CYD Options History — November 2011

In November 2011, CYD traded between $13.00 and $15.28. ATM implied volatility averaged 57.1%, placing in the 30.6% IV rank vs the trailing year. The 30-day expected move averaged 16.3%. IV traded above realized volatility by 3.9% (HV 20d: 53.2%). Max pain ranged from $12.50 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 3.18.

Notable Days

  • 2011-11-28: Highest Volume — 897 contracts
  • 2011-11-08: Largest IV spike — 26.3% change
  • 2011-11-01: Highest IV Rank — 50.9%
  • 2011-11-01: Largest Expected Move — 19.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.98$13.00$15.28$14.83$14.93
Max Pain$14.88$12.50$17.50$17.50$12.50
ATM IV57.1%46.5%68.0%68.0%50.4%
Expected Move16.3%13.3%19.5%19.5%14.4%
HV 20d53.2%40.0%58.6%58.5%45.9%
HV 60d54.5%52.6%60.4%60.4%54.0%
IV Rank30.6%10.6%50.9%50.9%18.0%
IV Percentile51.8%15.5%86.5%86.5%30.6%
Term Structure1.3%-8.0%10.7%-4.9%2.6%
VWIV57.1%39.1%67.8%67.8%50.7%
Skew 25d8.7%1.4%16.8%1.8%6.3%
Skew 10d12.8%-8.7%37.2%-5.8%11.3%
Call IV 25d52.7%39.9%62.0%59.4%39.9%
Put IV 25d61.3%46.1%70.2%61.2%46.1%
Bid-Ask Spread %99.8484.09106.9584.09106.37
Gamma HHI0.420.220.750.250.45
Net GEX-16.6K-25.2K-106-2.5K-15.2K
Net DEX3.2M1.6M4.3M3.3M1.6M
Net VEX-9.0K-11.8K-6.3K-11.8K-10.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.180.0048.200.160.13
Total Volume225.9057897218410
Total OI8,124.8574,41910,0479,3975,197

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$14.83$17.5068.0%19.5%58.5%50.9%67.8%1.8%-4.9%-2.5K3.3M-11.8K0.1684.09N/AN/A188305,2864,111
2011-11-02$14.90$17.5066.6%19.1%58.3%48.3%65.6%1.4%-8.0%-1.3K3.3M-11.5K0.1391.43N/AN/A5275,4614,116
2011-11-03$14.91$17.5058.8%16.9%56.7%33.8%59.5%10.7%2.9%-1.2K3.2M-11.7K0.3788.02N/AN/A54205,4934,118
2011-11-04$15.28$15.0060.5%16.9%57.3%37.0%66.1%16.8%4.1%-1063.3M-11.4K1.45101.01N/AN/A1051525,5054,138
2011-11-07$14.64$15.0050.0%16.3%56.2%17.3%56.1%4.5%2.7%-15.5K4.0M-9.2K0.84101.78N/AN/A1411185,5314,217
2011-11-08$14.00$17.5063.2%14.7%58.1%42.0%0.0%7.8%9.8%-20.1K3.9M-9.2K0.0699.33N/AN/A177115,4964,249
2011-11-09$13.40$17.5061.2%17.9%58.6%38.2%0.0%16.7%-1.7%-18.4K4.2M-7.9K0.67103.34N/AN/A98665,6254,258
2011-11-10$13.44$17.5061.4%17.6%58.4%38.5%39.1%4.9%0.2%-19.8K4.1M-7.9K1.30102.27N/AN/A20265,6614,268
2011-11-11$13.55$17.5062.8%18.0%56.9%41.2%0.0%13.5%-1.0%-21.2K4.1M-7.7K0.2694.45N/AN/A3495,6714,179
2011-11-14$13.25$17.5065.4%18.8%55.5%46.2%65.8%14.4%-4.3%-21.3K4.1M-7.5K7.76106.64N/AN/A171325,6934,184
2011-11-15$13.39$17.5055.8%16.0%54.4%28.2%51.1%10.1%10.7%-22.7K4.3M-6.8K1.23106.95N/AN/A1551905,6914,190
2011-11-16$13.18$12.5059.5%17.0%53.7%35.0%0.0%11.5%0.7%-20.8K4.2M-7.1K2.09105.64N/AN/A22465,8144,233
2011-11-17$13.00$12.5059.6%17.1%53.8%35.3%60.2%5.7%2.2%-22.0K4.1M-6.3K0.77105.79N/AN/A2231725,8144,102
2011-11-18$13.33$12.5058.2%16.7%52.4%32.7%0.0%11.0%-0.9%-21.5K3.9M-7.0K48.20106.03N/AN/A104825,9813,931
2011-11-21$13.30$12.5058.5%16.8%50.3%33.3%57.5%8.2%-0.7%-24.5K2.4M-7.6K0.3094.68N/AN/A33101,5402,879
2011-11-22$13.80$12.5046.7%13.4%51.1%11.1%54.4%3.3%1.9%-25.2K2.3M-8.4K0.1594.34N/AN/A223341,5522,869
2011-11-23$13.87$12.5049.8%14.3%50.4%16.8%62.8%1.9%0.2%-22.3K2.1M-9.2K0.36103.22N/AN/A207741,7532,903
2011-11-25$14.07$12.5049.8%14.3%44.4%16.9%52.2%7.5%2.6%-18.0K1.9M-9.8K0.0098.77N/AN/A701,9592,924
2011-11-28$14.50$12.5047.0%13.5%45.9%11.6%49.9%10.4%3.6%-21.0K1.8M-9.8K0.00103.10N/AN/A89701,9642,924
2011-11-29$14.01$12.5046.5%13.3%40.0%10.6%55.5%14.0%5.6%-13.4K1.8M-9.8K0.4899.39N/AN/A62302,2182,924
2011-11-30$14.93$12.5050.4%14.4%45.9%18.0%50.7%6.3%2.6%-15.2K1.6M-10.6K0.13106.37N/AN/A364462,2602,937