CYD Options History — August 2010

In August 2010, CYD traded between $16.01 and $19.35. ATM implied volatility averaged 49.7%, placing in the 22.9% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 0.3% (HV 20d: 49.4%). Max pain ranged from $10.00 to $17.50. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.54.

Notable Days

  • 2010-08-06: Highest Volume — 20,136 contracts
  • 2010-08-25: Largest IV drop — 25.5% change
  • 2010-08-11: Highest IV Rank — 41.3%
  • 2010-08-24: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.22$16.01$19.35$18.42$16.25
Max Pain$16.14$10.00$17.50$10.00$17.50
ATM IV49.7%39.4%62.8%50.3%49.9%
Expected Move14.0%11.3%15.7%14.4%14.3%
HV 20d49.4%32.8%59.1%37.4%57.0%
HV 60d59.7%51.9%67.2%67.2%51.9%
IV Rank22.9%8.3%41.3%23.6%23.0%
IV Percentile22.5%0.8%70.6%19.8%21.4%
Term Structure2.9%-2.9%9.1%2.9%5.4%
VWIV49.2%43.4%55.3%55.3%43.6%
Skew 25d7.4%-0.9%14.0%8.0%5.0%
Skew 10d8.4%-11.9%29.9%28.6%25.9%
Call IV 25d45.3%35.5%54.7%46.7%45.4%
Put IV 25d52.7%45.5%59.1%54.7%50.4%
Bid-Ask Spread %34.0714.5275.4916.1429.68
Gamma HHI0.390.320.520.450.38
Net GEX-120.1K-513.6K307.9K247.0K-504.3K
Net DEX-2.3M-16.3M7.0M-11.9M6.3M
Net VEX-40.7K-60.7K-22.3K-22.9K-33.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.003.131.241.11
Total Volume1,6231920,13648519
Total OI29,594.63614,88538,40515,07930,602

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$18.42$10.0050.3%14.4%37.4%23.6%55.3%8.0%2.9%247.0K-11.9M-22.9K1.2416.14N/AN/A21726811,7113,368
2010-08-03$18.54$10.0054.7%15.7%35.3%29.8%52.3%4.9%-1.7%255.0K-12.0M-22.3K0.5918.78N/AN/A21913011,6573,228
2010-08-04$18.72$10.0053.3%15.3%33.6%27.9%49.1%8.8%-1.9%270.2K-12.8M-23.1K0.1514.52N/AN/A5718511,8143,258
2010-08-05$18.82$10.0044.7%12.8%33.5%15.8%47.9%5.3%-1.3%286.8K-13.2M-23.6K0.5615.09N/AN/A38021412,2093,283
2010-08-06$18.95$17.5045.2%12.8%32.9%16.5%49.0%10.3%9.1%297.3K-13.5M-23.9K1.9725.30N/AN/A6,79013,34612,2363,339
2010-08-09$19.35$17.5048.3%13.1%32.8%20.8%50.3%14.0%2.6%307.9K-16.3M-60.5K0.9466.92N/AN/A80074818,93816,456
2010-08-10$18.94$17.5056.1%13.9%33.2%31.7%50.3%12.9%1.6%250.2K-13.9M-60.7K0.2775.49N/AN/A47612918,92816,487
2010-08-11$16.54$17.5062.8%15.7%59.1%41.3%54.5%1.7%-2.9%-119.0K677.6K-52.8K0.4238.97N/AN/A1,72372218,89216,536
2010-08-12$16.69$17.5053.8%15.4%59.0%28.6%54.8%2.4%1.3%-102.0K332.5K-55.5K0.1521.79N/AN/A66910119,28916,715
2010-08-13$16.66$17.5050.5%14.5%56.5%23.9%46.9%9.5%4.0%-117.2K311.2K-52.6K0.4122.47N/AN/A1476019,65816,740
2010-08-16$16.54$17.5051.1%14.6%56.5%24.7%53.7%7.7%4.2%-147.1K1.5M-49.1K3.1366.14N/AN/A247519,73316,760
2010-08-17$16.92$17.5049.8%14.3%56.5%22.9%49.2%8.3%3.9%-109.0K-555.2K-48.5K0.0432.94N/AN/A3951719,70916,769
2010-08-18$17.08$17.5049.0%14.0%56.6%21.8%49.8%11.8%3.1%-99.0K-1.4M-48.1K0.0049.24N/AN/A3,394519,97116,757
2010-08-19$16.47$17.5049.1%14.1%55.9%21.9%50.0%8.8%0.9%-262.1K-254.1K-45.7K0.1454.40N/AN/A4296121,49816,762
2010-08-20$16.35$17.5048.1%13.8%55.3%20.6%46.6%10.3%5.1%-340.1K832.9K-43.2K0.1224.85N/AN/A5005821,61516,790
2010-08-23$16.01$17.5048.2%13.8%55.3%20.6%48.2%-0.9%5.6%-425.6K7.0M-39.0K0.2018.00N/AN/A50810313,89615,235
2010-08-24$16.16$17.5054.9%15.7%55.3%30.1%43.4%12.3%-1.0%-402.6K6.5M-39.9K0.0926.51N/AN/A1,09410214,19215,285
2010-08-25$16.44$17.5040.9%11.7%55.8%10.5%43.4%11.0%6.3%-450.4K5.5M-40.0K0.0325.30N/AN/A186514,69515,337
2010-08-26$16.09$17.5047.9%13.7%56.1%20.2%45.7%1.8%3.6%-464.2K6.0M-37.9K0.1033.80N/AN/A2002014,78815,342
2010-08-27$16.71$17.5039.4%11.3%56.9%8.3%43.6%7.2%6.5%-513.6K4.4M-37.3K0.0140.45N/AN/A581614,72215,362
2010-08-30$16.17$17.5046.6%13.4%57.0%18.5%0.0%0.7%7.4%-501.0K5.9M-35.8K0.2832.73N/AN/A1012815,15815,362
2010-08-31$16.25$17.5049.9%14.3%57.0%23.0%0.0%5.0%5.4%-504.3K6.3M-33.8K1.1129.68N/AN/A91015,23015,372