CYD Options History — November 2012

In November 2012, CYD traded between $13.66 and $15.41. ATM implied volatility averaged 32.0%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 3.2% (HV 20d: 35.2%). Max pain ranged from $14.60 to $15.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 4.96.

Notable Days

  • 2012-11-14: Highest Volume — 471 contracts
  • 2012-11-19: Largest IV spike — 42.7% change
  • 2012-11-05: Highest IV Rank — 47.1%
  • 2012-11-02: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.61$13.66$15.41$14.44$15.29
Max Pain$14.96$14.60$15.00$14.60$15.00
ATM IV32.0%20.3%47.3%31.7%22.0%
Expected Move8.1%5.7%10.9%9.1%6.3%
HV 20d35.2%31.0%39.8%31.2%31.0%
HV 60d28.1%24.9%29.2%28.0%28.7%
IV Rank19.9%0.0%47.1%17.8%3.0%
IV Percentile20.0%0.0%68.7%11.5%0.4%
Term Structure1.0%-9.4%11.1%-5.8%3.8%
VWIV27.9%18.8%37.9%37.9%31.6%
Skew 25d15.6%-3.4%82.7%82.7%4.2%
Skew 10d26.6%-0.9%117.1%117.1%15.7%
Call IV 25d24.8%19.9%42.0%38.8%21.6%
Put IV 25d40.4%20.4%121.4%121.4%25.8%
Bid-Ask Spread %70.6926.93107.50107.50101.34
Gamma HHI0.300.240.350.240.34
Net GEX1.5K-6.0K8.3K2.6K-1.8K
Net DEX-56.3K-435.9K359.0K53.3K-409.7K
Net VEX-3.0K-3.3K-2.7K-3.0K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.960.0075.000.000.00
Total Volume48.6190471454
Total OI1,533.0481,2021,9411,6111,366

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$14.44$14.6031.7%9.1%31.2%17.8%0.0%82.7%-5.8%2.6K53.3K-3.0K0.00107.50N/AN/A450835776
2012-11-02$14.46$14.6037.9%10.9%31.2%29.4%37.9%1.3%-9.4%4.3K-20.9K-3.2K0.0051.49N/AN/A330870776
2012-11-05$14.62$15.0047.3%9.7%31.1%47.1%34.0%14.5%-2.7%6.2K-102.8K-3.1K0.0034.58N/AN/A150893776
2012-11-06$14.59$15.0047.0%8.8%31.0%46.5%0.0%14.9%3.7%6.1K-120.1K-3.3K0.0062.42N/AN/A00906776
2012-11-07$14.25$15.0035.6%8.7%32.5%25.1%0.0%-3.3%-0.3%6.5K47.5K-3.0K0.0055.42N/AN/A00906776
2012-11-08$13.66$15.0036.3%8.3%36.1%26.5%21.6%-1.5%-5.7%5.3K273.8K-2.7K3.00100.53N/AN/A1545906776
2012-11-09$13.68$15.0037.0%9.0%36.0%27.7%23.4%15.6%3.8%5.8K308.4K-2.7K1.0056.92N/AN/A33921801
2012-11-12$14.41$15.0044.6%7.1%39.8%42.0%0.0%23.9%2.8%6.2K-27.8K-2.9K75.0062.01N/AN/A175921778
2012-11-13$14.30$15.0029.4%8.0%38.3%13.4%0.0%-3.4%2.6%6.7K63.1K-2.8K0.0031.19N/AN/A700922764
2012-11-14$14.32$15.0031.6%5.7%38.2%17.6%18.8%6.3%9.6%8.3K-12.7K-2.9K0.00104.39N/AN/A0471973764
2012-11-15$14.14$15.0024.0%6.9%38.7%3.4%0.0%13.2%2.4%-2.3K277.0K-3.1K0.0088.92N/AN/A017973966
2012-11-16$14.11$15.0020.3%5.8%37.5%0.0%0.0%0.1%11.1%-2.9K359.0K-2.9K0.0075.18N/AN/A07973968
2012-11-19$14.61$15.0029.0%8.3%39.1%15.8%0.0%5.8%-1.0%-1.5K-28.2K-3.0K0.0052.98N/AN/A20625577
2012-11-20$14.71$15.0026.4%7.6%38.6%10.9%0.0%5.9%1.9%-3.2K-74.7K-3.0K0.0681.76N/AN/A161627577
2012-11-21$14.81$15.0024.6%7.1%36.4%7.8%0.0%40.3%3.4%-6.0K-88.2K-3.1K0.0091.66N/AN/A480643578
2012-11-23$15.05$15.0028.1%8.0%34.9%14.0%28.1%8.9%1.5%-3.4K-204.9K-3.1K0.0086.59N/AN/A310662578
2012-11-26$15.30$15.0031.3%9.0%34.9%19.9%31.6%10.8%-1.1%-1.7K-306.8K-3.1K0.1686.48N/AN/A447693578
2012-11-27$15.24$15.0033.2%9.5%34.9%23.4%0.0%10.0%-2.5%-737-357.7K-3.2K0.1326.93N/AN/A152728578
2012-11-28$15.37$15.0026.6%7.6%34.2%11.3%0.0%46.7%1.9%-3.0K-373.4K-3.0K0.0035.63N/AN/A500743580
2012-11-29$15.41$15.0029.1%8.4%33.5%15.9%0.0%29.5%1.5%-250-435.9K-3.3K0.0090.66N/AN/A10785580
2012-11-30$15.29$15.0022.0%6.3%31.0%3.0%0.0%4.2%3.8%-1.8K-409.7K-3.2K0.00101.34N/AN/A40786580