CYD Options History — November 2010

In November 2010, CYD traded between $23.41 and $27.21. ATM implied volatility averaged 54.7%, placing in the 35.4% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded below realized volatility by 7.5% (HV 20d: 62.2%). Max pain ranged from $15.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.57.

Notable Days

  • 2010-11-10: Highest Volume — 7,432 contracts
  • 2010-11-11: Largest IV drop — 19.2% change
  • 2010-11-08: Highest IV Rank — 48.8%
  • 2010-11-04: Largest Expected Move — 17.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.89$23.41$27.21$26.40$25.21
Max Pain$23.10$15.00$25.00$15.00$25.00
ATM IV54.7%46.4%65.0%60.1%48.3%
Expected Move15.0%13.3%17.6%17.2%13.8%
HV 20d62.2%51.7%68.4%63.7%51.7%
HV 60d48.5%44.4%53.6%53.6%50.5%
IV Rank35.4%24.7%48.8%42.5%27.2%
IV Percentile45.7%18.3%79.0%65.5%23.8%
Term Structure-2.9%-12.3%2.4%-12.3%0.2%
VWIV51.9%45.8%61.1%60.9%48.5%
Skew 25d8.6%2.8%17.9%12.0%16.5%
Skew 10d16.3%-1.2%27.2%22.0%20.2%
Call IV 25d46.9%31.8%59.2%50.1%37.3%
Put IV 25d55.4%48.4%62.8%62.1%53.8%
Bid-Ask Spread %62.2723.5285.1773.7567.20
Gamma HHI0.370.310.550.360.31
Net GEX347.9K173.4K465.6K362.2K173.4K
Net DEX-27.4M-36.2M-12.4M-32.2M-12.5M
Net VEX-39.7K-43.0K-35.3K-38.1K-37.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.013.620.080.63
Total Volume1,141.048517,432964233
Total OI19,978.66711,77126,08319,80612,860

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$26.40$15.0060.1%17.2%63.7%42.5%60.9%12.0%-12.3%362.2K-32.2M-38.1K0.0873.75N/AN/A8947015,4874,319
2010-11-02$26.30$15.0057.9%16.6%63.9%39.6%61.1%8.4%-8.4%382.7K-32.0M-40.6K0.2685.17N/AN/A56814615,9364,364
2010-11-03$26.77$15.0058.0%16.6%63.7%39.7%58.0%6.9%-5.3%388.3K-34.6M-37.9K0.1863.22N/AN/A1,07219016,3754,466
2010-11-04$27.00$15.0061.4%17.6%63.7%44.1%61.1%3.6%-11.1%404.9K-35.5M-40.4K0.3123.52N/AN/A98230916,9284,606
2010-11-05$27.21$25.0061.9%14.7%63.6%44.8%48.0%7.2%-2.2%379.7K-36.2M-42.1K0.2359.08N/AN/A46110417,1124,830
2010-11-08$27.07$25.0065.0%14.6%64.0%48.8%48.3%5.6%-1.0%379.6K-36.1M-41.2K0.3154.93N/AN/A67120817,2074,874
2010-11-09$26.75$25.0063.5%15.0%64.5%46.8%49.9%5.1%-5.0%402.0K-35.3M-42.6K0.2461.06N/AN/A70216617,7164,966
2010-11-10$26.80$25.0064.3%15.0%64.6%47.8%49.6%11.1%-2.3%419.4K-35.3M-42.5K0.2664.51N/AN/A5,8921,54018,0785,013
2010-11-11$26.59$25.0051.9%14.9%64.9%31.9%52.5%9.4%-0.4%397.6K-35.6M-43.0K0.3455.85N/AN/A70824418,4885,860
2010-11-12$25.19$25.0052.0%14.9%68.4%31.9%54.1%4.4%-4.4%406.6K-30.1M-42.5K0.5259.55N/AN/A60231218,4385,965
2010-11-15$25.40$25.0054.0%15.5%68.4%34.5%53.0%11.4%-3.7%387.6K-31.4M-41.0K0.2067.75N/AN/A1022018,4436,177
2010-11-16$23.41$25.0057.1%16.4%68.2%38.6%55.0%2.8%-4.2%402.4K-22.3M-38.9K0.6655.24N/AN/A80953718,4036,194
2010-11-17$24.58$25.0054.4%15.6%67.2%35.1%50.2%6.1%-2.7%381.6K-26.9M-40.5K0.0158.31N/AN/A3,5605218,1776,455
2010-11-18$26.12$25.0050.3%14.4%59.3%29.7%50.9%6.9%0.0%365.7K-35.7M-41.6K0.1155.42N/AN/A4545119,1346,485
2010-11-19$25.46$25.0050.5%14.5%60.3%30.0%49.1%4.7%-0.9%465.6K-35.9M-38.8K0.3564.33N/AN/A60521019,5826,501
2010-11-22$25.53$25.0049.0%14.1%58.1%28.1%50.7%4.4%-1.0%239.6K-13.7M-37.7K1.2171.41N/AN/A1511839,7931,978
2010-11-23$24.78$25.0047.5%13.6%57.9%26.1%49.8%4.1%0.0%220.3K-12.4M-37.9K0.3745.94N/AN/A57219,8702,139
2010-11-24$25.83$25.0046.4%13.3%59.9%24.7%45.8%16.6%1.4%258.4K-14.4M-36.7K0.9568.86N/AN/A97929,8862,165
2010-11-26$25.51$25.0046.4%13.3%56.3%24.7%46.4%14.7%0.3%240.3K-13.9M-36.8K1.2281.93N/AN/A23289,8862,237
2010-11-29$25.71$25.0047.8%13.7%52.5%26.5%47.7%17.9%2.4%247.5K-14.0M-35.3K3.6270.68N/AN/A1816559,8942,265
2010-11-30$25.21$25.0048.3%13.8%51.7%27.2%48.5%16.5%0.2%173.4K-12.5M-37.3K0.6367.20N/AN/A143909,9832,877