CYD Options History — August 2012

In August 2012, CYD traded between $12.67 and $13.79. ATM implied volatility averaged 44.4%, placing in the 35.1% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 17.8% (HV 20d: 26.6%). Max pain ranged from $12.50 to $14.60. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 0.77.

Notable Days

  • 2012-08-17: Highest Volume — 496 contracts
  • 2012-08-16: Largest IV drop — 51.5% change
  • 2012-08-15: Highest IV Rank — 88.1%
  • 2012-08-03: Largest Expected Move — 18.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.09$12.67$13.79$12.76$12.67
Max Pain$12.77$12.50$14.60$14.60$12.50
ATM IV44.4%28.3%75.4%44.9%33.5%
Expected Move11.2%8.1%18.0%12.9%9.6%
HV 20d26.6%19.0%30.6%19.6%28.1%
HV 60d33.7%31.2%37.5%36.8%31.3%
IV Rank35.1%10.0%88.1%31.5%18.7%
IV Percentile38.5%1.2%98.0%38.5%10.7%
Term Structure-0.7%-17.0%7.2%6.0%-1.6%
VWIV40.7%18.8%70.9%70.9%37.6%
Skew 25d9.7%-0.2%40.8%18.1%3.5%
Skew 10d19.9%0.1%97.9%20.6%10.1%
Call IV 25d32.7%23.4%46.8%31.0%39.2%
Put IV 25d42.5%28.0%81.8%49.2%42.6%
Bid-Ask Spread %100.1819.21112.93106.12109.93
Gamma HHI0.370.310.550.450.33
Net GEX6.6K-2.3K12.7K-2.3K6.2K
Net DEX286.8K-37.0K615.7K615.7K274.6K
Net VEX-2.3K-2.5K-1.9K-2.2K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.004.100.110.00
Total Volume88.5220496243100
Total OI2,101.0431,2783,0152,4921,310

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-08-01$12.76$14.6044.9%12.9%19.6%31.5%70.9%18.1%6.0%-2.3K615.7K-2.2K0.00106.12N/AN/A02431,2401,252
2012-08-02$12.89$14.6051.2%14.7%20.2%40.4%33.8%19.7%-7.9%-1.7K463.7K-2.3K0.0019.21N/AN/A0351,2401,181
2012-08-03$13.15$14.6062.9%18.0%19.3%56.6%45.3%15.9%-17.0%-143341.5K-2.5K0.1190.14N/AN/A5661,2401,181
2012-08-06$13.32$12.5057.6%13.7%19.0%49.2%0.0%40.8%-3.6%2.7K249.3K-2.4K0.00101.67N/AN/A001,2961,184
2012-08-07$13.77$12.5042.1%10.5%21.9%29.3%38.7%10.1%1.0%5.8K61.4K-2.1K0.0897.93N/AN/A139111,2961,180
2012-08-08$13.56$12.5054.7%13.2%22.8%53.8%45.7%9.8%-7.4%8.5K76.7K-2.4K0.17101.01N/AN/A58101,4201,180
2012-08-09$13.79$12.5048.7%11.6%22.9%43.8%42.6%4.5%-4.0%11.5K-37.0K-2.5K0.01101.94N/AN/A27421,4681,185
2012-08-10$13.07$12.5051.8%12.1%30.6%49.0%39.5%3.5%1.0%9.4K307.9K-2.2K4.1099.15N/AN/A481971,6321,186
2012-08-13$13.04$12.5061.1%11.8%30.5%64.4%18.8%17.5%0.7%12.7K392.7K-1.9K0.04101.50N/AN/A235101,6801,319
2012-08-14$12.92$12.5063.9%10.8%29.9%68.9%0.0%12.7%-0.5%5.8K487.2K-2.3K0.00105.59N/AN/A001,6671,317
2012-08-15$13.02$12.5075.4%10.8%29.7%88.1%0.0%11.7%4.6%6.4K466.0K-2.3K0.00100.69N/AN/A4001,6671,317
2012-08-16$13.09$12.5036.5%10.5%29.5%23.7%0.0%13.1%5.1%10.1K378.3K-2.2K1.20101.12N/AN/A10121,6981,317
2012-08-17$12.97$12.5034.0%9.7%29.4%19.4%0.0%8.0%7.2%7.9K420.8K-2.1K3.96100.35N/AN/A1003961,6881,327
2012-08-20$13.06$12.5033.2%9.5%29.2%18.1%0.0%8.6%1.5%6.9K245.4K-2.4K0.00100.26N/AN/A30774504
2012-08-21$13.18$12.5028.3%8.1%28.1%10.0%0.0%2.6%5.9%7.9K230.0K-2.4K0.00112.93N/AN/A00777504
2012-08-22$13.07$12.5033.0%9.5%28.4%17.9%0.0%5.4%-3.5%8.2K227.0K-2.4K0.00111.72N/AN/A00777504
2012-08-23$12.90$12.5033.2%9.5%28.6%18.2%33.7%-0.2%1.7%6.6K244.6K-2.4K0.33108.29N/AN/A3010777504
2012-08-24$13.14$12.5031.8%9.1%28.7%15.8%0.0%4.7%-3.3%8.7K223.1K-2.4K0.00107.30N/AN/A00787514
2012-08-27$12.99$12.5037.5%10.7%28.9%25.2%37.6%5.5%-2.1%7.9K242.2K-2.4K0.00105.16N/AN/A100787514
2012-08-28$13.01$12.5038.4%11.0%28.8%26.8%0.0%0.5%-3.5%8.1K215.8K-2.4K0.00107.44N/AN/A00797514
2012-08-29$12.95$12.5036.7%10.5%28.9%24.0%0.0%4.5%-0.5%8.0K216.9K-2.4K0.00105.93N/AN/A00797514
2012-08-30$12.79$12.5031.1%8.9%29.0%14.7%0.0%2.8%3.6%6.7K253.7K-2.2K0.00108.76N/AN/A10797514
2012-08-31$12.67$12.5033.5%9.6%28.1%18.7%0.0%3.5%-1.6%6.2K274.6K-2.1K0.00109.93N/AN/A0100796514