CYD Options History — December 2010

In December 2010, CYD traded between $26.02 and $31.69. ATM implied volatility averaged 47.1%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded below realized volatility by 5.9% (HV 20d: 53.0%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.42.

Notable Days

  • 2010-12-06: Highest Volume — 2,857 contracts
  • 2010-12-14: Largest IV spike — 89.2% change
  • 2010-12-14: Highest IV Rank — 68.4%
  • 2010-12-14: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.01$26.02$31.69$26.02$31.69
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV47.1%40.8%80.2%49.9%46.4%
Expected Move13.2%12.4%14.7%14.3%13.3%
HV 20d53.0%44.8%62.3%53.1%49.3%
HV 60d53.4%50.6%55.9%50.6%55.9%
IV Rank25.6%17.4%68.4%29.2%24.7%
IV Percentile23.2%10.7%96.4%29.0%24.6%
Term Structure3.0%-2.1%7.2%-2.1%5.4%
VWIV46.9%41.5%52.8%49.7%46.5%
Skew 25d7.4%2.2%18.1%18.1%4.4%
Skew 10d17.9%4.4%29.5%28.7%20.1%
Call IV 25d42.9%33.5%46.8%33.5%45.6%
Put IV 25d50.3%46.9%53.3%51.5%50.0%
Bid-Ask Spread %43.6128.4472.1052.7428.44
Gamma HHI0.370.310.490.330.33
Net GEX303.6K210.0K398.4K210.0K391.3K
Net DEX-22.1M-29.7M-14.4M-14.4M-29.7M
Net VEX-45.2K-54.3K-36.0K-36.7K-54.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.041.280.200.30
Total Volume879.6362102,857372473
Total OI15,459.512,98917,29412,98917,294

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$26.02$25.0049.9%14.3%53.1%29.2%49.7%18.1%-2.1%210.0K-14.4M-36.7K0.2052.74N/AN/A3096310,0562,933
2010-12-02$27.02$25.0048.1%13.8%54.5%27.0%47.4%2.2%-0.8%245.0K-16.9M-36.0K1.2872.10N/AN/A42254010,2432,965
2010-12-03$27.48$25.0045.8%13.1%54.7%23.9%41.5%6.4%4.3%272.6K-17.7M-37.6K0.7239.85N/AN/A31923110,4583,384
2010-12-06$29.13$25.0045.3%12.5%58.4%23.3%45.4%7.0%1.6%336.7K-21.5M-38.2K0.0934.11N/AN/A2,62223510,4093,564
2010-12-07$28.10$25.0049.0%12.4%60.0%28.0%45.9%2.2%-0.0%344.3K-21.0M-41.6K0.5233.78N/AN/A1,04554711,6203,641
2010-12-08$27.63$25.0048.4%12.6%60.2%27.3%46.0%2.9%2.3%302.1K-18.4M-41.8K0.4731.03N/AN/A1436711,3273,802
2010-12-09$27.25$25.0044.1%14.5%60.4%21.8%49.5%10.1%-2.1%262.8K-17.6M-40.6K0.9535.91N/AN/A58655811,2833,810
2010-12-10$28.52$25.0040.8%13.4%62.3%17.4%52.8%5.6%1.1%370.2K-21.1M-44.7K0.0437.14N/AN/A9363611,7494,184
2010-12-13$28.38$25.0042.4%13.1%58.7%19.5%46.9%8.1%2.6%398.4K-21.9M-45.9K0.1044.77N/AN/A2312412,4314,202
2010-12-14$27.39$25.0080.2%14.7%60.5%68.4%46.3%10.1%2.5%291.9K-19.3M-46.7K0.2150.10N/AN/A2525312,5294,205
2010-12-15$27.75$25.0044.3%12.7%51.4%22.0%51.3%12.2%5.6%258.0K-20.2M-45.4K1.0850.37N/AN/A16017312,5884,219
2010-12-16$27.77$25.0045.2%13.0%49.2%23.1%48.0%10.4%3.2%241.8K-20.1M-45.5K0.2548.25N/AN/A2015112,6204,313
2010-12-17$27.66$25.0043.6%12.5%44.8%21.0%52.6%12.1%7.2%243.8K-19.7M-45.9K0.6343.26N/AN/A1569912,6064,340
2010-12-20$29.09$25.0043.8%12.6%46.5%21.3%44.7%3.6%3.5%252.6K-20.4M-43.9K0.3229.93N/AN/A55818010,3042,821
2010-12-21$31.12$25.0044.3%12.7%51.2%22.0%43.5%7.4%2.8%253.7K-25.2M-42.5K0.0958.80N/AN/A2,35222310,6282,978
2010-12-22$31.69$25.0045.0%12.9%49.1%22.9%44.2%6.6%5.1%305.4K-27.6M-46.8K0.3654.78N/AN/A1,23244411,7053,140
2010-12-23$31.48$25.0043.8%12.5%48.2%21.3%43.3%5.9%5.3%326.8K-27.8M-51.3K0.4453.72N/AN/A26911812,4553,436
2010-12-27$31.30$25.0047.1%13.5%47.9%25.6%47.2%7.1%4.8%330.0K-27.4M-51.7K0.3440.62N/AN/A45215312,6073,520
2010-12-28$30.77$25.0047.3%13.6%48.8%25.8%46.5%8.1%3.5%341.2K-26.4M-52.5K0.6039.26N/AN/A48028612,8523,588
2010-12-29$30.79$25.0045.6%13.1%47.8%23.7%45.6%6.3%5.6%348.7K-26.7M-52.9K0.2137.33N/AN/A4559512,9813,628
2010-12-30$30.17$25.0046.2%13.2%48.2%24.4%46.1%6.5%4.4%352.6K-24.8M-52.7K0.0543.19N/AN/A1,4487512,9803,711
2010-12-31$31.69$25.0046.4%13.3%49.3%24.7%46.5%4.4%5.4%391.3K-29.7M-54.3K0.3028.44N/AN/A36510813,5663,728