CYD Options History — September 2010

In September 2010, CYD traded between $16.91 and $19.13. ATM implied volatility averaged 37.6%, placing in the 7.9% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 2.2% (HV 20d: 39.8%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.50.

Notable Days

  • 2010-09-13: Highest Volume — 664 contracts
  • 2010-09-24: Largest IV drop — 32.6% change
  • 2010-09-13: Highest IV Rank — 16.0%
  • 2010-09-13: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.22$16.91$19.13$16.91$19.13
Max Pain$16.79$15.00$17.50$17.50$17.50
ATM IV37.6%27.3%44.8%37.5%32.7%
Expected Move11.0%7.8%12.9%10.8%9.4%
HV 20d39.8%26.5%59.7%59.1%26.5%
HV 60d48.2%42.3%52.5%52.5%42.3%
IV Rank7.9%0.0%16.0%5.7%7.0%
IV Percentile3.3%0.0%9.9%0.4%1.6%
Term Structure6.3%2.8%23.1%7.5%7.6%
VWIV39.5%32.8%44.1%37.4%32.8%
Skew 25d8.0%1.6%22.9%12.0%5.7%
Skew 10d15.4%1.2%37.8%17.9%18.5%
Call IV 25d35.1%21.3%41.0%36.2%33.5%
Put IV 25d43.1%37.4%48.3%48.1%39.1%
Bid-Ask Spread %46.7125.4180.3332.8959.65
Gamma HHI0.470.370.750.380.42
Net GEX-88.5K-734.6K315.8K-506.2K230.1K
Net DEX-5.3M-9.6M3.0M3.0M-9.0M
Net VEX-25.1K-35.0K-20.1K-35.0K-21.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.003.170.250.65
Total Volume184.85732664151147
Total OI22,383.76210,61631,25330,59411,290

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$16.91$17.5037.5%10.8%59.1%5.7%37.4%12.0%7.5%-506.2K3.0M-35.0K0.2532.89N/AN/A1213015,23215,362
2010-09-02$17.13$17.5034.4%9.9%59.3%1.4%34.5%13.8%8.5%-542.2K1.7M-33.9K0.3729.59N/AN/A1094015,30615,355
2010-09-03$17.41$15.0037.0%11.9%59.7%5.0%41.3%6.8%4.3%-449.1K-130.6K-33.7K0.2348.56N/AN/A1814115,35515,390
2010-09-07$17.19$15.0040.3%12.6%59.0%9.6%43.6%7.6%4.0%-518.8K1.1M-31.4K0.4152.06N/AN/A291215,49615,417
2010-09-08$17.38$15.0037.4%12.6%59.0%5.5%44.1%7.2%3.1%-515.8K8.4K-28.1K0.2280.33N/AN/A451015,50115,417
2010-09-09$17.54$15.0043.2%12.4%32.9%13.7%43.2%12.4%3.1%-601.4K-1.0M-27.8K0.3035.21N/AN/A30915,52315,417
2010-09-10$17.71$15.0041.2%11.8%32.9%10.9%41.2%11.5%4.2%-734.6K-1.8M-27.1K0.1979.53N/AN/A571115,55315,412
2010-09-13$18.68$15.0044.8%12.9%37.3%16.0%43.8%7.5%2.8%188.3K-8.4M-26.7K0.1041.70N/AN/A6046015,57415,403
2010-09-14$18.34$17.5040.8%11.7%38.1%10.3%41.8%1.6%3.5%-287.3K-6.9M-24.7K1.2946.64N/AN/A739415,74315,414
2010-09-15$18.31$17.5043.0%12.3%37.5%13.3%44.0%3.3%6.6%135.5K-8.5M-20.4K1.0346.72N/AN/A293015,77715,423
2010-09-16$18.39$17.5043.5%12.5%37.5%14.1%41.6%3.6%4.4%-105.8K-8.2M-20.4K0.0077.95N/AN/A92015,78115,453
2010-09-17$18.90$17.5036.6%10.5%35.2%4.4%39.0%10.7%4.8%315.8K-9.6M-21.5K0.4843.59N/AN/A42520515,80015,453
2010-09-20$18.81$17.5036.7%10.5%35.1%4.5%38.8%4.3%3.6%177.2K-8.2M-22.3K0.3425.41N/AN/A255878,2262,390
2010-09-21$18.61$17.5042.3%12.1%34.2%12.4%36.7%5.4%5.8%182.0K-8.0M-22.4K0.1952.48N/AN/A78158,3992,452
2010-09-22$18.34$17.5039.1%11.2%35.1%7.9%0.0%1.8%5.5%176.7K-7.2M-22.0K0.2837.69N/AN/A2578,4472,467
2010-09-23$18.34$17.5040.5%11.6%34.9%9.8%0.0%14.1%6.3%180.9K-7.4M-21.8K0.4546.33N/AN/A89408,4612,430
2010-09-24$18.79$17.5027.3%7.8%34.0%0.0%0.0%22.9%23.1%193.8K-8.2M-21.6K3.1745.54N/AN/A12388,4692,450
2010-09-27$18.82$17.5030.2%8.7%32.1%3.8%37.3%4.3%6.9%202.0K-8.4M-21.3K0.1334.19N/AN/A94128,4772,428
2010-09-28$18.94$17.5032.6%9.3%28.6%6.8%35.9%7.2%9.2%208.6K-8.3M-20.1K0.4130.56N/AN/A213888,5032,430
2010-09-29$18.86$17.5029.5%8.5%28.9%2.9%34.4%4.1%8.0%211.2K-8.6M-22.3K0.0734.35N/AN/A323228,6652,518
2010-09-30$19.13$17.5032.7%9.4%26.5%7.0%32.8%5.7%7.6%230.1K-9.0M-21.6K0.6559.65N/AN/A89588,7522,538