CYD Options History — April 2011

In April 2011, CYD traded between $29.54 and $33.17. ATM implied volatility averaged 47.1%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded above realized volatility by 7.0% (HV 20d: 40.1%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.19.

Notable Days

  • 2011-04-08: Highest Volume — 2,653 contracts
  • 2011-04-12: Largest IV spike — 11.4% change
  • 2011-04-04: Highest IV Rank — 34.4%
  • 2011-04-04: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.06$29.54$33.17$30.35$33.12
Max Pain$23.63$22.50$25.00$25.00$25.00
ATM IV47.1%41.4%53.9%50.0%43.8%
Expected Move13.7%11.9%15.0%14.3%12.6%
HV 20d40.1%30.9%45.0%45.0%30.9%
HV 60d44.9%41.5%47.5%47.2%41.5%
IV Rank25.5%18.3%34.4%29.4%21.4%
IV Percentile32.8%13.1%63.5%45.6%18.7%
Term Structure0.7%-1.8%4.0%-1.8%1.2%
VWIV47.5%33.3%52.6%49.7%49.2%
Skew 25d4.3%-8.0%9.0%-8.0%8.8%
Skew 10d15.0%-15.0%51.9%-15.0%48.4%
Call IV 25d46.3%38.4%51.8%50.1%38.4%
Put IV 25d50.6%42.1%56.0%42.1%47.3%
Bid-Ask Spread %55.5948.0163.4263.4251.17
Gamma HHI0.600.370.960.720.55
Net GEX722.3K214.7K4.7M614.1K388.7K
Net DEX-20.4M-25.3M-12.6M-22.6M-23.9M
Net VEX-42.6K-53.7K-35.6K-52.8K-36.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.190.030.460.250.04
Total Volume1,070.31252,6531,1421,395
Total OI17,241.6514,15520,13117,64916,259

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$30.35$25.0050.0%14.3%45.0%29.4%49.7%-8.0%-1.8%614.1K-22.6M-52.8K0.2563.42N/AN/A91223013,0174,632
2011-04-04$31.07$22.5053.9%15.0%44.3%34.4%52.6%5.9%-1.0%618.2K-25.3M-51.6K0.0359.88N/AN/A2,2987313,3464,755
2011-04-05$31.02$22.5052.1%14.8%44.4%32.1%52.1%2.9%-0.5%721.0K-25.2M-53.7K0.0453.79N/AN/A1,9006814,5864,779
2011-04-06$31.04$22.5050.2%15.0%44.2%29.7%51.7%5.3%-1.3%764.2K-25.3M-51.8K0.0748.01N/AN/A8025615,3244,807
2011-04-07$31.00$22.5047.2%14.1%42.2%25.8%49.4%4.7%1.2%751.6K-24.5M-49.2K0.1354.50N/AN/A7289115,0514,839
2011-04-08$30.92$22.5044.4%14.4%42.2%22.1%49.9%3.7%0.2%750.5K-24.2M-48.5K0.0353.35N/AN/A2,5787514,8834,810
2011-04-11$30.31$22.5046.0%14.5%43.2%24.2%49.7%3.6%-0.8%594.7K-19.2M-43.3K0.1156.58N/AN/A4374713,8744,826
2011-04-12$29.54$22.5051.2%14.0%41.4%31.0%47.5%6.9%0.6%571.6K-16.3M-42.6K0.4656.81N/AN/A38317814,0294,847
2011-04-13$29.73$22.5046.4%13.8%38.7%24.7%49.2%4.1%0.7%647.2K-16.2M-41.7K0.2753.45N/AN/A1313513,3234,845
2011-04-14$29.82$22.5047.7%13.7%38.8%26.4%40.8%5.3%1.9%854.2K-16.1M-38.9K0.1353.89N/AN/A1872413,4154,850
2011-04-15$30.04$22.5046.9%13.4%38.6%25.3%50.4%1.6%4.0%4.7M-18.2M-40.0K0.2758.92N/AN/A1,49240313,4774,860
2011-04-18$29.73$22.5047.7%13.7%37.4%26.4%48.2%3.6%1.5%217.6K-12.6M-39.5K0.1857.61N/AN/A7431319,5434,612
2011-04-19$29.88$25.0047.9%13.7%35.8%26.7%50.2%4.8%2.6%214.7K-12.7M-38.5K0.4452.25N/AN/A87389,6114,710
2011-04-20$30.98$25.0046.8%13.4%37.0%25.2%33.3%6.6%0.1%263.3K-15.5M-38.8K0.0350.09N/AN/A1,273369,6254,744
2011-04-21$32.35$25.0044.1%12.6%38.8%21.7%43.3%4.1%1.3%346.3K-22.0M-37.4K0.1360.60N/AN/A1,74122910,6034,750
2011-04-25$31.70$25.0045.6%13.1%40.1%23.7%45.2%-2.1%2.2%314.6K-19.7M-36.4K0.2461.59N/AN/A1433410,5384,882
2011-04-26$32.62$25.0042.1%12.1%40.6%19.1%46.6%6.4%2.2%341.1K-22.2M-35.6K0.3352.60N/AN/A1,12837510,5514,903
2011-04-27$33.17$25.0045.4%13.0%40.0%23.4%46.6%8.7%-0.0%360.1K-23.8M-37.6K0.3450.64N/AN/A57719610,9355,181
2011-04-28$32.81$25.0041.4%11.9%37.9%18.3%45.3%9.0%0.6%370.0K-23.1M-38.5K0.3662.61N/AN/A1124011,0305,181
2011-04-29$33.12$25.0043.8%12.6%30.9%21.4%49.2%8.8%1.2%388.7K-23.9M-36.7K0.0451.17N/AN/A1,3425311,0685,191