CYD Options History — February 2010

In February 2010, CYD traded between $12.64 and $14.79. ATM implied volatility averaged 69.9%, placing in the 35.9% IV rank vs the trailing year. The 30-day expected move averaged 20.1%. IV traded above realized volatility by 1.3% (HV 20d: 68.6%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.29.

Notable Days

  • 2010-02-25: Highest Volume — 2,931 contracts
  • 2010-02-25: Largest IV drop — 15.6% change
  • 2010-02-23: Highest IV Rank — 42.0%
  • 2010-02-23: Largest Expected Move — 21.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.85$12.64$14.79$13.81$14.73
Max Pain$16.97$15.00$17.50$15.00$17.50
ATM IV69.9%56.2%75.5%65.1%56.2%
Expected Move20.1%16.1%21.6%18.7%16.1%
HV 20d68.6%57.7%81.1%81.1%61.5%
HV 60d70.8%64.7%79.4%77.1%64.7%
IV Rank35.9%20.9%42.0%30.7%20.9%
IV Percentile61.0%26.2%73.8%51.6%26.2%
Term Structure-2.5%-8.9%4.3%2.6%2.1%
VWIV69.6%56.1%75.6%63.4%56.1%
Skew 25d2.2%-6.2%14.9%1.2%7.8%
Skew 10d-2.5%-25.0%21.6%-11.9%11.4%
Call IV 25d69.6%54.1%76.3%66.6%54.4%
Put IV 25d71.8%62.2%78.6%67.8%62.2%
Bid-Ask Spread %26.1812.2144.6218.8327.72
Gamma HHI0.410.340.550.430.35
Net GEX-435.2K-742.8K-131.4K-480.3K-229.7K
Net DEX16.4M8.0M23.7M18.6M8.0M
Net VEX-41.2K-61.8K-25.7K-57.1K-37.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.290.011.380.080.44
Total Volume646.3681102,931423824
Total OI47,174.36825,39255,18353,56529,593

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-02-01$13.81$15.0065.1%18.7%81.1%30.7%63.4%1.2%2.6%-480.3K18.6M-57.1K0.0818.83N/AN/A3923123,88329,682
2010-02-02$14.47$15.0064.0%18.4%80.9%29.5%67.5%-0.3%2.7%-443.2K14.9M-61.8K0.2316.40N/AN/A1884423,86429,661
2010-02-03$14.22$15.0063.7%18.3%76.1%29.1%59.6%14.9%4.0%-473.4K16.3M-58.7K0.0313.71N/AN/A107323,80129,701
2010-02-04$13.02$15.0069.2%19.8%81.1%35.1%67.6%-4.7%4.3%-509.8K21.9M-45.8K0.1714.34N/AN/A79213123,84029,704
2010-02-05$12.64$17.5068.4%20.6%70.3%34.2%71.7%-0.2%-3.2%-481.3K23.7M-39.5K0.1424.63N/AN/A6419124,50529,808
2010-02-08$12.90$17.5075.2%21.4%67.7%41.7%74.7%0.3%-5.1%-504.7K22.4M-41.3K0.1420.48N/AN/A1452024,75229,862
2010-02-09$13.42$17.5074.9%21.5%66.2%41.3%71.3%7.1%-5.2%-589.5K21.3M-42.9K0.2241.40N/AN/A2926524,78829,872
2010-02-10$13.29$17.5073.7%21.1%66.2%40.0%71.3%5.2%-3.3%-584.8K21.6M-40.5K0.0330.25N/AN/A146424,89629,862
2010-02-11$14.20$17.5072.0%20.6%72.6%38.2%73.0%6.3%-3.9%-598.5K16.9M-47.6K0.4441.60N/AN/A47220724,91829,860
2010-02-12$14.18$17.5071.5%20.5%72.6%37.6%70.5%6.2%-3.5%-657.1K16.4M-45.5K0.0144.62N/AN/A158224,97029,742
2010-02-16$14.42$17.5071.5%20.5%71.9%37.6%70.9%5.4%-3.5%-742.8K16.0M-40.7K0.3324.20N/AN/A1685525,07029,654
2010-02-17$14.19$17.5073.1%21.0%69.4%39.4%73.0%-0.9%-4.9%-691.7K16.6M-39.5K0.3034.22N/AN/A3009125,10329,699
2010-02-18$14.16$17.5073.8%21.2%67.9%40.2%75.2%-4.1%-5.3%-474.0K18.8M-34.9K0.1412.21N/AN/A3274625,22229,696
2010-02-19$13.86$17.5073.1%21.0%57.7%39.4%73.9%-6.2%-5.9%-157.4K20.1M-31.1K0.6831.73N/AN/A32622225,47129,712
2010-02-22$13.85$17.5073.6%21.1%57.7%39.9%72.6%-4.6%-3.8%-146.8K9.5M-29.9K0.3631.22N/AN/A33912312,05313,339
2010-02-23$13.25$17.5075.5%21.6%59.3%42.0%73.0%3.8%-8.9%-131.4K10.8M-25.7K0.0328.92N/AN/A8572912,26713,427
2010-02-24$13.83$17.5072.2%20.7%58.9%38.4%75.6%3.1%-4.9%-147.6K9.9M-28.5K1.3821.88N/AN/A72099212,92413,428
2010-02-25$14.79$17.5060.9%17.5%63.7%26.0%60.9%1.5%-1.2%-225.4K8.1M-35.2K0.2719.11N/AN/A2,30262913,36214,322
2010-02-26$14.73$17.5056.2%16.1%61.5%20.9%56.1%7.8%2.1%-229.7K8.0M-37.0K0.4427.72N/AN/A57325114,72014,873