CYD Options History — October 2010

In October 2010, CYD traded between $19.00 and $25.62. ATM implied volatility averaged 42.8%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 5.4% (HV 20d: 37.5%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.38.

Notable Days

  • 2010-10-21: Highest Volume — 2,347 contracts
  • 2010-10-08: Largest IV spike — 22.2% change
  • 2010-10-29: Highest IV Rank — 36.8%
  • 2010-10-29: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.93$19.00$25.62$19.21$25.62
Max Pain$13.45$12.50$17.50$17.50$15.00
ATM IV42.8%28.9%55.8%28.9%55.8%
Expected Move12.6%8.3%16.0%8.3%16.0%
HV 20d37.5%21.3%64.2%26.4%64.2%
HV 60d44.9%40.0%53.3%42.3%53.3%
IV Rank20.1%2.1%36.8%2.1%36.8%
IV Percentile16.0%0.4%52.8%0.4%52.8%
Term Structure-1.1%-8.5%7.6%7.6%-8.5%
VWIV44.8%34.1%55.3%34.1%55.3%
Skew 25d9.0%4.7%14.8%7.6%6.4%
Skew 10d19.9%8.4%28.6%21.6%15.6%
Call IV 25d39.8%30.8%52.8%38.8%52.8%
Put IV 25d48.7%44.0%59.2%46.4%59.2%
Bid-Ask Spread %58.2225.5485.1837.3777.44
Gamma HHI0.360.320.440.440.34
Net GEX329.7K236.0K384.8K236.0K333.3K
Net DEX-18.0M-29.0M-9.3M-9.3M-29.0M
Net VEX-31.2K-38.4K-22.1K-22.1K-38.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.001.450.070.16
Total Volume827.19592,3471,0361,197
Total OI15,208.66711,34919,09911,34919,099

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$19.21$17.5028.9%8.3%26.4%2.1%34.1%7.6%7.6%236.0K-9.3M-22.1K0.0737.37N/AN/A968688,8072,542
2010-10-04$19.00$12.5031.2%12.3%26.7%5.0%44.3%7.2%0.3%259.2K-9.4M-25.0K0.8741.66N/AN/A67589,7132,610
2010-10-05$19.57$12.5037.4%12.0%27.3%13.1%42.0%9.6%0.3%278.3K-10.8M-25.6K0.1737.55N/AN/A568969,7312,640
2010-10-06$20.13$12.5032.6%12.2%28.3%6.9%41.7%6.5%1.7%311.1K-12.4M-26.8K0.1625.54N/AN/A1,26019710,2422,697
2010-10-07$20.34$12.5036.9%11.9%28.4%12.4%39.4%6.4%0.7%342.2K-13.9M-30.7K0.2027.81N/AN/A61612111,3642,845
2010-10-08$20.87$12.5045.0%11.8%29.1%22.9%38.2%11.0%5.0%366.7K-15.4M-31.9K0.2085.18N/AN/A4328711,9082,961
2010-10-11$21.04$12.5041.3%12.2%23.7%18.1%41.1%12.0%0.5%373.8K-16.6M-32.0K0.1545.74N/AN/A4136312,1943,031
2010-10-12$21.24$12.5048.8%12.7%21.9%27.8%43.9%13.8%0.9%384.8K-16.9M-32.0K0.0048.79N/AN/A59012,3593,089
2010-10-13$21.50$12.5039.4%11.2%21.7%15.6%40.2%13.2%-0.8%363.3K-18.0M-31.7K0.1078.50N/AN/A6616612,3533,089
2010-10-14$21.53$12.5040.6%11.6%21.8%17.2%42.1%7.7%-4.1%370.0K-18.1M-32.4K0.1149.65N/AN/A2943212,5893,133
2010-10-15$21.27$12.5038.8%11.1%21.6%14.9%44.0%4.7%1.0%373.4K-17.4M-32.1K0.3550.28N/AN/A38913712,5973,139
2010-10-18$21.51$12.5039.3%11.3%21.3%15.5%42.7%4.9%1.1%376.8K-15.9M-31.1K1.1651.02N/AN/A617111,5982,681
2010-10-19$19.80$12.5043.9%12.6%38.0%21.5%45.1%7.6%-1.7%333.7K-11.1M-28.9K0.7976.28N/AN/A53642211,6062,718
2010-10-20$21.02$12.5045.8%13.1%42.3%24.0%50.6%9.9%-2.0%355.0K-14.8M-32.3K1.4579.73N/AN/A13719811,8303,002
2010-10-21$23.44$12.5045.9%13.2%55.6%24.0%47.1%7.0%-0.1%309.6K-21.3M-30.6K0.2881.13N/AN/A1,83651111,9063,050
2010-10-22$23.54$15.0048.2%13.8%55.5%27.0%43.6%12.3%-3.0%334.2K-22.6M-32.7K0.3164.75N/AN/A94429412,7083,368
2010-10-25$24.68$15.0046.1%13.2%56.8%24.4%46.7%14.8%-4.2%304.2K-25.9M-33.2K0.4058.56N/AN/A84033513,1583,598
2010-10-26$25.50$15.0050.3%14.4%57.1%29.7%52.1%7.7%-6.2%294.2K-27.6M-33.3K0.3161.31N/AN/A1,07833813,4423,874
2010-10-27$25.59$15.0051.6%14.8%56.8%31.4%53.4%6.0%-5.8%300.0K-28.0M-34.4K0.4468.17N/AN/A38517113,8364,123
2010-10-28$24.19$15.0052.2%15.0%62.2%32.2%53.1%11.7%-5.5%323.6K-24.3M-37.5K0.2176.25N/AN/A1,13023513,9544,198
2010-10-29$25.62$15.0055.8%16.0%64.2%36.8%55.3%6.4%-8.5%333.3K-29.0M-38.4K0.1677.44N/AN/A1,03016714,8554,244