CYD Options History — September 2012

In September 2012, CYD traded between $12.40 and $13.28. ATM implied volatility averaged 34.2%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 11.8% (HV 20d: 22.5%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.78.

Notable Days

  • 2012-09-27: Highest Volume — 378 contracts
  • 2012-09-17: Largest IV spike — 27.7% change
  • 2012-09-07: Highest IV Rank — 26.7%
  • 2012-09-07: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.82$12.40$13.28$12.53$12.75
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV34.2%27.7%38.4%36.0%32.3%
Expected Move10.0%7.9%11.6%10.3%9.3%
HV 20d22.5%18.9%27.8%27.8%23.6%
HV 60d26.2%23.4%31.6%31.3%24.2%
IV Rank19.9%9.1%26.7%22.8%16.6%
IV Percentile15.5%0.8%25.4%17.1%9.1%
Term Structure4.7%-6.5%13.0%-6.5%8.6%
VWIV33.2%31.6%34.8%34.8%31.6%
Skew 25d5.5%-5.3%40.7%1.7%-5.3%
Skew 10d12.2%-8.2%108.7%7.8%-8.2%
Call IV 25d34.2%26.1%44.7%44.7%38.3%
Put IV 25d39.6%29.2%67.8%46.4%33.0%
Bid-Ask Spread %109.36101.83113.18110.70109.56
Gamma HHI0.320.260.450.280.31
Net GEX4.0K-2.1K6.5K3.9K-2.1K
Net DEX328.0K249.8K468.8K339.2K468.8K
Net VEX-2.2K-2.6K-1.9K-2.3K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.005.330.002.35
Total Volume29.2110378057
Total OI1,379.5261,1841,4431,4101,387

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-09-04$12.53$12.5036.0%10.3%27.8%22.8%0.0%1.7%-6.5%3.9K339.2K-2.3K0.00110.70N/AN/A00796614
2012-09-05$12.81$12.5034.7%9.9%26.1%20.6%34.8%2.5%2.1%4.7K354.2K-2.2K0.00101.83N/AN/A20796614
2012-09-06$12.80$12.5033.1%9.5%25.7%17.9%0.0%9.0%-0.4%4.6K306.9K-2.4K0.00106.18N/AN/A100796614
2012-09-07$13.09$0.0038.4%11.6%26.3%26.7%0.0%13.9%-0.5%6.5K256.2K-2.6K0.00104.38N/AN/A00806614
2012-09-10$13.28$0.0028.7%11.1%18.9%10.7%0.0%40.7%3.5%4.6K261.6K-2.4K0.00105.02N/AN/A00806614
2012-09-11$13.02$0.0031.7%9.7%20.2%15.7%0.0%6.7%8.2%4.4K272.9K-2.5K0.00110.92N/AN/A03806614
2012-09-12$12.99$0.0037.1%10.2%20.0%24.6%0.0%5.9%4.5%5.9K278.9K-2.4K0.00110.56N/AN/A200806617
2012-09-13$13.11$0.0035.6%10.2%20.0%22.1%0.0%6.3%6.0%5.5K249.8K-2.5K0.00111.13N/AN/A00826617
2012-09-14$13.13$0.0027.7%7.9%20.0%9.1%0.0%0.4%13.0%4.8K259.4K-2.4K0.00112.97N/AN/A30826617
2012-09-17$12.71$0.0035.4%10.2%22.9%21.9%0.0%5.2%6.5%4.6K314.2K-2.2K0.00111.51N/AN/A00823617
2012-09-18$12.74$0.0034.4%9.9%22.7%20.2%0.0%0.9%6.3%4.6K345.6K-2.1K0.00111.93N/AN/A30823617
2012-09-19$12.85$0.0036.4%10.4%22.7%23.5%0.0%1.4%6.1%4.5K309.9K-2.2K0.00111.18N/AN/A00820617
2012-09-20$12.79$0.0035.1%10.1%22.6%21.3%0.0%-0.5%5.9%4.8K332.4K-2.1K0.00111.16N/AN/A00820617
2012-09-21$12.82$0.0034.9%10.0%22.2%21.1%0.0%2.4%7.0%4.8K319.5K-2.2K0.00112.57N/AN/A50820607
2012-09-24$12.71$0.0034.9%10.0%21.2%21.0%0.0%0.0%4.2%2.4K377.2K-1.9K0.00104.17N/AN/A50592597
2012-09-25$12.60$0.0032.2%9.2%21.0%16.6%0.0%4.0%4.3%2.4K388.9K-1.9K0.00107.84N/AN/A500587597
2012-09-26$12.42$0.0036.1%10.4%21.5%23.0%0.0%4.3%2.9%2.8K398.1K-1.9K5.33111.00N/AN/A316637597
2012-09-27$12.40$0.0035.8%10.3%21.5%22.5%0.0%4.3%8.4%2.5K398.8K-1.9K0.86113.18N/AN/A203175637600
2012-09-28$12.75$0.0032.3%9.3%23.6%16.6%31.6%-5.3%8.6%-2.1K468.8K-2.4K2.35109.56N/AN/A1740637750