CYD Options History — May 2013

In May 2013, CYD traded between $14.07 and $16.83. ATM implied volatility averaged 35.3%, placing in the 27.9% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 9.6% (HV 20d: 44.9%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 4.00.

Notable Days

  • 2013-05-10: Highest Volume — 400 contracts
  • 2013-05-15: Largest IV spike — 80.7% change
  • 2013-05-10: Highest IV Rank — 93.7%
  • 2013-05-02: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.78$14.07$16.83$14.14$16.40
Max Pain$20.34$17.50$22.50$17.50$20.00
ATM IV35.3%19.4%72.0%40.2%25.1%
Expected Move8.5%5.6%12.9%11.5%7.2%
HV 20d44.9%34.8%59.3%59.3%35.6%
HV 60d44.0%42.4%46.3%43.2%42.4%
IV Rank27.9%0.0%93.7%36.5%10.2%
IV Percentile44.9%0.0%99.6%71.8%12.7%
Term Structure1.8%-14.9%14.9%-9.2%-1.5%
VWIV36.1%15.0%58.2%39.6%15.0%
Skew 25d4.1%-12.1%19.8%-8.2%6.2%
Skew 10d6.1%-10.7%50.0%-8.0%2.5%
Call IV 25d23.9%12.8%45.3%40.4%16.2%
Put IV 25d28.0%17.4%42.2%32.2%22.4%
Bid-Ask Spread %63.3117.22108.2921.7917.22
Gamma HHI0.660.380.870.650.83
Net GEX-17.7K-37.8K754-7.3K-27.6K
Net DEX577.1K-96.1K1.4M1.4M412.6K
Net VEX-3.7K-4.7K-3.1K-3.7K-3.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.000.0053.501.2553.50
Total Volume68.045040027109
Total OI2,411.9091,6443,0152,9591,739

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$14.14$17.5040.2%11.5%59.3%36.5%39.6%-8.2%-9.2%-7.3K1.4M-3.7K1.2521.79N/AN/A12151,3531,606
2013-05-02$14.07$17.5045.0%12.9%56.1%45.3%42.6%-12.1%-14.9%-6.4K1.4M-3.8K2.5020.58N/AN/A14351,3551,607
2013-05-03$14.32$17.5038.0%10.9%52.7%32.6%38.5%-2.6%-0.6%-6.0K1.4M-4.0K0.3421.06N/AN/A148501,3551,637
2013-05-06$14.30$22.5045.1%10.4%51.0%45.5%0.0%12.8%-5.4%-9.0K1.2M-3.7K0.0023.55N/AN/A001,3231,460
2013-05-07$14.93$22.5044.5%9.8%52.6%44.3%34.0%13.7%-2.7%-6.9K899.4K-4.1K0.4826.39N/AN/A75361,3231,460
2013-05-08$14.88$22.5046.5%9.7%48.6%48.0%0.0%3.6%-2.4%-3.9K893.6K-4.2K0.0029.74N/AN/A001,3881,481
2013-05-09$14.82$22.5045.6%9.4%48.6%46.3%0.0%11.2%-0.4%-4.0K955.5K-4.1K0.0025.29N/AN/A001,3881,481
2013-05-10$15.65$22.5072.0%10.3%51.2%93.7%35.5%10.0%-2.2%754354.9K-4.7K0.9338.28N/AN/A2071931,3881,481
2013-05-13$16.23$22.5039.5%7.1%50.5%35.4%23.9%4.3%3.7%-15.5K175.2K-3.9K0.16103.13N/AN/A131211,4001,615
2013-05-14$16.83$20.0028.8%7.6%51.4%16.2%0.0%3.9%1.7%754-96.1K-3.5K0.0060.81N/AN/A9901,3621,625
2013-05-15$16.27$20.0052.1%8.0%53.0%58.0%30.2%5.8%6.3%-12.8K311.1K-4.0K0.59102.05N/AN/A17101,2841,625
2013-05-16$16.57$20.0028.3%8.1%52.7%15.2%26.4%6.0%3.0%-13.1K159.4K-3.5K0.0082.10N/AN/A3601,2571,625
2013-05-17$16.36$20.0023.5%6.7%40.2%6.6%58.2%-8.0%1.7%-37.8K271.4K-3.2K0.05103.57N/AN/A2211,2721,625
2013-05-20$16.64$20.0025.0%7.2%36.4%9.3%0.0%4.4%14.1%-29.9K342.1K-3.4K0.00108.29N/AN/A2004301,214
2013-05-21$16.51$20.0022.8%6.5%34.8%5.3%22.3%-7.8%2.7%-33.8K334.3K-3.1K0.6387.28N/AN/A24154441,214
2013-05-22$16.39$20.0024.6%7.1%35.2%8.6%0.0%4.5%10.0%-26.8K406.1K-3.7K2.8197.62N/AN/A16454591,224
2013-05-23$16.26$20.0026.6%7.6%35.6%12.1%0.0%8.1%7.8%-30.2K429.1K-3.6K0.00103.59N/AN/A0154701,224
2013-05-24$16.41$20.0024.9%7.1%34.9%9.1%38.0%19.8%11.8%-30.6K377.3K-3.4K0.6499.15N/AN/A1174701,224
2013-05-28$16.18$20.0019.4%5.6%35.5%0.0%0.0%4.8%2.1%-30.0K456.3K-3.5K0.17103.95N/AN/A2444801,231
2013-05-29$16.54$20.0029.8%8.6%35.9%18.6%50.7%3.4%0.2%-29.6K320.4K-3.4K0.0098.86N/AN/A0634911,235
2013-05-30$16.51$20.0028.8%8.3%35.5%16.8%51.0%6.8%14.9%-28.7K363.1K-3.5K0.0018.59N/AN/A0224911,246
2013-05-31$16.40$20.0025.1%7.2%35.6%10.2%15.0%6.2%-1.5%-27.6K412.6K-3.5K53.5017.22N/AN/A21074911,248