CYD Options History — March 2010

In March 2010, CYD traded between $14.50 and $18.12. ATM implied volatility averaged 53.7%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded below realized volatility by 4.9% (HV 20d: 58.6%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 8 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.47.

Notable Days

  • 2010-03-16: Highest Volume — 4,957 contracts
  • 2010-03-29: Largest IV spike — 14.1% change
  • 2010-03-12: Highest IV Rank — 28.3%
  • 2010-03-12: Largest Expected Move — 16.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.80$14.50$18.12$15.89$17.55
Max Pain$15.43$15.00$17.50$17.50$15.00
ATM IV53.7%48.0%58.3%57.2%48.0%
Expected Move15.5%13.8%16.7%16.4%13.8%
HV 20d58.6%49.7%77.1%65.3%76.8%
HV 60d65.1%62.0%73.8%66.5%73.5%
IV Rank20.5%14.5%28.3%21.9%14.5%
IV Percentile22.3%11.5%34.1%28.6%11.5%
Term Structure4.3%-0.2%8.8%0.7%6.2%
VWIV53.6%46.1%57.9%53.3%46.1%
Skew 25d3.2%-10.2%11.0%2.9%-8.5%
Skew 10d7.5%-17.2%28.5%2.4%-14.3%
Call IV 25d52.0%47.3%57.4%50.2%47.9%
Put IV 25d55.2%39.4%64.3%53.1%39.4%
Bid-Ask Spread %26.4511.1951.8017.3422.40
Gamma HHI0.400.190.800.340.32
Net GEX-208.2K-502.2K150.7K-292.7K146.7K
Net DEX2.1M-10.1M15.1M3.8M-9.3M
Net VEX-28.7K-39.5K-22.1K-39.5K-28.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.021.710.050.45
Total Volume981.087794,9571,096851
Total OI24,825.21711,12133,57529,41214,290

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-03-01$15.89$17.5057.2%16.4%65.3%21.9%53.3%2.9%0.7%-292.7K3.8M-39.5K0.0517.34N/AN/A1,0484814,59214,820
2010-03-02$15.42$17.5054.5%15.6%66.1%19.1%54.3%8.8%2.7%-306.2K6.0M-36.6K0.4830.95N/AN/A30514714,62914,821
2010-03-03$15.20$17.5055.2%15.8%64.6%19.8%54.2%9.8%2.0%-303.1K6.7M-35.3K1.5527.71N/AN/A314814,65914,922
2010-03-04$15.43$17.5051.1%14.7%64.3%15.3%51.1%11.0%5.1%-339.5K6.1M-35.2K0.6211.19N/AN/A905614,65514,970
2010-03-05$15.52$15.0052.6%16.4%54.3%17.0%57.1%8.2%3.8%-345.4K6.3M-34.6K1.7121.86N/AN/A6851,17114,71514,993
2010-03-08$16.37$15.0052.9%15.1%54.5%17.2%55.1%9.0%5.7%-392.6K3.7M-34.6K0.3729.03N/AN/A1,16243215,13915,930
2010-03-09$15.95$15.0054.8%16.4%56.1%19.3%55.5%6.3%3.1%-379.5K6.1M-32.8K0.6528.19N/AN/A1066915,78216,248
2010-03-10$16.08$15.0056.6%16.7%55.1%21.4%54.7%10.0%1.1%-390.6K5.5M-32.5K0.0330.88N/AN/A9253215,82316,292
2010-03-11$15.93$15.0058.0%16.6%55.1%22.8%57.3%9.6%2.4%-376.8K5.5M-31.5K1.5229.12N/AN/A629416,58416,318
2010-03-12$15.81$15.0058.3%16.7%51.0%28.3%57.7%-4.5%1.8%-379.4K6.2M-30.0K0.0929.60N/AN/A4844316,55316,364
2010-03-15$15.55$15.0058.1%16.7%51.5%28.1%57.9%8.5%3.6%-379.6K7.3M-27.6K0.4219.43N/AN/A42117816,81616,385
2010-03-16$15.51$15.0054.9%15.8%51.4%23.8%54.9%7.0%5.4%-419.2K7.8M-27.0K0.0720.19N/AN/A4,64830917,09816,477
2010-03-17$15.88$15.0055.9%16.0%51.3%25.0%55.0%8.8%2.9%-338.5K5.2M-25.9K0.0825.52N/AN/A4913916,30916,593
2010-03-18$15.46$15.0053.5%15.4%52.5%22.0%53.8%6.0%5.6%-502.2K5.5M-24.0K0.0924.91N/AN/A4363816,22416,666
2010-03-19$14.50$15.0053.0%15.2%57.3%21.2%53.3%1.4%6.8%-353.6K15.1M-22.2K0.4129.57N/AN/A1,07044116,20216,643
2010-03-22$14.83$15.0050.2%14.4%57.7%17.5%52.7%5.6%7.3%48.7K-3.6M-22.1K0.4931.21N/AN/A4182067,8423,279
2010-03-23$15.33$15.0051.4%14.7%55.7%19.0%51.5%5.3%6.1%68.4K-4.7M-23.2K0.8433.40N/AN/A2171828,1763,184
2010-03-24$14.99$15.0052.2%15.0%55.0%20.1%52.2%-10.0%5.8%63.7K-4.1M-23.4K0.2951.80N/AN/A122358,2173,364
2010-03-25$15.00$15.0051.6%14.8%49.7%19.3%51.3%-9.3%5.5%63.7K-4.1M-23.4K0.0226.91N/AN/A19138,2513,399
2010-03-26$15.03$15.0049.3%14.1%49.7%16.2%49.8%-10.2%8.8%68.7K-4.1M-22.6K0.2727.52N/AN/A256698,2303,331
2010-03-29$18.01$15.0056.2%16.1%77.1%25.5%53.3%5.4%-0.2%98.6K-9.2M-22.9K0.1924.42N/AN/A2,7345198,3403,385
2010-03-30$18.12$15.0049.9%14.3%75.9%17.1%50.1%-7.7%6.1%150.7K-10.1M-26.0K0.2015.21N/AN/A1,3832709,8073,663
2010-03-31$17.55$15.0048.0%13.8%76.8%14.5%46.1%-8.5%6.2%146.7K-9.3M-28.1K0.4522.40N/AN/A58826310,4433,847