CYD Options History — July 2010

In July 2010, CYD traded between $15.86 and $18.05. ATM implied volatility averaged 51.6%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 16.2%. IV traded below realized volatility by 3.0% (HV 20d: 54.6%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.29.

Notable Days

  • 2010-07-19: Highest Volume — 941 contracts
  • 2010-07-15: Largest IV spike — 27.5% change
  • 2010-07-16: Highest IV Rank — 39.5%
  • 2010-07-06: Largest Expected Move — 19.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.06$15.86$18.05$16.36$18.05
Max Pain$10.48$10.00$15.00$15.00$10.00
ATM IV51.6%33.5%62.4%54.7%53.2%
Expected Move16.2%14.1%19.4%15.7%15.3%
HV 20d54.6%37.2%68.0%68.0%37.2%
HV 60d73.3%68.1%75.9%75.5%68.3%
IV Rank24.5%0.0%39.5%26.0%27.8%
IV Percentile29.0%0.0%64.7%34.9%31.3%
Term Structure3.2%-4.3%12.4%7.8%2.6%
VWIV55.8%43.9%65.4%57.0%50.8%
Skew 25d7.9%2.4%13.5%13.5%9.8%
Skew 10d13.9%-4.4%30.1%17.2%24.4%
Call IV 25d53.9%46.1%63.0%50.3%48.0%
Put IV 25d61.9%55.7%71.9%63.8%57.8%
Bid-Ask Spread %25.7614.6340.0829.7721.11
Gamma HHI0.350.270.460.280.41
Net GEX187.2K122.7K334.3K135.8K225.2K
Net DEX-8.7M-10.9M-6.3M-7.0M-10.8M
Net VEX-26.0K-29.5K-23.6K-29.5K-23.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.290.001.080.130.36
Total Volume362.8166941387124
Total OI15,016.66714,45915,69514,65915,077

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$16.36$15.0054.7%15.7%68.0%26.0%57.0%13.5%7.8%135.8K-7.0M-29.5K0.1329.77N/AN/A3414611,1293,530
2010-07-02$16.30$15.0051.3%14.7%61.4%21.0%51.6%9.3%12.4%138.5K-7.1M-28.9K0.0726.60N/AN/A3032211,2403,502
2010-07-06$15.86$10.0062.4%19.4%59.8%37.4%65.4%8.9%1.8%129.8K-6.3M-27.3K0.2437.24N/AN/A2185211,4213,518
2010-07-07$16.46$10.0046.7%17.5%60.9%14.2%60.4%11.9%5.9%151.5K-7.1M-26.8K0.0035.51N/AN/A66011,3723,501
2010-07-08$16.50$10.0040.9%17.4%60.3%4.5%61.6%9.7%4.7%159.6K-7.4M-27.0K0.1835.21N/AN/A981811,4323,501
2010-07-09$16.91$10.0033.5%17.0%57.4%0.0%57.8%7.8%4.6%191.5K-8.2M-27.1K0.0340.08N/AN/A3981111,5103,519
2010-07-12$16.76$10.0040.0%17.3%57.1%9.2%60.1%5.1%3.8%191.1K-8.2M-27.0K0.1623.74N/AN/A2754311,8353,516
2010-07-13$17.26$10.0050.8%16.7%57.1%24.3%59.3%4.9%4.5%235.3K-9.4M-28.4K0.3522.97N/AN/A2568911,9953,555
2010-07-14$17.66$10.0046.5%16.5%54.7%18.3%58.6%6.9%3.8%334.3K-10.4M-27.9K1.0828.12N/AN/A18119512,1073,584
2010-07-15$17.34$10.0059.3%17.0%55.1%36.2%59.3%8.4%2.7%303.9K-9.7M-27.4K0.3929.25N/AN/A803112,1713,492
2010-07-16$16.53$10.0061.6%17.7%57.8%39.5%62.2%3.0%-4.3%132.7K-7.8M-26.6K0.9624.67N/AN/A13312812,2003,495
2010-07-19$16.47$10.0058.8%16.9%56.8%35.5%56.4%2.4%0.4%122.7K-7.0M-24.6K0.0431.48N/AN/A9093211,0403,419
2010-07-20$16.85$10.0054.0%15.5%57.5%28.8%53.4%7.7%3.8%137.9K-7.7M-24.2K0.1025.80N/AN/A4204111,0613,451
2010-07-21$16.82$10.0053.6%15.4%54.6%28.3%57.1%9.2%3.4%148.5K-8.0M-24.8K0.7617.91N/AN/A1209111,2713,486
2010-07-22$17.54$10.0052.4%15.0%53.8%26.6%53.3%10.8%2.9%179.1K-9.5M-24.6K0.6016.30N/AN/A46727811,3243,441
2010-07-23$17.86$10.0049.3%14.1%51.7%22.3%48.8%9.6%5.2%207.0K-10.3M-24.3K0.1814.63N/AN/A2344211,5253,346
2010-07-26$18.03$10.0055.3%15.9%51.7%30.7%43.9%8.9%-0.8%212.1K-10.9M-24.7K0.2217.03N/AN/A71215411,6553,374
2010-07-27$17.68$10.0053.0%15.2%52.2%27.4%50.7%8.4%-0.1%200.9K-9.9M-24.3K0.0417.35N/AN/A5152211,5163,323
2010-07-28$17.49$10.0053.1%15.2%41.2%27.6%52.7%5.3%0.9%194.6K-9.4M-23.7K0.1620.83N/AN/A3195111,5473,324
2010-07-29$17.53$10.0053.4%15.3%41.2%28.1%52.5%5.5%1.5%199.4K-9.7M-24.2K0.0825.36N/AN/A96811,6783,367
2010-07-30$18.05$10.0053.2%15.3%37.2%27.8%50.8%9.8%2.6%225.2K-10.8M-23.6K0.3621.11N/AN/A913311,7083,369