CYD Options History — March 2013

In March 2013, CYD traded between $14.91 and $16.17. ATM implied volatility averaged 29.8%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 8.8% (HV 20d: 38.6%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.98.

Notable Days

  • 2013-03-21: Highest Volume — 253 contracts
  • 2013-03-22: Largest IV spike — 38.0% change
  • 2013-03-07: Highest IV Rank — 32.4%
  • 2013-03-19: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.72$14.91$16.17$15.67$15.99
Max Pain$13.13$12.50$15.00$15.00$15.00
ATM IV29.8%19.9%38.2%25.9%25.9%
Expected Move8.4%5.7%9.6%7.4%7.4%
HV 20d38.6%27.0%43.7%40.2%27.0%
HV 60d36.7%35.3%37.3%35.3%36.7%
IV Rank17.4%0.0%32.4%10.1%10.8%
IV Percentile28.9%0.0%64.3%9.9%11.1%
Term Structure3.9%-5.3%16.9%-3.1%4.8%
VWIV27.6%18.5%34.7%34.7%25.5%
Skew 25d6.0%-13.0%15.7%-5.0%-6.2%
Skew 10d12.1%2.3%91.5%8.0%3.6%
Call IV 25d20.6%16.3%30.0%23.6%26.5%
Put IV 25d26.6%17.0%33.9%18.6%20.3%
Bid-Ask Spread %35.3914.33109.4529.52109.45
Gamma HHI0.670.470.930.640.47
Net GEX5.2K-6398.5K5.2K-33
Net DEX199.3K27.7K514.4K228.5K92.5K
Net VEX-5.6K-6.1K-5.1K-5.7K-6.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.005.002.271.72
Total Volume43025300
Total OI2,313.52,1732,5892,1732,589

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$15.67$15.0025.9%7.4%40.2%10.1%0.0%-5.0%-3.1%5.2K228.5K-5.7K0.0029.52N/AN/A001,1031,070
2013-03-04$15.41$12.5033.0%9.0%39.8%23.0%0.0%9.5%2.0%4.5K341.9K-5.4K0.0014.40N/AN/A001,1031,070
2013-03-05$15.39$12.5030.9%8.9%38.6%19.1%0.0%7.5%2.1%4.5K362.2K-5.2K2.2718.06N/AN/A11251,1031,070
2013-03-06$14.91$12.5028.8%8.9%39.6%15.4%0.0%4.3%2.8%3.6K514.4K-5.1K0.0021.13N/AN/A2801,1141,095
2013-03-07$14.99$12.5038.2%9.3%39.5%32.4%34.7%3.5%2.1%5.6K433.2K-5.3K0.0016.91N/AN/A10101,1311,095
2013-03-08$15.80$12.5037.1%8.1%43.7%30.4%0.0%11.7%8.2%8.3K156.5K-5.7K0.0023.13N/AN/A4301,1621,095
2013-03-11$15.72$12.5027.8%9.1%42.9%13.6%0.0%12.9%4.1%7.5K160.7K-5.6K0.0014.33N/AN/A001,1851,095
2013-03-12$15.64$12.5028.3%9.6%42.8%14.5%0.0%12.0%2.3%7.7K214.2K-5.6K0.0017.04N/AN/A001,1851,095
2013-03-13$15.86$12.5037.2%9.1%43.2%30.6%0.0%13.4%4.4%6.7K143.0K-5.5K0.0019.52N/AN/A001,1851,095
2013-03-14$15.69$12.5032.2%9.2%43.2%21.5%0.0%13.8%3.0%6.0K240.6K-5.3K0.0015.22N/AN/A5801,1591,095
2013-03-15$15.60$12.5031.8%9.1%42.8%20.7%0.0%10.9%5.2%8.0K222.8K-5.5K0.7719.96N/AN/A30231,1871,095
2013-03-18$15.80$12.5032.2%9.2%42.9%21.5%0.0%15.3%8.3%5.7K165.3K-5.5K5.0017.72N/AN/A4201,1291,083
2013-03-19$16.02$12.5033.5%9.6%40.1%23.9%0.0%15.7%0.8%6.4K137.4K-5.4K0.0035.55N/AN/A2001,1391,103
2013-03-20$16.17$12.5027.8%8.0%36.8%13.5%0.0%1.2%-1.3%7.3K27.7K-5.6K1.0046.52N/AN/A10101,1591,103
2013-03-21$16.09$12.5022.8%6.5%36.7%4.4%18.5%9.6%16.9%5.5K107.9K-5.5K0.0523.84N/AN/A241121,1591,113
2013-03-22$15.91$12.5031.4%9.0%36.7%20.1%31.7%11.4%4.4%8.5K89.1K-5.9K0.0014.65N/AN/A01721,2671,121
2013-03-25$16.00$15.0019.9%5.7%34.6%0.0%25.5%1.2%13.6%1.6K56.8K-6.0K1.7233.07N/AN/A18311,2671,273
2013-03-26$15.75$15.0023.0%6.6%34.0%5.7%0.0%-13.0%3.3%-639203.3K-6.0K0.00108.74N/AN/A001,2851,304
2013-03-27$15.92$15.0029.2%8.4%27.0%16.9%0.0%-9.3%-5.3%1.3K88.5K-6.1K0.00108.95N/AN/A031,2851,304
2013-03-28$15.99$15.0025.9%7.4%27.0%10.8%0.0%-6.2%4.8%-3392.5K-6.0K0.00109.45N/AN/A001,2851,304