CYD Options History — December 2011

In December 2011, CYD traded between $13.27 and $14.99. ATM implied volatility averaged 44.2%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 3.6% (HV 20d: 40.6%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 3.51.

Notable Days

  • 2011-12-28: Highest Volume — 145 contracts
  • 2011-12-09: Largest IV drop — 36.0% change
  • 2011-12-19: Highest IV Rank — 34.5%
  • 2011-12-19: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.06$13.27$14.99$14.74$13.79
Max Pain$14.29$12.50$15.00$12.50$15.00
ATM IV44.2%30.2%52.3%40.6%43.1%
Expected Move13.3%11.6%15.0%11.7%12.4%
HV 20d40.6%30.2%46.1%46.1%30.4%
HV 60d51.1%45.7%53.5%53.5%45.7%
IV Rank17.6%0.0%34.5%0.0%20.2%
IV Percentile12.6%0.0%36.9%0.0%5.2%
Term Structure7.7%0.2%20.4%12.6%9.2%
VWIV44.9%38.2%51.6%39.5%43.3%
Skew 25d8.1%0.7%26.1%3.0%6.7%
Skew 10d19.8%3.3%102.2%5.3%11.7%
Call IV 25d42.9%23.1%52.1%35.9%42.3%
Put IV 25d51.0%38.9%55.2%38.9%49.0%
Bid-Ask Spread %92.5341.72111.08102.9645.10
Gamma HHI0.420.350.570.380.39
Net GEX-15.8K-21.2K-7.1K-10.0K-18.4K
Net DEX2.3M1.5M2.8M1.5M2.8M
Net VEX-7.9K-11.3K-6.0K-11.3K-6.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.510.0015.800.092.86
Total Volume56.42901456254
Total OI5,296.7624,9635,4635,3565,235

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$14.74$12.5040.6%11.7%46.1%0.0%39.5%3.0%12.6%-10.0K1.5M-11.3K0.09102.96N/AN/A5752,3732,983
2011-12-02$14.78$12.5046.2%13.2%46.1%10.4%38.2%5.0%0.2%-10.5K1.6M-10.8K1.71105.51N/AN/A35602,4202,982
2011-12-05$14.99$12.5047.2%14.7%45.5%12.3%51.6%9.6%3.6%-10.7K1.6M-10.8K0.0788.94N/AN/A7152,4452,982
2011-12-06$14.82$12.5047.9%14.5%42.9%13.6%49.9%7.7%3.2%-9.8K1.7M-10.1K0.0089.30N/AN/A2602,4162,987
2011-12-07$14.71$12.5044.9%14.5%39.6%7.9%50.3%6.9%3.2%-7.1K1.7M-10.1K2.8890.38N/AN/A8232,4362,987
2011-12-08$14.09$12.5047.2%14.0%39.5%12.2%49.1%8.4%5.8%-10.3K2.0M-9.0K15.7591.10N/AN/A4632,4343,009
2011-12-09$14.28$15.0030.2%13.8%39.7%0.0%0.0%0.7%6.4%-10.6K2.0M-9.1K15.80104.84N/AN/A5792,4363,012
2011-12-12$14.32$15.0032.4%13.7%39.7%3.4%0.0%3.9%5.9%-10.6K2.1M-8.5K0.2097.43N/AN/A2042,4312,993
2011-12-13$13.89$15.0043.1%13.0%40.4%20.1%0.0%13.7%7.6%-16.3K2.2M-7.6K4.00101.99N/AN/A5202,4312,993
2011-12-14$13.55$15.0050.5%14.1%41.4%31.7%0.0%8.5%9.7%-18.3K2.4M-7.1K0.00105.27N/AN/A0102,4313,013
2011-12-15$13.61$15.0046.7%13.4%41.0%25.8%0.0%6.7%11.4%-19.5K2.5M-6.5K0.00107.31N/AN/A3702,4313,013
2011-12-16$13.69$15.0051.6%14.8%40.6%33.5%42.2%15.1%2.2%-20.7K2.4M-6.9K10.00103.22N/AN/A3302,4503,013
2011-12-19$13.27$15.0052.3%15.0%41.4%34.5%0.0%5.6%5.2%-20.3K2.7M-6.1K1.74111.08N/AN/A46802,0472,916
2011-12-20$13.83$15.0042.2%12.1%43.9%18.8%42.7%7.1%10.3%-21.2K2.7M-6.7K0.0197.05N/AN/A9412,0752,941
2011-12-21$13.85$15.0040.6%11.6%41.9%16.3%42.1%6.8%11.2%-19.2K2.6M-6.8K6.00101.14N/AN/A5302,1532,926
2011-12-22$13.88$15.0044.3%12.7%41.9%22.0%43.3%9.3%4.5%-20.8K2.5M-6.9K3.7097.25N/AN/A10372,1562,956
2011-12-23$13.96$15.0041.6%11.9%41.6%17.8%0.0%5.8%9.0%-20.6K2.6M-7.1K0.00104.31N/AN/A002,1652,988
2011-12-27$13.90$15.0040.3%11.6%40.0%15.8%0.0%5.0%10.5%-19.8K2.7M-6.7K1.95104.23N/AN/A22432,1652,988
2011-12-28$13.65$15.0046.5%13.3%38.7%25.5%0.0%9.6%20.4%-19.3K2.8M-6.0K0.0041.72N/AN/A14502,1653,027
2011-12-29$13.67$15.0048.8%14.0%30.2%29.0%0.0%26.1%9.1%-17.9K2.8M-6.1K0.0052.89N/AN/A4802,2013,027
2011-12-30$13.79$15.0043.1%12.4%30.4%20.2%0.0%6.7%9.2%-18.4K2.8M-6.1K2.8645.10N/AN/A14402,2083,027