CYD Options History — January 2011

In January 2011, CYD traded between $26.81 and $32.02. ATM implied volatility averaged 48.3%, placing in the 27.2% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded above realized volatility by 3.3% (HV 20d: 45.0%). Max pain ranged from $15.00 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.59.

Notable Days

  • 2011-01-20: Highest Volume — 2,766 contracts
  • 2011-01-20: Largest IV spike — 18.8% change
  • 2011-01-20: Highest IV Rank — 38.6%
  • 2011-01-20: Largest Expected Move — 16.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.17$26.81$32.02$31.95$28.40
Max Pain$17.00$15.00$25.00$25.00$15.00
ATM IV48.3%43.3%57.1%47.0%45.6%
Expected Move14.1%12.4%16.4%13.5%13.1%
HV 20d45.0%40.9%51.9%49.2%48.2%
HV 60d53.1%48.8%57.2%55.9%50.7%
IV Rank27.2%20.7%38.6%25.5%23.7%
IV Percentile33.3%15.1%68.3%26.2%23.0%
Term Structure2.3%-3.6%5.3%3.8%1.9%
VWIV49.4%43.6%58.9%45.9%44.6%
Skew 25d5.2%2.0%10.5%2.0%10.5%
Skew 10d10.6%1.3%22.0%2.1%22.0%
Call IV 25d47.6%41.9%55.5%44.6%42.9%
Put IV 25d52.8%46.7%59.9%46.7%53.4%
Bid-Ask Spread %70.9035.0782.8935.0775.17
Gamma HHI0.360.270.450.340.40
Net GEX356.9K258.0K471.7K403.0K268.3K
Net DEX-25.2M-32.4M-14.4M-31.0M-18.0M
Net VEX-50.0K-56.4K-43.4K-52.5K-43.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.082.380.240.08
Total Volume677.951262,766789412
Total OI17,977.1516,34019,38117,52617,493

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$31.95$25.0047.0%13.5%49.2%25.5%45.9%2.0%3.8%403.0K-31.0M-52.5K0.2435.07N/AN/A63615313,7503,776
2011-01-04$30.74$25.0048.9%14.0%48.0%27.9%48.9%6.1%2.3%403.8K-27.5M-56.4K0.1956.44N/AN/A5269913,9803,859
2011-01-05$31.20$25.0047.6%13.7%45.9%26.3%46.7%6.1%5.2%403.0K-28.9M-55.1K0.2451.12N/AN/A3277813,9333,922
2011-01-06$31.41$25.0046.9%13.4%45.1%25.3%46.9%6.5%1.4%416.9K-29.8M-52.5K0.1956.23N/AN/A93817914,0173,952
2011-01-07$30.70$15.0045.0%14.1%45.8%22.8%50.6%5.9%4.1%405.2K-27.2M-54.1K0.2767.95N/AN/A3409313,9344,112
2011-01-10$31.70$15.0047.3%14.6%44.5%25.9%52.8%7.8%3.5%405.0K-30.5M-53.3K0.9874.05N/AN/A24323714,0114,169
2011-01-11$32.02$15.0045.4%14.4%44.3%23.4%49.5%5.6%3.5%402.1K-31.7M-52.8K0.4172.31N/AN/A2439914,0054,279
2011-01-12$32.00$15.0044.4%14.2%41.6%22.1%48.5%5.3%3.8%404.4K-32.0M-51.5K1.8368.21N/AN/A13224114,1424,345
2011-01-13$31.61$15.0048.0%13.8%42.2%26.8%50.0%4.4%4.9%405.8K-30.6M-53.2K1.2576.34N/AN/A567014,1744,470
2011-01-14$32.01$15.0049.2%14.1%42.2%28.3%48.9%4.6%5.3%381.1K-32.4M-49.7K0.8875.24N/AN/A13511914,1904,501
2011-01-18$31.45$15.0048.4%13.9%42.9%27.3%47.9%5.3%4.8%402.0K-30.7M-48.7K0.7978.48N/AN/A20716414,1694,581
2011-01-19$30.20$15.0048.1%13.8%42.7%26.9%49.0%5.0%4.8%471.7K-26.1M-50.2K0.1480.73N/AN/A4796714,1864,700
2011-01-20$28.30$15.0057.1%16.4%41.6%38.6%58.9%4.3%-2.2%350.0K-18.6M-49.8K0.3378.63N/AN/A2,07269414,1864,743
2011-01-21$27.83$15.0054.4%15.6%40.9%35.1%54.0%3.3%0.4%292.8K-17.6M-48.6K0.3678.98N/AN/A71125414,5014,880
2011-01-24$26.81$15.0055.4%15.9%42.3%36.4%54.7%4.1%-2.5%265.3K-14.4M-45.5K0.1576.16N/AN/A1,16317912,4684,080
2011-01-25$27.69$15.0051.8%14.8%44.7%31.7%52.8%4.2%-3.6%259.7K-16.3M-45.9K2.3881.02N/AN/A28768212,1514,189
2011-01-26$28.75$15.0046.4%13.3%47.0%24.7%47.2%4.2%1.3%258.0K-19.0M-46.0K0.3282.89N/AN/A42413612,3024,816
2011-01-27$29.98$15.0043.3%12.4%49.7%20.7%43.6%6.8%2.0%274.4K-22.2M-45.1K0.5178.69N/AN/A28814812,2904,919
2011-01-28$28.60$15.0046.2%13.2%51.9%24.4%47.2%3.0%1.9%265.8K-18.7M-45.7K0.2274.20N/AN/A2044412,3804,988
2011-01-31$28.40$15.0045.6%13.1%48.2%23.7%44.6%10.5%1.9%268.3K-18.0M-43.4K0.0875.17N/AN/A3813112,4685,025