CYD Options History — April 2013

In April 2013, CYD traded between $13.49 and $16.03. ATM implied volatility averaged 34.9%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 9.5% (HV 20d: 44.3%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.50.

Notable Days

  • 2013-04-04: Highest Volume — 193 contracts
  • 2013-04-11: Largest IV spike — 59.6% change
  • 2013-04-15: Highest IV Rank — 44.4%
  • 2013-04-15: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.37$13.49$16.03$16.03$14.28
Max Pain$15.80$15.00$17.50$15.00$17.50
ATM IV34.9%21.6%44.5%26.6%38.5%
Expected Move10.5%6.2%12.8%7.6%11.0%
HV 20d44.3%26.5%59.3%26.9%59.3%
HV 60d39.0%31.9%44.9%32.7%43.6%
IV Rank27.0%3.2%44.4%12.1%33.6%
IV Percentile50.9%2.8%73.4%13.1%69.4%
Term Structure-2.8%-8.8%12.5%0.6%-5.2%
VWIV37.8%29.2%51.0%31.4%38.9%
Skew 25d-1.6%-14.2%12.4%-11.9%-5.7%
Skew 10d5.8%-24.5%69.5%2.4%-5.2%
Call IV 25d36.1%27.4%43.7%30.5%38.1%
Put IV 25d34.5%18.5%44.6%18.5%32.4%
Bid-Ask Spread %42.3316.70109.61104.6519.18
Gamma HHI0.570.440.750.470.61
Net GEX-4.9K-26.5K642642-7.0K
Net DEX992.8K49.7K1.3M49.7K1.3M
Net VEX-4.3K-5.8K-3.4K-5.8K-3.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.500.095.500.870.93
Total Volume60.7730193377
Total OI2,767.4552,5892,9022,5892,902

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-01$16.03$15.0026.6%7.6%26.9%12.1%0.0%-11.9%0.6%64249.7K-5.8K0.00104.65N/AN/A031,2851,304
2013-04-02$15.85$15.0026.6%7.6%26.5%12.2%0.0%-11.9%2.7%-628163.4K-5.7K0.00109.33N/AN/A0101,2851,307
2013-04-03$15.86$15.0021.6%6.2%26.5%3.2%0.0%-9.6%12.5%-580143.8K-5.7K0.00109.61N/AN/A001,2851,317
2013-04-04$14.98$15.0031.5%9.0%31.7%20.9%31.4%2.8%2.8%-3.7K604.2K-5.2K0.87100.51N/AN/A103901,2851,317
2013-04-05$14.14$15.0032.2%10.9%37.7%22.2%37.4%0.5%-4.1%-2.6K986.7K-4.5K0.1543.08N/AN/A2031,3841,378
2013-04-08$13.65$15.0035.6%12.3%33.2%28.4%37.9%4.7%-6.8%-1.7K1.2M-3.6K0.0945.38N/AN/A135121,3841,378
2013-04-09$13.49$15.0034.7%12.7%33.2%26.8%37.7%2.0%-7.2%-6771.2M-3.6K5.5035.09N/AN/A201101,4121,390
2013-04-10$14.32$15.0022.9%10.5%40.9%5.5%0.0%12.4%-5.0%-5.1K1.1M-4.6K0.0026.20N/AN/A001,4121,470
2013-04-11$14.37$15.0036.6%10.5%40.5%30.1%0.0%11.0%-3.1%-5.9K1.1M-4.5K0.0040.47N/AN/A0101,4121,470
2013-04-12$14.06$15.0036.4%10.4%40.9%29.7%0.0%8.3%-3.7%-5.4K1.1M-4.4K0.0027.98N/AN/A021,4121,459
2013-04-15$13.64$15.0044.5%12.8%41.8%44.4%39.0%4.5%-8.8%-4.4K1.2M-3.8K0.4029.37N/AN/A25101,4121,459
2013-04-16$13.87$15.0040.0%11.5%42.1%36.2%0.0%5.9%-5.6%-5.4K1.2M-3.9K0.0019.95N/AN/A001,4121,459
2013-04-17$13.66$15.0036.2%10.4%41.5%29.4%29.2%3.6%5.8%-3.5K1.3M-3.5K4.5025.46N/AN/A291,4121,459
2013-04-18$13.55$15.0042.4%12.1%41.0%40.5%38.7%2.4%-4.7%-3.9K1.3M-3.4K0.1425.29N/AN/A70101,3811,461
2013-04-19$15.02$15.0037.0%10.6%57.1%30.8%38.6%4.5%-1.5%-26.5K726.3K-4.6K1.4418.50N/AN/A701011,3611,471
2013-04-22$14.40$17.5038.9%11.2%58.7%34.3%0.0%-5.7%0.5%-4.2K978.5K-4.1K0.0022.41N/AN/A0201,2381,356
2013-04-23$14.04$17.5040.3%11.5%59.0%36.7%51.0%-14.2%-7.6%-4.4K1.1M-3.8K0.6335.33N/AN/A81511,2381,376
2013-04-24$14.22$17.5037.9%10.9%59.2%32.5%0.0%-10.9%-5.4%-5.8K1.2M-3.7K0.0037.95N/AN/A0611,2701,427
2013-04-25$14.37$17.5035.5%10.2%59.2%28.1%0.0%-10.3%-4.6%-6.0K1.2M-3.9K3.1816.70N/AN/A17541,2701,478
2013-04-26$14.19$17.5031.2%9.0%59.2%20.5%36.4%-8.8%-5.2%-5.6K1.3M-3.9K0.2021.30N/AN/A113231,2791,532
2013-04-29$14.14$17.5039.8%11.4%59.1%35.9%0.0%-8.5%-7.3%-6.0K1.3M-3.8K0.0017.60N/AN/A0251,3331,552
2013-04-30$14.28$17.5038.5%11.0%59.3%33.6%38.9%-5.7%-5.2%-7.0K1.3M-3.8K0.9319.18N/AN/A40371,3331,569