-22.5M-45.0K0.3928.86N/AN/A1,39153917,10116,398
2010-01-12$19.30$15.0061.2%16.7%55.8%19.3%59.2%8.4%-0.3%408.9K-20.4M-47.8K0.0450.35N/AN/A1,5545817,53616,911
2010-01-13$18.73$15.0064.6%18.3%57.1%27.4%62.7%5.9%-1.4%384.9K-17.7M-50.9K0.5734.87N/AN/A88250618,11416,910
2010-01-14$18.71$15.0065.1%18.7%57.0%27.9%63.2%7.0%-4.7%362.4K-17.7M-49.5K0.0316.01N/AN/A3131018,13517,191
2010-01-15$17.77$15.0060.9%17.5%60.9%23.7%60.5%5.6%-1.4%480.8K-13.5M-51.6K0.4621.24N/AN/A48222218,18917,199
2010-01-19$18.50$15.0062.2%17.8%60.7%25.0%60.7%9.5%-1.1%253.1K-13.2M-45.8K0.1514.81N/AN/A3014614,99316,864
2010-01-20$17.55$15.0061.4%17.6%64.5%24.1%61.0%4.0%-0.8%223.1K-9.6M-46.4K1.8616.12N/AN/A6,44811,96615,06916,879
2010-01-21$15.76$15.0065.8%18.9%76.3%28.5%63.8%1.9%-4.1%-183.4K6.0M-84.6K0.1616.12N/AN/A4,87779021,05028,777
2010-01-22$15.64$15.0066.6%19.1%76.3%29.3%66.3%5.0%-1.8%-150.7K6.6M-86.5K1.0823.56N/AN/A20922523,46429,025
2010-01-25$15.45$15.0065.4%18.7%76.2%30.9%66.7%-0.0%-0.4%-188.6K7.6M-82.5K0.2019.25N/AN/A1923923,46629,141
2010-01-26$14.60$15.0064.8%18.6%78.7%30.3%61.0%6.6%0.1%-344.1K14.2M-69.8K0.3414.38N/AN/A2,46784523,47929,145
2010-01-27$14.43$15.0064.8%18.6%78.8%30.3%64.8%2.7%0.0%-381.8K14.7M-67.7K0.3115.34N/AN/A1986223,19529,550
2010-01-28$13.80$15.0064.9%18.6%79.8%30.4%56.9%15.6%-1.0%-437.3K18.3M-60.5K0.369.41N/AN/A69625323,33629,559
2010-01-29$13.40$15.0069.7%20.0%80.2%35.7%62.2%4.9%-0.1%-471.2K20.0M-55.9K0.1912.96N/AN/A62412023,71929,662