CYD Options History — July 2012

In July 2012, CYD traded between $12.30 and $13.69. ATM implied volatility averaged 44.9%, placing in the 31.5% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded above realized volatility by 14.0% (HV 20d: 30.9%). Max pain ranged from $12.10 to $14.60. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.23.

Notable Days

  • 2012-07-09: Highest Volume — 50 contracts
  • 2012-07-12: Largest IV spike — 48.5% change
  • 2012-07-30: Highest IV Rank — 46.1%
  • 2012-07-30: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.90$12.30$13.69$13.55$12.74
Max Pain$14.24$12.10$14.60$12.10$14.60
ATM IV44.9%28.1%55.4%34.5%52.4%
Expected Move13.7%8.1%15.9%9.9%15.0%
HV 20d30.9%19.3%43.3%42.8%20.1%
HV 60d36.4%36.0%36.8%36.5%36.8%
IV Rank31.5%8.2%46.1%17.1%41.9%
IV Percentile41.0%0.8%70.2%9.9%65.1%
Term Structure-3.6%-9.9%21.1%4.5%-2.1%
VWIV45.1%23.6%55.5%29.7%55.5%
Skew 25d12.0%-9.5%28.5%-8.2%27.1%
Skew 10d10.0%-19.2%29.6%-14.0%29.6%
Call IV 25d36.6%23.9%47.7%38.2%31.4%
Put IV 25d48.6%30.0%58.7%30.0%58.5%
Bid-Ask Spread %101.9597.09108.43102.19102.81
Gamma HHI0.460.420.550.420.44
Net GEX-4.3K-10.4K1.9K-1.3K-1.4K
Net DEX512.8K193.7K700.3K260.1K594.1K
Net VEX-3.2K-4.4K-2.4K-4.4K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.007.007.000.00
Total Volume11.667050240
Total OI2,704.5242,4652,8492,7752,494

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$13.55$12.1034.5%9.9%42.8%17.1%29.7%-8.2%4.5%-1.3K260.1K-4.4K7.00102.19N/AN/A3211,3181,457
2012-07-03$13.69$12.1036.2%10.4%42.2%19.5%0.0%-9.5%0.4%352193.7K-4.4K0.00100.18N/AN/A001,3211,458
2012-07-05$13.63$12.1028.1%8.1%41.2%8.2%23.6%4.9%21.1%1.9K232.0K-4.2K1.55106.56N/AN/A11171,3211,458
2012-07-06$13.25$14.6031.4%13.6%42.7%12.7%0.0%4.9%-3.1%-3.4K429.3K-4.0K0.0097.51N/AN/A001,3211,458
2012-07-09$13.04$14.6036.3%13.9%43.3%19.6%0.0%4.5%-2.9%-5.9K483.9K-3.8K0.0097.09N/AN/A5001,3211,458
2012-07-10$12.95$14.6031.6%13.8%42.8%13.0%0.0%1.9%-4.5%-7.3K533.4K-3.5K0.0099.63N/AN/A001,3711,458
2012-07-11$12.93$14.6031.7%13.6%42.7%13.1%0.0%6.0%-3.2%-7.7K549.9K-3.4K0.00101.93N/AN/A001,3711,458
2012-07-12$12.82$14.6047.0%13.5%42.7%34.5%0.0%17.3%-2.4%-9.7K594.5K-3.3K0.00103.75N/AN/A001,3711,458
2012-07-13$12.91$14.6048.8%14.0%42.5%37.0%47.6%24.8%-6.3%-7.8K495.5K-3.4K0.00108.43N/AN/A3801,3711,443
2012-07-16$13.01$14.6053.9%15.5%30.7%44.0%53.9%8.0%-9.9%-4.9K434.5K-3.5K0.0098.35N/AN/A0101,4061,443
2012-07-17$12.77$14.6051.5%14.8%31.0%40.7%0.0%8.2%-7.4%-8.5K486.4K-3.2K0.0097.29N/AN/A001,4061,443
2012-07-18$12.93$14.6052.0%14.9%22.0%41.4%0.0%28.5%-8.6%-5.1K461.5K-3.2K0.00104.31N/AN/A001,4061,443
2012-07-19$12.80$14.6051.2%14.7%22.1%40.3%0.0%4.8%-7.7%-7.8K524.4K-3.1K0.0098.19N/AN/A001,4031,443
2012-07-20$12.66$14.6047.7%13.7%19.4%35.4%47.7%20.8%-3.6%-10.4K594.9K-2.9K0.0098.15N/AN/A4501,4031,433
2012-07-23$12.55$14.6050.2%14.4%19.5%38.9%50.2%20.9%-5.5%-1.6K632.7K-2.7K2.5099.63N/AN/A4101,2211,244
2012-07-24$12.30$14.6048.8%14.0%20.2%36.9%0.0%11.5%-4.1%-2.5K698.9K-2.5K0.00106.42N/AN/A301,2171,254
2012-07-25$12.39$14.6053.0%15.2%19.3%42.7%53.0%17.0%-9.2%-2.0K700.3K-2.5K0.00104.77N/AN/A2601,2201,254
2012-07-26$12.56$14.6050.7%14.5%20.3%39.6%0.0%13.4%-5.8%-2.0K664.3K-2.6K0.00106.57N/AN/A001,2361,254
2012-07-27$12.77$14.6049.9%14.3%21.4%38.5%0.0%20.2%-4.8%-1.3K578.5K-2.6K0.00105.36N/AN/A001,2361,254
2012-07-30$12.66$14.6055.4%15.9%19.9%46.1%55.5%25.4%-9.6%-1.7K626.6K-2.4K0.00101.86N/AN/A701,2361,254
2012-07-31$12.74$14.6052.4%15.0%20.1%41.9%0.0%27.1%-2.1%-1.4K594.1K-2.4K0.00102.81N/AN/A001,2401,254