CYD Options History — April 2010

In April 2010, CYD traded between $17.86 and $21.10. ATM implied volatility averaged 52.3%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded below realized volatility by 21.1% (HV 20d: 73.4%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.50.

Notable Days

  • 2010-04-29: Highest Volume — 1,958 contracts
  • 2010-04-15: Largest IV spike — 31.0% change
  • 2010-04-30: Highest IV Rank — 41.2%
  • 2010-04-30: Largest Expected Move — 18.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.30$17.86$21.10$17.86$21.10
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV52.3%39.9%63.6%47.1%63.6%
Expected Move15.7%13.5%18.2%13.5%18.2%
HV 20d73.4%53.7%82.1%76.9%56.8%
HV 60d67.3%64.3%72.5%72.2%65.4%
IV Rank21.7%3.7%41.2%13.3%41.2%
IV Percentile25.9%1.2%62.7%9.9%62.7%
Term Structure0.7%-2.8%5.9%5.9%-2.0%
VWIV55.3%44.9%63.5%44.9%63.5%
Skew 25d4.2%-2.3%7.1%-2.3%2.0%
Skew 10d14.3%-6.2%28.5%-6.2%18.9%
Call IV 25d53.3%44.9%63.7%44.9%63.7%
Put IV 25d57.5%42.6%65.7%42.6%65.7%
Bid-Ask Spread %22.5813.4031.1926.1728.88
Gamma HHI0.440.340.770.340.42
Net GEX203.7K127.9K485.3K148.7K244.7K
Net DEX-12.1M-16.6M-9.4M-9.7M-16.6M
Net VEX-29.7K-36.6K-26.9K-28.0K-36.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.041.720.480.07
Total Volume779.1431281,9581,2991,438
Total OI14,84412,82417,11614,17917,116

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$17.86$15.0047.1%13.5%76.9%13.3%44.9%-2.3%5.9%148.7K-9.7M-28.0K0.4826.17N/AN/A87942010,2953,884
2010-04-05$18.67$15.0052.6%16.1%78.0%20.7%56.0%6.1%-2.3%202.1K-11.7M-27.3K0.2426.53N/AN/A57613810,6763,747
2010-04-06$18.40$15.0052.4%15.5%76.6%20.4%54.3%3.5%-0.4%199.7K-11.3M-27.9K1.1028.97N/AN/A616710,8553,844
2010-04-07$18.16$15.0049.5%15.4%76.0%16.5%51.8%2.3%1.3%182.4K-10.6M-27.4K0.5827.40N/AN/A28616710,8933,887
2010-04-08$18.08$15.0049.8%15.8%76.1%17.0%58.5%4.5%-0.3%179.4K-10.4M-26.9K1.7218.90N/AN/A11519810,8933,887
2010-04-09$18.50$15.0050.9%15.8%76.1%18.4%55.8%4.9%0.4%196.0K-11.2M-28.2K0.4228.76N/AN/A23910010,9914,129
2010-04-12$18.27$15.0049.5%15.9%76.3%16.6%53.9%5.6%-0.3%175.2K-10.8M-27.6K0.2928.68N/AN/A1905611,1504,170
2010-04-13$18.46$15.0042.9%15.9%75.8%7.7%60.1%7.1%-0.4%179.6K-11.0M-27.3K1.4418.18N/AN/A689811,0994,221
2010-04-14$19.74$15.0039.9%15.1%78.4%3.7%53.4%6.4%2.6%353.6K-14.1M-27.2K0.1531.19N/AN/A1,42020611,1284,306
2010-04-15$20.22$15.0052.3%15.0%78.4%20.3%53.5%5.5%2.0%485.3K-16.5M-27.5K0.2225.61N/AN/A80218011,5584,411
2010-04-16$18.93$15.0054.5%15.6%82.1%23.2%53.7%3.3%2.7%127.9K-12.3M-28.2K0.2227.18N/AN/A1,06523811,7034,558
2010-04-19$18.84$15.0052.7%15.1%77.6%20.8%56.3%6.4%2.2%138.2K-9.4M-29.2K0.5215.88N/AN/A3681919,3363,488
2010-04-20$19.27$15.0051.7%14.8%77.6%19.4%52.2%5.3%1.8%147.8K-10.4M-29.5K0.0813.40N/AN/A355309,4703,607
2010-04-21$19.33$15.0051.6%14.8%77.3%21.8%53.4%5.7%3.1%157.3K-10.5M-29.6K0.6914.74N/AN/A2661849,6443,584
2010-04-22$20.72$15.0053.5%15.4%78.8%24.9%53.7%5.1%2.1%177.6K-13.3M-30.2K0.0421.25N/AN/A935349,7713,716
2010-04-23$20.64$15.0051.3%14.7%78.9%21.4%52.2%3.8%3.0%208.1K-14.1M-30.7K1.4114.38N/AN/A50771610,3723,727
2010-04-26$20.44$15.0054.5%15.6%79.3%26.4%55.5%3.8%-0.3%190.4K-13.2M-32.4K0.3618.18N/AN/A37013210,4714,398
2010-04-27$19.42$15.0056.4%16.2%53.7%29.2%57.2%3.4%-1.0%175.7K-11.0M-33.3K0.2319.45N/AN/A56713110,7364,484
2010-04-28$19.42$15.0060.7%17.4%53.7%35.7%60.0%-0.2%-2.8%185.7K-11.4M-34.0K0.0826.48N/AN/A5664511,1294,512
2010-04-29$20.83$15.0061.6%17.7%56.9%38.1%61.8%5.6%-1.6%222.0K-14.8M-33.7K0.1413.96N/AN/A1,71124711,3374,541
2010-04-30$21.10$15.0063.6%18.2%56.8%41.2%63.5%2.0%-2.0%244.7K-16.6M-36.6K0.0728.88N/AN/A1,3399912,3884,728