CYD Options History — January 2013

In January 2013, CYD traded between $16.70 and $18.40. ATM implied volatility averaged 27.0%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 9.4% (HV 20d: 36.5%). Max pain ranged from $14.60 to $15.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 3.03.

Notable Days

  • 2013-01-29: Highest Volume — 322 contracts
  • 2013-01-08: Largest IV drop — 27.9% change
  • 2013-01-23: Highest IV Rank — 22.4%
  • 2013-01-23: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.63$16.70$18.40$17.08$17.15
Max Pain$14.64$14.60$15.00$15.00$14.60
ATM IV27.0%21.4%32.7%21.6%29.5%
Expected Move8.0%6.1%9.4%6.2%8.5%
HV 20d36.5%30.6%38.7%34.3%30.6%
HV 60d31.8%29.4%33.3%31.7%31.7%
IV Rank12.2%2.0%22.4%2.3%16.6%
IV Percentile12.8%1.2%33.3%1.2%21.8%
Term Structure6.7%-1.6%17.2%13.5%4.3%
VWIV28.9%16.3%45.1%16.3%29.8%
Skew 25d7.8%-6.5%16.6%7.6%-3.5%
Skew 10d14.2%-4.8%29.3%4.0%-4.8%
Call IV 25d22.4%18.3%33.4%18.3%33.4%
Put IV 25d30.2%20.4%36.3%26.0%30.0%
Bid-Ask Spread %47.1319.83110.7767.9481.33
Gamma HHI0.280.230.340.320.29
Net GEX7.3K-70212.8K2.7K5.4K
Net DEX-1.2M-1.4M-767.9K-953.2K-767.9K
Net VEX-3.9K-5.7K-2.3K-2.3K-5.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.030.0025.830.636.10
Total Volume103.38103223171
Total OI1,780.6191,3102,2751,3102,275

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$17.08$15.0021.6%6.2%34.3%2.3%16.3%7.6%13.5%2.7K-953.2K-2.3K0.6367.94N/AN/A1912825485
2013-01-03$16.70$15.0025.2%7.2%35.4%8.7%21.1%-6.5%-1.6%3.2K-895.1K-2.5K0.5922.55N/AN/A3420843497
2013-01-04$17.18$14.6024.3%8.1%36.5%7.1%28.2%11.8%7.2%-702-1.0M-2.5K0.0775.72N/AN/A15310853507
2013-01-07$17.59$14.6029.8%9.1%37.0%17.1%0.0%16.6%4.5%2.0K-1.2M-2.9K0.0842.04N/AN/A13111965517
2013-01-08$17.12$14.6021.5%8.1%38.7%2.0%26.6%12.0%6.5%4.0K-1.1M-3.3K0.5627.59N/AN/A124701,034528
2013-01-09$17.27$14.6022.8%8.9%38.7%4.4%30.6%13.8%4.8%7.8K-1.1M-3.6K10.3550.10N/AN/A171761,089583
2013-01-10$17.45$14.6028.2%8.1%38.2%14.2%28.2%11.2%6.8%5.0K-1.2M-3.9K0.1559.43N/AN/A101151,106651
2013-01-11$17.34$14.6029.2%8.4%38.4%16.1%0.0%13.0%6.2%8.9K-1.2M-4.0K0.0021.90N/AN/A0201,147644
2013-01-14$17.19$14.6029.1%8.3%38.0%15.9%30.8%13.7%6.5%8.6K-1.1M-4.1K0.0225.70N/AN/A12421,147664
2013-01-15$17.51$14.6029.5%8.5%38.2%16.6%0.0%14.6%5.2%9.8K-1.2M-4.1K1.8529.66N/AN/A27501,177664
2013-01-16$17.69$14.6031.4%9.0%38.2%20.0%33.8%14.8%5.2%8.4K-1.3M-4.1K0.0119.83N/AN/A21031,156714
2013-01-17$17.89$14.6031.7%9.1%38.0%20.7%0.0%14.3%3.4%12.2K-1.3M-4.4K0.1137.32N/AN/A4451,205697
2013-01-18$17.99$14.6025.4%7.3%37.8%9.1%0.0%-0.3%4.9%11.6K-1.3M-4.4K6.0065.69N/AN/A5301,179697
2013-01-22$18.10$14.6030.5%8.8%35.8%18.5%0.0%10.9%5.5%9.2K-1.2M-4.4K0.0037.57N/AN/A201,144724
2013-01-23$18.13$14.6032.7%9.4%35.9%22.4%32.6%1.7%2.4%9.2K-1.2M-4.2K5.0024.83N/AN/A4201,144724
2013-01-24$17.94$14.6027.2%7.8%36.1%12.5%45.1%4.3%-1.5%10.3K-1.2M-4.3K0.0054.14N/AN/A6401,147735
2013-01-25$18.13$14.6027.9%8.0%34.7%13.8%0.0%11.4%11.7%8.9K-1.2M-4.2K0.0037.57N/AN/A4601,123735
2013-01-28$18.37$14.6021.4%6.1%34.7%2.0%21.9%1.9%17.2%9.8K-1.2M-4.1K0.1551.33N/AN/A199301,105735
2013-01-29$18.40$14.6024.4%7.0%34.7%7.3%30.2%3.5%16.2%12.8K-1.4M-4.4K25.8346.72N/AN/A123101,207746
2013-01-30$18.09$14.6024.7%7.1%35.8%7.9%0.0%-2.7%12.4%5.2K-1.2M-5.5K0.00110.77N/AN/A001,2191,056
2013-01-31$17.15$14.6029.5%8.5%30.6%16.6%29.8%-3.5%4.3%5.4K-767.9K-5.7K6.1081.33N/AN/A10611,2191,056