CYD Options History — May 2012

In May 2012, CYD traded between $12.02 and $14.17. ATM implied volatility averaged 50.2%, placing in the 33.1% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 21.7% (HV 20d: 28.5%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 6.14.

Notable Days

  • 2012-05-16: Highest Volume — 736 contracts
  • 2012-05-09: Largest IV spike — 54.8% change
  • 2012-05-09: Highest IV Rank — 56.9%
  • 2012-05-02: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.00$12.02$14.17$14.17$12.42
Max Pain$14.89$12.50$17.50$17.50$12.50
ATM IV50.2%42.3%65.8%56.7%47.0%
Expected Move14.0%10.8%17.1%16.3%13.5%
HV 20d28.5%14.3%41.9%19.5%41.9%
HV 60d33.9%30.4%36.8%32.5%34.6%
IV Rank33.1%21.0%56.9%43.0%28.3%
IV Percentile42.0%21.8%80.2%56.0%35.3%
Term Structure-4.8%-20.2%6.7%-17.6%-0.8%
VWIV54.4%42.9%92.5%58.5%92.5%
Skew 25d1.0%-8.3%9.1%6.8%1.4%
Skew 10d7.9%-12.5%93.4%18.4%2.1%
Call IV 25d48.4%40.1%58.4%51.6%45.8%
Put IV 25d49.4%40.7%60.5%58.4%47.2%
Bid-Ask Spread %105.3895.36114.3498.27109.57
Gamma HHI0.510.370.720.400.57
Net GEX4.1K7868.3K4.3K3.1K
Net DEX1.2M627.5K2.0M1.2M849.0K
Net VEX-3.9K-4.8K-2.4K-4.6K-4.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.140.00105.672.678.75
Total Volume124.54547364439
Total OI4,060.7272,2365,5654,6562,803

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$14.17$17.5056.7%16.3%19.5%43.0%58.5%6.8%-17.6%4.3K1.2M-4.6K2.6798.27N/AN/A12322,9951,661
2012-05-02$14.06$17.5059.5%17.1%19.4%47.3%58.7%2.7%-20.2%4.3K1.2M-4.4K2.00101.93N/AN/A5103,0071,668
2012-05-03$14.00$17.5052.9%15.2%18.2%37.2%53.7%7.2%-14.8%2.1K1.3M-4.1K0.00102.01N/AN/A2102,9881,678
2012-05-04$13.84$15.0043.9%12.3%18.2%23.5%0.0%-5.7%-4.5%7861.4M-3.8K0.00113.01N/AN/A1602,9821,678
2012-05-07$13.74$15.0048.5%13.3%18.0%30.5%46.8%0.8%1.9%1.6K1.4M-4.0K0.30111.22N/AN/A132402,9941,678
2012-05-08$13.64$15.0042.5%12.1%14.5%21.4%0.0%1.7%1.8%6.2K1.4M-3.9K0.00103.12N/AN/A403,1121,703
2012-05-09$13.39$15.0065.8%10.8%15.5%56.9%67.7%-6.8%6.7%5.2K1.5M-3.6K0.60114.34N/AN/A40243,1151,703
2012-05-10$13.46$17.5050.2%14.4%14.3%33.2%53.2%0.6%-6.2%5.0K1.4M-3.8K0.65105.72N/AN/A111723,0911,687
2012-05-11$13.31$17.5053.0%15.2%14.3%37.3%58.0%-5.7%-7.4%5.6K1.3M-4.0K0.1195.36N/AN/A125143,2011,712
2012-05-14$13.55$15.0053.1%15.2%16.3%37.5%53.6%-0.1%-9.7%8.3K1.6M-3.4K2.3297.71N/AN/A28653,3021,724
2012-05-15$12.39$15.0052.5%15.1%33.6%36.7%51.7%-2.6%-5.8%6.4K1.7M-2.8K1.41100.58N/AN/A871233,3231,757
2012-05-16$12.04$15.0051.0%14.6%34.4%34.3%56.2%-0.7%-4.5%5.4K1.7M-2.4K4.80113.62N/AN/A1276093,2841,684
2012-05-17$12.02$15.0045.6%13.1%34.4%26.1%48.4%-8.3%0.7%2.2K2.0M-3.5K0.00110.29N/AN/A603,4022,163
2012-05-18$12.48$15.0049.2%14.1%37.7%31.7%49.2%9.1%-3.7%3.5K1.7M-3.8K0.45106.94N/AN/A55253,4081,963
2012-05-21$12.60$15.0052.2%15.0%38.0%36.2%0.0%5.0%-6.1%3.8K627.5K-4.0K0.08102.82N/AN/A146121,1481,088
2012-05-22$12.28$15.0046.1%13.2%38.6%26.9%46.7%0.4%1.2%5.2K696.8K-3.8K1.18102.64N/AN/A981161,2351,079
2012-05-23$12.43$12.5046.8%13.4%39.2%27.9%46.2%2.0%-4.2%6.7K704.3K-3.8K105.67105.92N/AN/A33171,3001,137
2012-05-24$12.47$12.5045.9%13.2%39.0%26.7%45.9%1.0%-3.1%2.1K829.8K-4.4K1.57103.95N/AN/A30471,3031,361
2012-05-25$12.43$12.5042.3%12.1%38.9%21.0%42.9%3.4%4.6%2.5K855.7K-4.5K1.10106.87N/AN/A10111,3281,380
2012-05-29$12.84$12.5049.0%14.0%41.3%31.3%50.2%6.8%-5.8%2.7K722.0K-4.8K0.23106.16N/AN/A87201,3281,391
2012-05-30$12.52$12.5051.1%14.6%41.9%34.5%92.5%3.4%-8.9%3.4K798.2K-4.7K1.10106.25N/AN/A10111,3811,411
2012-05-31$12.42$12.5047.0%13.5%41.9%28.3%0.0%1.4%-0.8%3.1K849.0K-4.5K8.75109.57N/AN/A4351,3811,422