CYD Options History — October 2012

In October 2012, CYD traded between $12.72 and $13.96. ATM implied volatility averaged 33.0%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 8.3% (HV 20d: 24.7%). Max pain ranged from $10.00 to $14.60. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.24.

Notable Days

  • 2012-10-22: Highest Volume — 54 contracts
  • 2012-10-31: Largest IV spike — 62.1% change
  • 2012-10-31: Highest IV Rank — 44.5%
  • 2012-10-31: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.38$12.72$13.96$12.72$13.86
Max Pain$14.08$10.00$14.60$12.50$14.60
ATM IV33.0%25.0%45.9%29.6%45.9%
Expected Move9.2%7.2%13.2%8.5%13.2%
HV 20d24.7%21.5%29.3%23.3%29.3%
HV 60d24.9%23.5%26.9%23.5%26.9%
IV Rank20.0%5.2%44.5%12.2%44.5%
IV Percentile16.9%0.4%60.3%3.2%60.3%
Term Structure3.9%-29.1%19.9%9.5%-29.1%
VWIV36.9%20.6%52.2%23.4%47.4%
Skew 25d6.6%-10.3%83.1%5.5%-8.3%
Skew 10d20.2%-11.8%107.1%12.9%-11.8%
Call IV 25d31.7%22.2%48.1%33.5%48.1%
Put IV 25d38.3%27.5%118.8%39.0%39.8%
Bid-Ask Spread %100.8446.23112.67110.28101.52
Gamma HHI0.250.230.300.300.25
Net GEX-53-2.3K2.1K-1.9K859
Net DEX336.8K208.3K489.1K489.1K237.3K
Net VEX-2.7K-3.0K-2.4K-2.4K-2.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.240.002.750.000.00
Total Volume21.4760542554
Total OI1,536.9051,4421,5771,4421,563

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$12.72$12.5029.6%8.5%23.3%12.2%0.0%5.5%9.5%-1.9K489.1K-2.4K0.00110.28N/AN/A025654788
2012-10-02$13.05$12.5028.1%8.1%24.6%9.8%23.4%2.5%14.5%-2.1K441.7K-2.7K0.00111.43N/AN/A150654807
2012-10-03$13.05$12.5026.4%7.6%23.4%7.7%52.2%4.4%18.5%-785410.0K-2.8K0.00109.38N/AN/A510669807
2012-10-04$13.23$10.0028.0%8.0%23.8%10.8%20.6%6.2%5.9%-657371.0K-2.9K0.10111.11N/AN/A202713807
2012-10-05$13.42$14.6032.3%8.8%23.1%19.0%0.0%-7.0%0.4%-489345.0K-2.9K0.5398.68N/AN/A1910733808
2012-10-08$13.48$14.6031.6%9.5%22.6%17.7%0.0%18.1%9.5%318309.1K-2.9K0.00103.35N/AN/A00752818
2012-10-09$13.63$14.6039.3%8.2%21.5%32.0%29.5%13.2%9.0%-799314.6K-2.8K0.00103.79N/AN/A30752818
2012-10-10$13.53$14.6039.4%9.4%21.7%32.3%37.7%-7.9%-3.9%269312.9K-2.8K0.00101.09N/AN/A40755818
2012-10-11$13.34$14.6033.1%9.5%22.3%20.5%0.0%-8.3%-0.8%867354.7K-2.7K0.00106.58N/AN/A00759818
2012-10-12$12.97$14.6035.2%10.1%24.5%24.3%0.0%7.3%-3.6%2.1K430.9K-2.5K0.00111.38N/AN/A00759818
2012-10-15$12.94$14.6042.4%12.1%21.5%37.9%0.0%4.3%-6.5%1.8K376.7K-2.5K0.00106.36N/AN/A00759775
2012-10-16$13.05$14.6043.3%12.4%21.6%39.7%42.3%0.5%-5.8%1.9K361.5K-2.5K0.00103.91N/AN/A500759775
2012-10-17$13.44$14.6027.8%8.0%23.7%10.5%0.0%12.2%12.4%-193312.9K-2.5K0.00112.67N/AN/A500746775
2012-10-18$13.62$14.6032.0%9.2%23.9%18.4%0.0%1.7%-0.4%-1.6K256.3K-2.7K0.00106.64N/AN/A40762775
2012-10-19$13.43$14.6036.3%10.4%24.7%26.4%0.0%-10.3%-4.6%-2.3K257.5K-2.7K0.00105.17N/AN/A480761765
2012-10-22$13.96$14.6031.9%9.1%27.4%18.1%34.3%83.1%-3.2%957208.3K-2.8K0.00107.92N/AN/A540747765
2012-10-23$13.59$14.6028.1%8.1%29.3%11.1%43.8%3.5%11.0%15257.2K-3.0K2.7546.23N/AN/A411787765
2012-10-24$13.50$14.6028.1%8.1%28.8%11.1%0.0%3.4%14.7%-94348.5K-2.7K0.00104.85N/AN/A00787776
2012-10-25$13.69$14.6025.0%7.2%28.9%5.2%44.8%8.5%19.9%446313.8K-2.8K0.00108.13N/AN/A010787776
2012-10-26$13.51$14.6028.3%8.1%28.3%11.5%29.5%6.1%14.4%277362.7K-2.6K0.0047.07N/AN/A170787776
2012-10-31$13.86$14.6045.9%13.2%29.3%44.5%47.4%-8.3%-29.1%859237.3K-2.7K0.00101.52N/AN/A540787776