CYD Options History — October 2011

In October 2011, CYD traded between $13.40 and $16.79. ATM implied volatility averaged 65.3%, placing in the 47.4% IV rank vs the trailing year. The 30-day expected move averaged 18.4%. IV traded above realized volatility by 6.1% (HV 20d: 59.2%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 3.99.

Notable Days

  • 2011-10-21: Highest Volume — 2,751 contracts
  • 2011-10-31: Largest IV spike — 43.3% change
  • 2011-10-03: Highest IV Rank — 81.7%
  • 2011-10-03: Largest Expected Move — 23.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.35$13.40$16.79$13.40$15.20
Max Pain$18.81$17.50$20.00$17.50$17.50
ATM IV65.3%49.2%82.6%82.6%70.5%
Expected Move18.4%14.1%23.7%23.7%20.2%
HV 20d59.2%56.3%62.9%56.3%58.7%
HV 60d82.2%81.0%83.7%82.3%81.4%
IV Rank47.4%15.7%81.7%81.7%55.6%
IV Percentile75.6%27.8%98.8%98.8%91.3%
Term Structure-1.5%-13.0%4.8%-13.0%-8.8%
VWIV57.9%31.6%72.0%72.0%70.0%
Skew 25d11.9%-6.0%30.9%0.9%13.1%
Skew 10d18.4%-11.3%52.9%-11.3%4.7%
Call IV 25d54.7%38.8%73.4%73.4%53.0%
Put IV 25d66.6%49.7%84.3%74.3%66.1%
Bid-Ask Spread %87.0668.5298.7789.8291.73
Gamma HHI0.350.240.500.350.25
Net GEX-41.2K-90.7K31.3K-41.4K5.8K
Net DEX3.7M1.9M4.9M4.4M2.8M
Net VEX-13.6K-15.6K-11.7K-12.6K-12.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.990.0058.500.000.78
Total Volume220.85732,7511691
Total OI8,745.4298,4069,3118,4069,311

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$13.40$17.5082.6%23.7%56.3%81.7%72.0%0.9%-13.0%-41.4K4.4M-12.6K0.0089.82N/AN/A1603,2675,139
2011-10-04$13.91$17.5076.9%22.1%58.2%72.0%0.0%16.3%-10.0%-46.4K4.9M-11.7K1.4388.68N/AN/A21303,2755,139
2011-10-05$14.12$17.5069.5%19.9%56.6%60.0%69.5%20.2%2.7%-50.2K4.8M-12.4K0.1885.73N/AN/A60113,2725,169
2011-10-06$14.68$17.5072.8%20.9%58.2%62.8%0.0%30.9%-8.0%-57.6K4.6M-13.2K1.0086.48N/AN/A25253,3205,171
2011-10-07$14.76$20.0069.9%18.4%57.3%56.2%62.8%12.5%0.9%-58.7K4.4M-13.8K1.0068.52N/AN/A223,3445,163
2011-10-10$15.54$20.0073.3%19.1%60.2%62.4%57.2%8.1%-4.5%-69.0K4.1M-14.3K13.4681.20N/AN/A131753,3445,163
2011-10-11$15.57$20.0071.0%18.8%59.9%58.2%60.9%6.3%-2.8%-67.9K3.9M-14.4K0.3781.23N/AN/A1973,3485,083
2011-10-12$15.92$20.0067.6%17.9%59.8%52.0%46.0%24.7%4.8%-72.9K3.7M-14.7K0.1682.00N/AN/A95153,3565,076
2011-10-13$15.51$20.0063.2%18.1%60.2%44.1%58.1%6.7%1.0%-70.1K4.0M-13.7K0.0084.31N/AN/A1303,4085,076
2011-10-14$16.01$20.0055.7%16.0%61.1%30.5%54.3%15.0%4.2%-75.1K3.7M-14.1K0.0084.13N/AN/A20403,4215,076
2011-10-17$15.31$20.0058.5%16.8%62.9%35.0%58.7%-6.0%0.8%-63.6K4.1M-13.1K0.0090.53N/AN/A303,6185,076
2011-10-18$15.74$20.0063.6%18.2%62.8%42.7%31.6%18.1%-2.1%-64.5K3.8M-13.1K2.5981.81N/AN/A17443,6195,076
2011-10-19$15.23$20.0061.2%17.5%59.3%38.2%57.4%7.4%2.8%-71.3K4.1M-12.5K0.0087.61N/AN/A2503,6025,120
2011-10-20$15.08$20.0059.6%17.1%56.4%35.3%58.0%-4.4%1.9%-90.7K4.3M-12.0K58.5092.49N/AN/A21173,5815,087
2011-10-21$15.68$20.0066.5%19.1%57.6%48.2%59.5%21.1%-4.3%-53.9K3.5M-12.9K0.3387.18N/AN/A2,0646873,5815,146
2011-10-24$16.19$17.5063.4%18.2%58.1%42.4%62.3%-1.8%-0.7%11.3K2.5M-15.6K2.0494.08N/AN/A541105,0174,229
2011-10-25$15.48$17.5062.5%17.9%58.7%40.8%61.6%19.0%3.3%3.8K2.9M-14.3K0.8096.53N/AN/A121975,0374,220
2011-10-26$15.79$17.5059.6%17.1%58.4%35.2%59.8%9.5%2.4%7.8K2.7M-14.2K0.4580.95N/AN/A31145,1154,118
2011-10-27$16.79$17.5054.3%15.6%61.0%25.3%54.9%17.4%-2.2%27.9K1.9M-15.5K0.5594.54N/AN/A1981095,1304,121
2011-10-28$16.36$17.5049.2%14.1%60.7%15.7%46.1%15.3%-0.3%31.3K1.9M-15.2K0.2098.77N/AN/A101205,1744,066
2011-10-31$15.20$17.5070.5%20.2%58.7%55.6%70.0%13.1%-8.8%5.8K2.8M-12.9K0.7891.73N/AN/A51405,2354,076