CYD Options History — July 2011

In July 2011, CYD traded between $17.79 and $22.36. ATM implied volatility averaged 62.6%, placing in the 66.2% IV rank vs the trailing year. The 30-day expected move averaged 18.2%. IV traded above realized volatility by 9.1% (HV 20d: 53.5%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.53.

Notable Days

  • 2011-07-18: Highest Volume — 887 contracts
  • 2011-07-11: Largest IV spike — 25.6% change
  • 2011-07-12: Highest IV Rank — 78.3%
  • 2011-07-27: Largest Expected Move — 19.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.40$17.79$22.36$22.36$19.01
Max Pain$22.23$20.00$22.50$20.00$21.50
ATM IV62.6%53.4%69.1%53.4%65.9%
Expected Move18.2%15.3%19.6%15.3%18.9%
HV 20d53.5%45.4%65.8%62.9%59.6%
HV 60d69.6%68.3%72.2%68.3%71.8%
IV Rank66.2%49.0%78.3%49.0%72.3%
IV Percentile86.8%66.7%97.2%66.7%92.5%
Term Structure-1.5%-7.8%9.3%9.3%-7.8%
VWIV62.7%58.1%69.2%62.6%63.9%
Skew 25d11.4%5.1%33.9%33.9%5.1%
Skew 10d22.4%-14.4%40.5%21.8%12.6%
Call IV 25d57.2%30.3%63.2%30.3%63.2%
Put IV 25d68.6%64.2%70.8%64.2%68.3%
Bid-Ask Spread %59.4549.0573.1873.1861.79
Gamma HHI0.170.130.260.130.21
Net GEX-63.5K-155.0K-7.0K-10.9K-140.3K
Net DEX2.3M-956.7K6.9M-956.7K5.4M
Net VEX-30.7K-34.0K-27.0K-34.0K-30.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.530.057.440.292.29
Total Volume362.552388734323
Total OI14,443.213,06315,20313,97615,203

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$22.36$20.0053.4%15.3%62.9%49.0%62.6%33.9%9.3%-10.9K-956.7K-34.0K0.2973.18N/AN/A266775,9348,042
2011-07-05$22.07$22.5058.1%17.1%61.2%57.8%69.2%11.9%1.9%-7.6K-813.0K-33.1K2.1560.04N/AN/A1583396,0658,098
2011-07-06$21.44$22.5055.0%18.1%62.1%51.9%59.5%12.0%-0.6%-16.9K173.1K-33.5K0.3755.05N/AN/A132496,1088,337
2011-07-07$21.83$22.5054.8%17.9%61.6%51.5%65.7%11.6%0.0%-7.2K-470.2K-33.2K0.3253.14N/AN/A53176,1308,342
2011-07-08$22.17$22.5054.6%17.4%61.3%51.1%59.9%11.8%-2.4%-9.7K-867.0K-31.7K0.1963.30N/AN/A134266,1298,347
2011-07-11$20.65$22.5068.5%18.7%65.8%77.3%58.1%13.7%-2.0%-15.1K994.9K-30.9K0.5264.18N/AN/A115606,1938,365
2011-07-12$20.16$22.5069.1%18.8%54.8%78.3%65.1%9.0%-2.0%-28.6K2.2M-30.6K0.6150.84N/AN/A5453356,1948,344
2011-07-13$20.50$22.5066.8%18.8%47.8%74.0%60.3%8.5%-2.1%-8.1K1.3M-31.2K0.0553.69N/AN/A504256,4458,599
2011-07-14$20.04$22.5064.4%18.5%46.3%69.5%64.4%5.9%3.5%-7.0K1.9M-30.2K0.7761.09N/AN/A65506,5778,616
2011-07-15$20.48$22.5061.4%17.6%46.7%64.0%60.5%11.9%0.9%-17.6K1.1M-29.0K0.1556.09N/AN/A123186,5648,602
2011-07-18$19.86$22.5062.7%18.0%48.3%66.4%62.5%11.3%-1.0%-89.3K3.3M-28.0K2.5158.76N/AN/A2536345,2077,856
2011-07-19$20.26$22.5066.8%19.1%48.5%73.9%66.9%10.5%-4.8%-104.0K3.4M-28.8K0.4460.87N/AN/A117525,2968,291
2011-07-20$20.37$22.5063.2%18.1%46.2%67.3%63.8%11.3%0.0%-92.5K3.0M-29.5K4.6560.06N/AN/A482235,3848,301
2011-07-21$20.53$22.5061.6%17.7%45.4%64.2%61.6%11.2%3.0%-93.8K2.9M-30.1K7.4459.87N/AN/A936925,4138,467
2011-07-22$20.16$22.5061.4%17.6%45.6%64.0%60.9%10.5%-1.1%-103.8K3.6M-31.1K0.4862.64N/AN/A130625,4958,869
2011-07-25$19.89$22.5063.0%18.1%45.8%66.8%62.6%10.5%-1.6%-106.5K3.9M-30.7K3.6860.57N/AN/A933425,5538,916
2011-07-26$19.28$22.5067.9%19.5%46.0%76.0%63.7%10.2%-7.3%-120.6K4.7M-30.5K0.5963.98N/AN/A82485,5999,166
2011-07-27$17.79$21.5068.3%19.6%53.7%76.9%62.5%7.9%-7.2%-155.0K6.9M-27.0K1.0349.05N/AN/A3363475,6039,197
2011-07-28$19.22$21.5065.9%18.9%60.5%72.3%61.2%9.9%-7.6%-134.4K5.2M-29.9K2.0660.89N/AN/A1913945,6639,354
2011-07-29$19.01$21.5065.9%18.9%59.6%72.3%63.9%5.1%-7.8%-140.3K5.4M-30.7K2.2961.79N/AN/A7165,6299,574