CYD Options History — March 2011

In March 2011, CYD traded between $23.73 and $29.33. ATM implied volatility averaged 55.1%, placing in the 36.0% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded above realized volatility by 11.9% (HV 20d: 43.2%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 1.05.

Notable Days

  • 2011-03-31: Highest Volume — 4,117 contracts
  • 2011-03-15: Largest IV spike — 13.4% change
  • 2011-03-16: Highest IV Rank — 47.2%
  • 2011-03-16: Largest Expected Move — 18.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.94$23.73$29.33$26.75$29.33
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV55.1%49.0%63.8%57.5%49.0%
Expected Move15.6%14.0%18.3%16.5%14.0%
HV 20d43.2%34.7%49.1%49.1%44.8%
HV 60d46.2%43.8%48.9%48.9%46.8%
IV Rank36.0%28.0%47.2%39.0%28.0%
IV Percentile66.6%40.5%87.3%77.0%40.5%
Term Structure1.5%-2.3%6.1%-2.1%1.0%
VWIV53.5%46.5%62.7%55.0%48.7%
Skew 25d4.5%0.2%6.9%5.1%0.2%
Skew 10d11.1%-10.5%27.1%13.3%2.9%
Call IV 25d51.9%39.5%60.0%52.5%39.5%
Put IV 25d56.5%39.7%65.7%57.6%39.7%
Bid-Ask Spread %68.7260.2679.1172.4469.07
Gamma HHI0.260.200.460.230.46
Net GEX110.2K23.6K270.7K66.4K270.7K
Net DEX-5.0M-15.2M-1.7K-5.3M-15.2M
Net VEX-44.3K-48.2K-40.2K-47.0K-48.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.0212.2212.220.03
Total Volume730.9571184,1172384,117
Total OI14,369.39112,99016,92412,99014,926

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-03-01$26.75$25.0057.5%16.5%49.1%39.0%55.0%5.1%-2.1%66.4K-5.3M-47.0K12.2272.44N/AN/A182207,7125,278
2011-03-02$26.68$25.0055.3%15.9%45.9%36.3%46.5%6.1%0.6%51.0K-4.7M-45.4K0.9167.72N/AN/A66607,7085,413
2011-03-03$27.58$25.0049.6%14.2%47.8%28.9%48.9%5.1%1.4%87.9K-6.6M-46.7K0.0877.20N/AN/A648527,7225,443
2011-03-04$26.98$25.0055.2%15.6%48.2%36.0%49.9%5.9%-0.2%84.4K-5.5M-46.4K0.0660.26N/AN/A157108,3055,463
2011-03-07$26.42$25.0058.6%15.4%45.6%40.5%52.9%4.0%1.5%64.6K-4.5M-44.5K0.3261.91N/AN/A291938,3255,464
2011-03-08$26.53$25.0058.7%15.6%45.5%40.6%51.3%5.7%2.3%65.0K-4.7M-44.3K0.1064.23N/AN/A118128,3725,491
2011-03-09$26.37$25.0057.4%15.6%45.3%38.9%49.7%6.7%2.7%60.6K-4.4M-43.2K0.0365.72N/AN/A23668,4175,492
2011-03-10$25.64$25.0055.1%15.8%42.1%36.0%55.5%2.2%0.5%31.5K-3.2M-42.8K0.0363.44N/AN/A939258,5655,487
2011-03-11$25.54$25.0056.2%16.1%41.9%37.4%56.5%6.9%-1.8%58.4K-3.2M-44.3K0.9967.75N/AN/A75749,3705,492
2011-03-14$25.45$25.0054.0%15.5%41.9%34.5%54.0%2.1%2.8%45.0K-3.0M-43.1K0.1567.68N/AN/A8681319,3795,539
2011-03-15$24.46$25.0061.2%17.5%43.4%43.8%61.9%6.9%-2.3%23.6K-1.4M-42.2K0.3666.79N/AN/A8463079,6805,580
2011-03-16$23.73$25.0063.8%18.3%43.5%47.2%62.7%5.7%-1.0%51.4K-1.7K-40.2K1.0763.21N/AN/A30933110,2025,759
2011-03-17$24.00$25.0058.7%16.8%44.2%40.6%59.7%6.8%1.3%89.8K-116.0K-41.6K0.0266.94N/AN/A2,6865410,4165,929
2011-03-18$24.53$25.0056.1%16.1%45.0%37.2%55.3%4.5%4.1%174.1K-1.5M-43.6K2.5064.79N/AN/A19649010,9955,929
2011-03-21$25.57$25.0053.2%15.3%47.7%33.5%53.7%3.2%4.2%118.5K-5.0M-43.4K0.1469.35N/AN/A1,0581458,7454,304
2011-03-22$25.02$25.0053.2%15.2%43.3%33.4%55.2%2.4%3.1%135.6K-4.8M-43.3K0.5675.63N/AN/A77439,3504,426
2011-03-23$25.17$25.0052.0%14.9%40.7%32.0%52.0%5.6%6.1%136.9K-4.7M-42.9K0.2870.96N/AN/A146419,4054,467
2011-03-24$25.30$25.0052.0%14.9%37.7%31.9%51.9%4.8%2.8%148.7K-5.2M-44.2K0.2979.11N/AN/A260769,5324,482
2011-03-25$25.95$25.0052.3%15.0%38.9%32.3%51.9%3.1%2.5%175.9K-6.9M-45.0K0.4672.47N/AN/A2881339,7314,495
2011-03-28$26.25$25.0054.2%15.5%36.8%34.7%53.3%4.8%1.2%188.8K-7.6M-44.7K0.9871.27N/AN/A1311289,9064,573
2011-03-29$26.02$25.0053.1%15.2%34.7%33.4%53.0%4.6%3.1%182.9K-7.0M-43.6K2.5869.79N/AN/A33859,9714,609
2011-03-30$27.41$25.0051.4%14.7%39.5%31.2%51.7%1.6%1.0%223.8K-9.8M-47.2K0.0772.88N/AN/A684499,9784,669
2011-03-31$29.33$25.0049.0%14.0%44.8%28.0%48.7%0.2%1.0%270.7K-15.2M-48.2K0.0369.07N/AN/A4,00111610,3254,601