CYD Options History — June 2010

In June 2010, CYD traded between $14.36 and $17.50. ATM implied volatility averaged 62.2%, placing in the 37.2% IV rank vs the trailing year. The 30-day expected move averaged 17.8%. IV traded below realized volatility by 15.4% (HV 20d: 77.6%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.57.

Notable Days

  • 2010-06-04: Highest Volume — 1,018 contracts
  • 2010-06-04: Largest IV spike — 32.4% change
  • 2010-06-07: Highest IV Rank — 57.5%
  • 2010-06-02: Largest Expected Move — 21.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.08$14.36$17.50$14.95$15.41
Max Pain$14.66$12.50$17.50$17.50$15.00
ATM IV62.2%50.9%76.0%73.5%61.1%
Expected Move17.8%14.6%21.2%21.1%17.5%
HV 20d77.6%65.0%93.0%93.0%65.6%
HV 60d78.5%73.0%81.4%78.0%74.4%
IV Rank37.2%20.5%57.5%53.8%35.5%
IV Percentile57.8%20.2%93.7%88.9%59.9%
Term Structure3.9%-4.0%10.1%-4.0%8.2%
VWIV61.1%51.1%74.5%73.1%59.1%
Skew 25d10.2%-1.3%19.3%14.9%-1.3%
Skew 10d16.0%-14.9%44.4%25.0%-5.4%
Call IV 25d57.2%40.9%69.6%67.3%55.3%
Put IV 25d67.4%54.0%82.2%82.2%54.0%
Bid-Ask Spread %39.5421.5471.8723.0971.87
Gamma HHI0.300.230.620.230.24
Net GEX181.9K106.6K540.6K126.8K106.6K
Net DEX-7.4M-12.8M-3.8M-5.3M-5.1M
Net VEX-31.0K-35.4K-27.0K-33.3K-27.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.022.020.020.84
Total Volume404.4091071,018148450
Total OI17,053.36413,59419,87717,36614,585

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$14.95$17.5073.5%21.1%93.0%53.8%73.1%14.9%-4.0%126.8K-5.3M-33.3K0.0223.09N/AN/A145313,6203,746
2010-06-02$15.79$17.5073.9%21.2%89.8%54.4%62.1%16.2%-2.9%148.3K-6.5M-34.5K0.3728.53N/AN/A30911413,6603,748
2010-06-03$16.36$17.5053.3%15.3%91.1%23.9%67.4%19.3%10.0%172.7K-7.8M-35.4K0.1327.38N/AN/A2933813,8563,771
2010-06-04$15.13$15.0070.5%20.5%92.6%49.4%67.8%5.0%0.7%145.8K-5.5M-32.4K0.0948.36N/AN/A9388014,0073,785
2010-06-07$14.45$15.0076.0%20.8%92.8%57.5%74.5%5.5%-1.1%129.7K-4.1M-29.8K0.0453.57N/AN/A6042514,2773,792
2010-06-08$14.59$12.5074.0%20.4%84.0%54.6%0.0%8.4%0.0%149.7K-4.2M-29.3K0.1248.91N/AN/A1451714,6813,800
2010-06-09$14.36$12.5067.6%20.4%84.0%45.2%70.5%4.3%0.6%148.7K-3.8M-28.1K0.7154.57N/AN/A26218714,7413,797
2010-06-10$15.25$12.5069.7%20.0%83.4%48.2%67.7%15.5%2.1%185.6K-5.5M-30.2K0.3843.49N/AN/A48818314,7703,843
2010-06-11$15.66$12.5069.3%19.9%79.4%47.6%62.5%12.1%-0.8%219.2K-6.9M-31.0K1.1552.47N/AN/A27431415,1743,946
2010-06-14$16.11$12.5066.6%19.1%77.3%43.6%63.9%8.4%4.6%232.4K-8.6M-32.4K1.8136.84N/AN/A12723015,3704,042
2010-06-15$16.98$12.5059.0%16.9%79.2%32.4%59.6%12.3%4.6%211.3K-11.0M-32.4K0.9738.84N/AN/A20519915,4104,156
2010-06-16$17.02$15.0057.8%16.6%79.1%30.6%64.0%11.8%5.2%235.7K-11.0M-32.8K0.1248.01N/AN/A1611915,5294,317
2010-06-17$17.04$15.0057.5%16.5%75.5%30.1%53.5%14.7%3.8%260.6K-10.6M-32.0K1.0325.50N/AN/A909315,5274,325
2010-06-18$17.50$15.0054.6%15.7%67.8%25.9%52.7%7.1%7.1%540.6K-12.8M-32.4K0.1921.54N/AN/A62411915,5164,361
2010-06-21$17.45$15.0055.0%15.8%65.0%26.5%54.7%5.9%6.2%147.9K-9.2M-30.7K0.4334.54N/AN/A48820910,6242,970
2010-06-22$16.59$15.0054.9%15.7%67.3%26.4%57.2%6.5%5.7%133.6K-7.7M-30.8K0.3932.48N/AN/A1586110,8283,125
2010-06-23$17.42$15.0051.4%14.7%69.0%21.1%51.4%10.1%9.6%156.6K-8.9M-30.3K0.4826.25N/AN/A1909210,8753,164
2010-06-24$16.69$15.0056.1%16.1%71.2%28.1%51.5%7.2%2.9%142.1K-8.0M-30.3K0.1547.95N/AN/A1051611,0213,247
2010-06-25$16.82$15.0052.8%15.1%66.0%23.2%55.6%17.7%6.3%148.5K-8.1M-30.2K0.5725.44N/AN/A683911,0963,239
2010-06-28$16.72$15.0050.9%14.6%65.7%20.5%51.1%14.1%10.1%149.2K-8.0M-29.8K2.0248.15N/AN/A5611311,1233,273
2010-06-29$15.36$15.0063.4%18.2%68.6%38.9%62.2%8.2%6.9%109.1K-5.4M-27.6K0.5232.02N/AN/A37319311,1143,323
2010-06-30$15.41$15.0061.1%17.5%65.6%35.5%59.1%-1.3%8.2%106.6K-5.1M-27.0K0.8471.87N/AN/A24420611,1213,464