CYD Options History — September 2011

In September 2011, CYD traded between $13.60 and $17.34. ATM implied volatility averaged 62.1%, placing in the 51.7% IV rank vs the trailing year. The 30-day expected move averaged 17.5%. IV traded above realized volatility by 5.2% (HV 20d: 56.8%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 6.14.

Notable Days

  • 2011-09-15: Highest Volume — 725 contracts
  • 2011-09-06: Largest IV spike — 34.6% change
  • 2011-09-12: Highest IV Rank — 74.8%
  • 2011-09-30: Largest Expected Move — 21.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.35$13.60$17.34$17.34$14.58
Max Pain$16.55$15.00$17.50$17.50$17.50
ATM IV62.1%46.9%77.3%46.9%76.2%
Expected Move17.5%13.5%21.9%13.5%21.9%
HV 20d56.8%42.3%117.4%117.4%51.3%
HV 60d81.0%79.9%83.9%83.5%80.9%
IV Rank51.7%29.4%74.8%29.4%72.6%
IV Percentile72.8%31.3%96.8%31.3%96.0%
Term Structure1.9%-6.3%9.6%6.3%-5.7%
VWIV59.2%48.2%77.5%51.6%77.5%
Skew 25d10.4%-7.2%28.5%5.3%13.6%
Skew 10d20.8%-0.4%74.1%9.0%28.5%
Call IV 25d51.3%39.3%68.9%39.3%68.9%
Put IV 25d61.7%44.6%82.5%44.6%82.5%
Bid-Ask Spread %91.9783.0898.0894.6987.66
Gamma HHI0.350.280.420.290.42
Net GEX-35.7K-42.8K-27.6K-27.6K-37.9K
Net DEX3.6M1.9M4.4M1.9M3.8M
Net VEX-16.3K-22.4K-11.6K-22.4K-14.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.140.0052.000.6752.00
Total Volume158.8571572550530
Total OI8,077.817,4778,4118,2497,934

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$17.34$17.5046.9%13.5%117.4%29.4%0.0%5.3%6.3%-27.6K1.9M-22.4K0.6794.69N/AN/A30203,5694,680
2011-09-02$16.50$17.5052.1%15.0%116.5%37.2%51.6%10.8%0.6%-32.5K2.8M-20.3K1.0089.17N/AN/A25253,5924,680
2011-09-06$16.00$15.0070.2%17.6%64.8%64.2%0.0%2.1%-2.0%-33.8K3.2M-19.1K0.0493.42N/AN/A5023,5854,705
2011-09-07$16.57$15.0050.8%16.2%62.2%35.1%61.6%4.7%1.1%-37.1K3.1M-19.3K0.0088.62N/AN/A1903,5694,706
2011-09-08$16.05$15.0058.1%17.3%63.6%46.0%60.7%10.1%-0.2%-33.8K3.1M-18.8K0.5087.81N/AN/A30153,5784,706
2011-09-09$15.53$15.0060.0%17.3%56.9%48.9%60.0%13.1%4.6%-34.8K3.6M-17.1K0.2791.35N/AN/A78213,6084,701
2011-09-12$15.29$15.0077.3%19.0%57.2%74.8%0.0%9.3%-2.0%-33.1K3.9M-15.9K2.6490.13N/AN/A14373,6344,705
2011-09-13$15.53$15.0077.0%18.9%48.4%74.3%66.1%-0.5%-0.8%-35.4K3.8M-16.3K0.0090.25N/AN/A4003,6224,725
2011-09-14$15.92$15.0068.0%18.9%42.3%61.0%61.6%9.0%-6.3%-32.9K3.7M-16.6K2.7896.87N/AN/A722003,6354,725
2011-09-15$16.18$15.0061.8%17.7%42.4%51.7%55.2%11.3%-1.9%-28.0K3.5M-17.4K12.9498.08N/AN/A526733,6054,714
2011-09-16$15.92$17.5060.6%17.4%42.7%49.9%54.9%6.9%2.0%-36.9K3.4M-17.5K42.8683.08N/AN/A73003,6554,756
2011-09-19$15.65$17.5055.9%16.0%42.3%42.8%48.2%-4.0%9.6%-39.1K3.4M-16.5K9.2295.61N/AN/A413783,0764,401
2011-09-20$15.22$17.5060.5%17.3%42.4%49.6%57.4%-7.2%3.7%-42.7K3.6M-16.2K0.0096.17N/AN/A9303,1034,626
2011-09-21$14.27$17.5058.6%16.8%47.4%46.8%58.9%6.2%1.5%-36.8K3.9M-14.2K1.6992.94N/AN/A35593,1964,626
2011-09-22$13.60$17.5067.7%19.4%47.9%60.5%57.2%12.2%1.8%-32.7K4.4M-11.6K0.4286.88N/AN/A95403,1844,650
2011-09-23$13.84$17.5059.0%16.9%48.4%47.4%66.1%23.4%9.2%-36.0K4.2M-12.5K1.2491.26N/AN/A21263,1374,660
2011-09-26$14.12$17.5061.8%17.7%48.2%50.4%61.3%17.1%4.8%-37.0K4.3M-12.6K0.0094.02N/AN/A14403,1524,686
2011-09-27$14.81$17.5059.2%17.0%50.2%46.4%50.5%25.7%4.1%-41.3K4.0M-14.1K0.0094.46N/AN/A8503,2034,686
2011-09-28$14.50$17.5064.6%18.5%49.0%54.7%0.0%28.5%3.0%-38.0K3.8M-14.3K0.0092.97N/AN/A1503,2364,686
2011-09-29$15.01$17.5056.8%16.3%51.6%42.8%56.8%20.7%7.2%-42.8K4.0M-14.4K0.7895.89N/AN/A36283,2514,686
2011-09-30$14.58$17.5076.2%21.9%51.3%72.6%77.5%13.6%-5.7%-37.9K3.8M-14.2K52.0087.66N/AN/A105203,2594,675