CYD Options History — August 2011

In August 2011, CYD traded between $13.52 and $19.12. ATM implied volatility averaged 68.2%, placing in the 63.7% IV rank vs the trailing year. The 30-day expected move averaged 19.2%. IV traded below realized volatility by 39.0% (HV 20d: 107.2%). Max pain ranged from $15.00 to $21.50. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 6.40.

Notable Days

  • 2011-08-08: Highest Volume — 3,421 contracts
  • 2011-08-03: Largest IV spike — 23.8% change
  • 2011-08-03: Highest IV Rank — 100.0%
  • 2011-08-04: Largest Expected Move — 25.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.51$13.52$19.12$19.12$17.94
Max Pain$17.87$15.00$21.50$21.50$17.50
ATM IV68.2%51.4%94.2%64.8%56.4%
Expected Move19.2%14.7%25.1%18.6%16.2%
HV 20d107.2%54.9%125.6%54.9%119.1%
HV 60d80.9%64.7%87.3%71.8%83.4%
IV Rank63.7%36.0%100.0%70.2%43.6%
IV Percentile84.3%48.8%100.0%90.1%65.9%
Term Structure-2.8%-13.3%6.2%-6.3%-6.1%
VWIV64.1%51.0%85.9%66.2%51.0%
Skew 25d12.0%-3.3%26.5%6.1%-3.3%
Skew 10d22.3%-24.4%55.1%-3.9%-8.4%
Call IV 25d58.4%34.2%81.2%64.8%51.1%
Put IV 25d70.4%46.2%89.1%71.0%47.8%
Bid-Ask Spread %82.9356.6599.3256.6592.39
Gamma HHI0.330.210.520.210.27
Net GEX-113.3K-278.6K-24.6K-145.8K-24.6K
Net DEX6.6M1.4M11.9M5.4M1.4M
Net VEX-21.7K-29.5K-15.1K-29.5K-23.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.400.0285.5011.600.15
Total Volume518.174403,421126154
Total OI12,947.6097,26616,79915,2048,173

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-08-01$19.12$21.5064.8%18.6%54.9%70.2%66.2%6.1%-6.3%-145.8K5.4M-29.5K11.6056.65N/AN/A101165,6259,579
2011-08-02$18.03$21.5066.6%19.1%57.8%73.8%64.0%3.9%-2.9%-161.0K6.3M-27.8K0.1972.70N/AN/A52105,6359,679
2011-08-03$17.65$21.5082.5%23.7%57.6%100.0%85.9%11.0%-8.3%-164.3K7.6M-27.0K5.6157.54N/AN/A3311,8585,6269,673
2011-08-04$16.56$21.5087.4%25.1%59.6%100.0%81.2%9.0%-13.3%-192.3K9.1M-27.2K0.4463.95N/AN/A77345,76210,896
2011-08-05$17.63$17.5094.2%20.6%64.8%100.0%70.7%8.8%-7.8%-190.2K8.6M-28.8K0.8982.02N/AN/A1751555,73610,920
2011-08-08$13.52$17.5090.2%22.9%109.7%94.0%76.8%5.0%-4.8%-96.9K11.9M-15.3K6.0074.23N/AN/A4892,9325,80610,993
2011-08-09$14.43$17.5074.4%21.9%113.9%70.5%81.8%-0.9%-5.0%-81.5K10.6M-15.1K3.3893.91N/AN/A1816115,9989,513
2011-08-10$14.36$15.0080.7%22.6%113.3%79.9%69.5%8.6%-6.6%-101.1K9.8M-17.2K1.0084.91N/AN/A1981986,0739,456
2011-08-11$15.68$15.0073.1%20.9%119.3%68.5%60.8%26.5%-1.0%-150.1K9.2M-20.4K0.5792.57N/AN/A102586,2469,243
2011-08-12$15.71$15.0067.0%19.2%118.8%59.4%67.7%7.6%-0.3%-164.1K9.1M-20.2K1.2579.63N/AN/A1171466,2799,237
2011-08-15$17.06$17.5060.3%17.3%123.3%49.4%59.7%12.4%1.3%-278.6K7.9M-21.9K1.3280.40N/AN/A1041376,2989,201
2011-08-16$15.87$17.5065.8%18.9%124.9%57.6%62.5%7.1%-3.3%-199.2K8.7M-19.5K2.6484.11N/AN/A11296,3579,224
2011-08-17$16.10$17.5067.8%19.4%125.1%60.6%54.8%21.8%-6.1%-195.1K9.2M-19.2K4.0885.72N/AN/A12496,3629,202
2011-08-18$15.98$17.5068.0%19.5%124.9%60.9%62.5%21.1%-5.9%-161.8K9.3M-17.6K85.5087.53N/AN/A121,0266,2308,883
2011-08-19$15.60$17.5065.0%18.6%124.9%56.5%62.5%10.3%2.9%-59.9K9.9M-18.4K20.8980.99N/AN/A449196,2279,394
2011-08-22$15.99$17.5068.1%19.5%125.6%61.0%63.2%18.9%-4.1%-40.6K3.2M-19.0K0.1279.76N/AN/A324402,7354,531
2011-08-23$16.15$17.5068.1%19.5%125.6%61.0%60.5%17.2%-2.3%-36.8K3.1M-20.2K0.0687.11N/AN/A12583,0304,571
2011-08-24$16.60$17.5054.7%15.7%123.3%40.9%58.7%19.2%1.0%-36.9K2.9M-21.1K0.1085.55N/AN/A8793,1054,579
2011-08-25$16.74$17.5055.9%16.0%119.7%42.8%56.4%16.7%0.9%-35.7K2.7M-21.2K0.0292.32N/AN/A19743,1864,570
2011-08-26$17.13$17.5051.4%14.7%120.1%36.0%51.4%23.8%2.8%-32.6K2.5M-21.9K0.3395.27N/AN/A176583,3264,570
2011-08-29$17.69$17.5053.7%15.4%120.8%39.5%53.7%12.0%4.2%-28.9K1.7M-22.9K0.5798.78N/AN/A2511433,3934,568
2011-08-30$18.09$17.5053.0%15.2%119.3%38.5%52.8%14.1%6.2%-27.9K1.5M-23.3K0.5599.32N/AN/A96533,4534,652
2011-08-31$17.94$17.5056.4%16.2%119.1%43.6%51.0%-3.3%-6.1%-24.6K1.4M-23.3K0.1592.39N/AN/A134203,5134,660