CYD Options History — January 2012

In January 2012, CYD traded between $14.41 and $16.09. ATM implied volatility averaged 41.8%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 13.2% (HV 20d: 28.5%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.02.

Notable Days

  • 2012-01-27: Highest Volume — 284 contracts
  • 2012-01-11: Largest IV spike — 19.5% change
  • 2012-01-12: Highest IV Rank — 28.1%
  • 2012-01-12: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.37$14.41$16.09$14.41$15.59
Max Pain$17.13$15.00$17.50$15.00$17.50
ATM IV41.8%35.0%48.2%40.7%36.0%
Expected Move12.0%10.0%13.8%11.7%10.3%
HV 20d28.5%22.0%35.4%34.7%26.8%
HV 60d41.7%35.1%46.1%45.9%35.4%
IV Rank18.1%7.5%28.1%16.4%9.1%
IV Percentile6.5%0.8%23.4%2.0%1.2%
Term Structure4.0%-15.8%11.1%9.8%8.8%
VWIV40.8%35.0%45.3%41.3%36.0%
Skew 25d5.1%-6.7%32.5%0.7%32.5%
Skew 10d21.2%-11.7%97.4%-2.5%97.4%
Call IV 25d39.1%27.8%46.7%40.7%29.0%
Put IV 25d44.2%36.4%61.5%41.4%61.5%
Bid-Ask Spread %88.7568.93113.91113.9175.63
Gamma HHI0.490.370.720.400.48
Net GEX-23.7K-38.0K-13.1K-21.0K-14.2K
Net DEX2.3M1.7M2.8M2.7M2.5M
Net VEX-6.8K-7.6K-5.1K-6.7K-5.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.0013.330.580.24
Total Volume95.2532848251
Total OI5,6025,2765,9955,2765,995

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$14.41$15.0040.7%11.7%34.7%16.4%0.0%0.7%9.8%-21.0K2.7M-6.7K0.58113.91N/AN/A52302,2203,056
2012-01-04$14.70$15.0041.0%11.7%35.1%16.8%41.3%-0.4%7.3%-22.3K2.5M-7.5K0.00112.30N/AN/A4102,2483,086
2012-01-05$14.85$15.0043.5%12.5%35.1%20.8%0.0%2.2%4.9%-21.5K2.5M-7.2K0.15111.40N/AN/A68102,2763,086
2012-01-06$14.62$17.5042.6%11.3%35.4%19.3%0.0%1.7%8.1%-20.0K2.7M-6.3K0.0088.23N/AN/A1502,2713,096
2012-01-09$14.90$17.5043.7%12.1%32.2%21.1%41.4%4.4%11.1%-21.1K2.5M-6.5K0.0090.99N/AN/A12602,2863,096
2012-01-10$15.17$17.5036.5%13.0%32.4%9.8%45.3%-6.7%4.2%-18.9K2.4M-6.8K0.0082.83N/AN/A302,3913,096
2012-01-11$15.30$17.5043.6%12.2%32.5%21.0%0.0%-1.2%10.2%-18.1K2.3M-7.1K0.2595.20N/AN/A122302,3943,096
2012-01-12$15.38$17.5048.2%13.8%29.9%28.1%0.0%3.3%1.7%-17.4K2.2M-7.5K2.2779.75N/AN/A22502,4563,106
2012-01-13$15.25$17.5047.3%13.6%28.3%26.7%39.5%-1.9%-0.4%-17.8K2.3M-7.4K0.0090.21N/AN/A2002,4773,150
2012-01-17$15.48$17.5042.7%12.2%28.5%19.5%43.8%-2.7%4.4%-33.5K2.1M-7.0K1.7586.70N/AN/A56982,4853,150
2012-01-18$15.59$17.5044.1%12.7%28.5%21.8%43.8%0.3%3.5%-22.1K2.1M-7.1K0.0082.03N/AN/A3702,5343,184
2012-01-19$15.90$17.5042.7%12.2%25.1%19.5%39.3%19.5%2.8%-26.5K1.9M-7.5K0.0389.86N/AN/A8932,5293,184
2012-01-20$16.09$17.5043.1%12.3%22.0%20.1%43.0%11.6%3.4%-38.0K1.7M-7.6K0.0088.46N/AN/A18402,6043,183
2012-01-23$16.06$17.5039.8%11.4%22.2%15.0%39.6%4.3%2.7%-37.4K1.9M-7.1K0.1086.23N/AN/A114112,4493,159
2012-01-24$15.97$17.5040.8%11.7%22.6%16.6%40.0%6.9%4.0%-33.7K2.0M-7.0K0.4691.70N/AN/A67312,5193,170
2012-01-25$16.00$17.5042.2%12.1%22.7%18.8%42.8%8.6%-15.8%-32.8K2.0M-6.9K13.3387.29N/AN/A3402,5293,142
2012-01-26$15.63$17.5041.6%11.9%24.8%17.8%40.5%1.5%0.9%-29.2K2.3M-6.7K0.1668.93N/AN/A127202,5303,182
2012-01-27$15.22$17.5035.0%10.0%26.0%7.5%35.0%8.6%3.7%-13.1K2.8M-5.1K0.9980.38N/AN/A1431412,5303,182
2012-01-30$15.23$17.5040.1%11.5%26.1%15.4%40.9%9.3%4.3%-16.2K2.7M-5.5K0.0072.91N/AN/A10102,6373,276
2012-01-31$15.59$17.5036.0%10.3%26.8%9.1%36.0%32.5%8.8%-14.2K2.5M-5.6K0.2475.63N/AN/A41102,7193,276