CYD Options History — June 2011

In June 2011, CYD traded between $17.98 and $21.76. ATM implied volatility averaged 67.1%, placing in the 74.9% IV rank vs the trailing year. The 30-day expected move averaged 19.1%. IV traded below realized volatility by 4.9% (HV 20d: 72.0%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 2.14.

Notable Days

  • 2011-06-13: Highest Volume — 3,629 contracts
  • 2011-06-13: Largest IV spike — 33.3% change
  • 2011-06-15: Highest IV Rank — 100.0%
  • 2011-06-16: Largest Expected Move — 23.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.93$17.98$21.76$21.43$21.10
Max Pain$21.02$20.00$22.50$22.50$20.00
ATM IV67.1%57.0%80.7%61.5%64.2%
Expected Move19.1%16.3%23.1%17.6%18.4%
HV 20d72.0%55.7%93.0%92.7%59.4%
HV 60d66.9%64.1%69.6%64.1%67.1%
IV Rank74.9%56.2%100.0%64.6%69.2%
IV Percentile94.4%80.6%100.0%90.1%92.5%
Term Structure3.2%-4.6%7.6%-4.6%-1.4%
VWIV65.7%54.3%77.2%63.7%58.1%
Skew 25d8.6%1.1%18.1%2.6%18.1%
Skew 10d19.8%-4.1%38.5%-4.1%35.7%
Call IV 25d63.3%49.8%77.2%59.6%49.8%
Put IV 25d71.9%59.5%85.3%62.2%67.9%
Bid-Ask Spread %67.9854.9481.7871.3374.41
Gamma HHI0.180.120.270.230.15
Net GEX-30.9K-178.3K82.9K72.1K-34.1K
Net DEX3.5M1.1M6.1M1.8M1.1M
Net VEX-29.4K-34.1K-20.4K-28.7K-33.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.140.0719.040.500.07
Total Volume565.045823,629105159
Total OI12,992.72711,53615,96911,61913,890

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$21.43$22.5061.5%17.6%92.7%64.6%63.7%2.6%-4.6%72.1K1.8M-28.7K0.5071.33N/AN/A70356,5305,089
2011-06-02$21.76$22.5060.6%17.4%93.0%63.0%56.0%5.9%-1.1%82.0K1.5M-29.2K0.2563.20N/AN/A153396,5445,085
2011-06-03$21.60$22.5060.1%17.3%92.6%61.9%0.0%11.4%2.1%82.9K1.5M-29.1K0.6669.75N/AN/A76506,6785,069
2011-06-06$20.75$22.5063.3%17.5%92.7%68.0%56.1%5.3%4.8%53.1K2.6M-26.5K1.7370.17N/AN/A891546,7125,090
2011-06-07$20.50$22.5068.1%17.5%91.8%77.0%61.5%3.1%4.5%30.1K3.3M-25.0K2.2769.75N/AN/A851936,6835,186
2011-06-08$20.03$22.5061.1%16.4%90.1%63.8%56.2%5.4%7.5%-3.6K3.9M-23.7K1.2065.48N/AN/A1381666,6605,278
2011-06-09$20.51$22.5061.2%17.5%67.8%64.1%54.3%5.0%-1.1%8.7K3.6M-24.4K0.3263.63N/AN/A289936,7405,311
2011-06-10$19.87$22.5057.0%16.3%63.5%56.2%57.2%1.1%6.4%-19.2K4.3M-22.7K4.8063.42N/AN/A1326346,9315,323
2011-06-13$17.98$22.5076.0%21.8%69.5%92.0%74.9%3.7%-1.0%-53.4K5.7M-20.4K3.9366.94N/AN/A7362,8936,9705,607
2011-06-14$19.45$20.0074.6%21.4%77.5%89.5%74.4%8.8%-0.6%-56.9K5.0M-29.6K0.8362.65N/AN/A2602167,6217,437
2011-06-15$18.72$20.0080.5%23.1%77.8%100.0%77.2%7.4%-1.9%-73.2K5.6M-29.1K5.8261.49N/AN/A1811,0537,6647,562
2011-06-16$18.71$20.0080.7%23.1%76.5%100.0%77.2%12.3%0.4%-99.4K6.1M-29.9K19.0460.13N/AN/A264957,5938,142
2011-06-17$18.93$20.0073.4%21.0%76.3%86.4%73.1%11.8%6.4%-178.3K6.1M-31.3K2.0666.05N/AN/A2094307,6058,364
2011-06-20$18.79$20.0071.0%20.4%55.7%82.0%70.2%11.2%7.5%-89.6K4.6M-30.8K0.1654.94N/AN/A6721094,0517,485
2011-06-21$19.62$20.0066.6%19.1%58.1%73.7%69.2%6.5%7.6%-69.5K3.5M-32.5K0.2364.17N/AN/A5601294,6787,521
2011-06-22$19.19$20.0067.7%19.4%58.3%75.6%66.7%11.4%6.1%-60.4K3.4M-33.0K0.1971.11N/AN/A264505,1317,575
2011-06-23$19.57$20.0065.6%18.8%58.4%71.8%68.1%11.8%4.1%-65.5K3.5M-33.1K0.4469.44N/AN/A142625,2987,625
2011-06-24$19.40$20.0066.3%19.0%58.1%73.0%66.1%10.4%7.1%-54.6K3.1M-33.0K0.2273.92N/AN/A67155,3837,664
2011-06-27$19.94$20.0066.5%19.1%58.2%73.6%69.8%10.5%7.1%-58.6K3.0M-32.5K0.4775.95N/AN/A2271065,4257,667
2011-06-28$20.07$20.0065.4%18.8%58.1%71.4%64.6%10.8%7.2%-50.1K2.6M-33.3K1.6375.94N/AN/A2303765,5557,691
2011-06-29$20.57$20.0065.7%18.8%58.8%71.9%65.8%14.8%3.8%-42.3K2.0M-34.1K0.1981.78N/AN/A310585,7158,012
2011-06-30$21.10$20.0064.2%18.4%59.4%69.2%58.1%18.1%-1.4%-34.1K1.1M-33.8K0.0774.41N/AN/A148115,8458,045