CYD Options History — March 2012

In March 2012, CYD traded between $14.96 and $17.86. ATM implied volatility averaged 37.1%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 3.3% (HV 20d: 40.5%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.34.

Notable Days

  • 2012-03-06: Highest Volume — 761 contracts
  • 2012-03-12: Largest IV spike — 44.4% change
  • 2012-03-14: Highest IV Rank — 34.3%
  • 2012-03-01: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.43$14.96$17.86$16.52$15.87
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV37.1%28.4%51.0%42.9%36.5%
Expected Move10.5%8.8%12.3%12.3%10.5%
HV 20d40.5%31.1%44.6%31.4%44.4%
HV 60d32.5%29.9%34.9%29.9%33.7%
IV Rank13.1%0.0%34.3%21.4%12.3%
IV Percentile8.6%0.0%40.5%14.7%8.7%
Term Structure7.7%-8.4%15.9%-8.4%12.3%
VWIV35.6%24.0%43.1%43.1%40.8%
Skew 25d1.7%-15.8%19.2%-14.6%1.0%
Skew 10d7.9%-12.4%49.5%-1.1%11.8%
Call IV 25d33.5%23.8%42.4%42.4%35.5%
Put IV 25d35.1%23.7%45.7%27.8%36.6%
Bid-Ask Spread %101.3595.75109.6898.5897.80
Gamma HHI0.550.350.930.700.48
Net GEX105.0K17.1K946.8K100.3K25.1K
Net DEX-330.0K-3.3M561.1K-750.2K436.0K
Net VEX-7.4K-8.7K-5.2K-7.5K-6.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.006.850.320.18
Total Volume182076129053
Total OI4,426.9553,6655,0613,9344,453

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$16.52$17.5042.9%12.3%31.4%21.4%43.1%-14.6%-8.4%100.3K-750.2K-7.5K0.3298.58N/AN/A220703,000934
2012-03-02$16.34$17.5033.9%9.7%31.1%7.7%40.0%-15.8%-5.4%96.7K-479.3K-7.3K2.81100.17N/AN/A31873,167978
2012-03-05$15.70$17.5034.0%10.5%32.9%7.8%36.2%3.1%7.8%46.6K188.7K-6.0K6.8598.37N/AN/A392673,1721,058
2012-03-06$14.96$17.5042.1%12.0%36.7%20.2%41.9%1.2%4.1%17.1K561.1K-5.2K1.1698.66N/AN/A3534083,2111,131
2012-03-07$15.20$17.5040.6%11.5%37.4%17.9%24.0%19.2%6.8%25.1K482.8K-6.4K5.0099.73N/AN/A10503,4741,362
2012-03-08$15.71$17.5041.6%11.9%39.6%19.5%41.5%1.3%5.2%45.3K218.5K-7.1K4.1797.36N/AN/A6253,4841,412
2012-03-09$15.94$17.5028.4%11.6%39.9%0.0%0.0%1.3%5.1%25.9K193.7K-6.8K0.0098.77N/AN/A003,4891,424
2012-03-12$16.25$17.5041.0%11.0%40.5%19.2%38.3%-0.4%9.2%56.3K-44.3K-7.0K0.0097.85N/AN/A2003,4891,424
2012-03-13$17.15$17.5043.2%9.5%40.8%22.5%33.5%7.7%8.5%170.3K-1.3M-8.1K0.79101.97N/AN/A103813,4871,424
2012-03-14$17.22$17.5051.0%10.1%40.7%34.3%24.2%6.7%6.1%218.8K-1.5M-8.5K0.20103.51N/AN/A56113,5721,450
2012-03-15$17.86$17.5038.8%11.1%41.3%15.7%37.9%-2.6%4.9%292.4K-3.3M-8.7K0.20104.41N/AN/A5291043,6001,461
2012-03-16$17.45$17.5034.1%9.8%42.4%8.7%34.1%7.0%9.0%946.8K-1.4M-8.7K0.10109.68N/AN/A405403,4081,545
2012-03-19$17.45$17.5030.8%8.8%42.4%3.6%0.0%13.3%10.7%30.1K-594.2K-7.5K2.02109.15N/AN/A631272,2531,412
2012-03-20$16.88$17.5034.9%10.0%44.3%9.9%34.9%-2.5%9.4%23.2K-207.3K-7.7K2.06103.42N/AN/A31642,2861,466
2012-03-21$16.86$17.5032.4%9.3%44.1%6.0%32.4%-2.2%13.2%21.7K-134.3K-7.8K0.03102.98N/AN/A293102,3151,530
2012-03-22$16.72$17.5033.9%9.7%44.1%8.3%0.0%6.0%11.9%26.3K-73.7K-8.1K0.00100.26N/AN/A1002,5661,540
2012-03-23$16.91$17.5031.4%9.0%44.3%4.6%31.5%8.1%12.9%26.9K-148.7K-7.6K0.00100.69N/AN/A13302,5661,540
2012-03-26$16.83$17.5036.3%10.4%41.0%11.9%36.3%-2.2%10.5%37.3K-381.7K-8.7K1.82103.98N/AN/A22402,6991,540
2012-03-27$16.31$17.5034.3%9.8%42.4%8.8%34.0%-10.4%15.9%32.0K20.5K-7.9K0.32104.27N/AN/A103332,7071,534
2012-03-28$15.64$17.5037.0%10.6%44.6%13.1%37.0%12.7%11.5%22.6K529.0K-7.0K0.16102.41N/AN/A79132,8101,567
2012-03-29$15.65$17.5038.1%10.9%44.1%14.7%40.8%-1.6%8.7%23.9K514.3K-6.9K0.0095.75N/AN/A1502,8811,572
2012-03-30$15.87$17.5036.5%10.5%44.4%12.3%0.0%1.0%12.3%25.1K436.0K-6.7K0.1897.80N/AN/A4582,8811,572