CYD Options History — February 2011

In February 2011, CYD traded between $25.60 and $30.51. ATM implied volatility averaged 51.3%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded above realized volatility by 1.0% (HV 20d: 50.4%). Max pain ranged from $15.00 to $30.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.53.

Notable Days

  • 2011-02-16: Highest Volume — 3,881 contracts
  • 2011-02-22: Largest IV spike — 17.4% change
  • 2011-02-24: Highest IV Rank — 46.5%
  • 2011-02-24: Largest Expected Move — 18.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.56$25.60$30.51$29.66$27.75
Max Pain$26.05$15.00$30.00$15.00$25.00
ATM IV51.3%40.9%63.2%45.4%51.4%
Expected Move15.0%12.0%18.1%13.0%14.7%
HV 20d50.4%46.3%53.2%51.1%47.5%
HV 60d49.5%46.4%52.2%51.4%48.9%
IV Rank31.1%17.7%46.5%23.4%31.2%
IV Percentile48.8%12.3%86.1%22.6%52.8%
Term Structure0.7%-5.0%6.7%3.3%1.2%
VWIV52.7%42.5%64.5%44.8%51.4%
Skew 25d5.8%2.0%9.8%5.2%6.7%
Skew 10d15.0%-1.5%33.9%7.8%25.6%
Call IV 25d51.3%44.9%61.6%46.1%50.0%
Put IV 25d57.1%47.8%68.2%51.2%56.7%
Bid-Ask Spread %54.2137.2075.2957.2265.77
Gamma HHI0.470.190.760.480.21
Net GEX208.8K31.5K338.2K288.3K65.4K
Net DEX-16.6M-24.4M-2.8M-21.7M-6.7M
Net VEX-42.8K-46.0K-40.0K-43.8K-44.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.012.850.010.32
Total Volume838.7891343,881441878
Total OI16,577.47411,02019,93517,54912,356

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-02-01$29.66$15.0045.4%13.0%51.1%23.4%44.8%5.2%3.3%288.3K-21.7M-43.8K0.0157.22N/AN/A437412,5075,042
2011-02-02$29.30$15.0043.4%12.4%49.5%20.9%43.6%2.6%4.9%278.0K-20.7M-42.9K0.3975.29N/AN/A1656512,4935,046
2011-02-03$28.98$15.0041.8%12.0%49.2%18.8%42.5%2.0%6.7%281.9K-19.9M-42.8K0.3364.18N/AN/A1013312,5855,075
2011-02-04$30.19$30.0040.9%13.5%51.6%17.7%45.5%6.9%2.7%313.9K-23.4M-42.3K0.2338.42N/AN/A65015012,5905,100
2011-02-07$30.36$30.0043.5%13.8%51.0%20.9%51.0%6.4%1.9%303.2K-23.7M-41.2K0.1337.20N/AN/A7129612,5055,054
2011-02-08$30.51$30.0045.1%13.7%49.6%23.0%47.4%5.5%2.5%299.5K-24.4M-41.8K0.6438.41N/AN/A15710012,6995,120
2011-02-09$28.81$30.0044.3%14.1%53.1%21.9%50.8%5.4%-0.2%282.8K-19.4M-40.8K0.3849.23N/AN/A69626312,7725,114
2011-02-10$28.99$30.0048.1%13.8%53.2%26.9%48.4%5.1%2.8%292.0K-20.4M-42.8K0.1343.74N/AN/A2192813,0755,324
2011-02-11$28.82$30.0050.3%14.4%53.2%29.7%50.5%5.7%0.7%287.9K-20.0M-42.1K1.5746.46N/AN/A11618213,1535,318
2011-02-14$28.87$30.0054.6%15.7%52.8%35.3%55.0%6.5%-0.8%290.8K-19.8M-41.1K0.2044.95N/AN/A4378713,2025,460
2011-02-15$29.13$30.0054.3%15.6%52.8%34.9%54.3%7.5%-0.3%338.2K-20.8M-41.2K0.4146.66N/AN/A2379713,3135,475
2011-02-16$28.85$30.0053.7%15.4%51.1%34.2%54.9%6.8%0.0%295.0K-19.3M-40.0K0.0544.81N/AN/A3,70617513,2885,448
2011-02-17$28.09$30.0057.0%16.3%46.5%38.4%59.2%4.5%-4.0%124.1K-19.0M-42.4K0.4168.30N/AN/A1,37256514,0295,501
2011-02-18$28.46$25.0052.8%15.1%46.3%33.0%56.6%7.1%0.7%53.3K-18.9M-46.0K0.5865.51N/AN/A50629114,0855,850
2011-02-22$26.75$25.0062.0%17.8%49.7%44.9%61.3%4.8%1.9%44.6K-4.4M-43.8K0.7059.57N/AN/A6714696,6094,411
2011-02-23$25.60$25.0062.7%18.0%50.5%45.7%64.5%6.6%-5.0%31.5K-2.8M-43.1K0.5460.07N/AN/A6983776,7984,631
2011-02-24$26.66$25.0063.2%18.1%50.8%46.5%59.5%9.8%-3.4%46.4K-4.6M-44.6K0.3064.15N/AN/A4391317,0504,830
2011-02-25$26.79$25.0061.0%17.5%48.0%43.5%60.0%4.1%-3.0%49.6K-5.4M-45.9K2.8559.97N/AN/A1634647,1814,883
2011-02-28$27.75$25.0051.4%14.7%47.5%31.2%51.4%6.7%1.2%65.4K-6.7M-44.8K0.3265.77N/AN/A6662127,2815,075