CYD Options History — June 2013

In June 2013, CYD traded between $17.10 and $18.03. ATM implied volatility averaged 27.7%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 0.9% (HV 20d: 26.8%). Max pain ranged from $14.60 to $20.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.86.

Notable Days

  • 2013-06-04: Highest Volume — 161 contracts
  • 2013-06-13: Largest IV spike — 18.7% change
  • 2013-06-20: Highest IV Rank — 22.4%
  • 2013-06-20: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.75$17.10$18.03$17.10$17.63
Max Pain$17.57$14.60$20.00$20.00$14.60
ATM IV27.7%23.2%32.0%23.2%27.2%
Expected Move8.2%6.7%9.2%6.7%7.8%
HV 20d26.8%20.3%38.1%37.5%21.7%
HV 60d42.0%40.3%43.2%43.2%40.3%
IV Rank14.8%6.8%22.4%6.8%13.8%
IV Percentile26.4%7.1%51.2%7.1%21.8%
Term Structure4.6%-1.6%10.8%10.8%9.2%
VWIV28.1%24.9%31.3%31.3%29.4%
Skew 25d16.0%1.6%82.3%9.1%11.5%
Skew 10d25.3%2.1%138.3%4.3%26.4%
Call IV 25d22.6%17.4%25.6%17.7%21.1%
Put IV 25d38.6%24.6%106.4%26.8%32.6%
Bid-Ask Spread %60.3514.47101.6733.8915.80
Gamma HHI0.530.340.870.770.35
Net GEX-9.9K-31.4K3.9K-31.4K3.9K
Net DEX-188.3K-421.1K161.7K161.7K-327.0K
Net VEX-3.2K-3.9K-2.4K-3.0K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.005.000.672.86
Total Volume42.2501612527
Total OI1,912.251,5352,1701,8461,610

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$17.10$20.0023.2%6.7%37.5%6.8%31.3%9.1%10.8%-31.4K161.7K-3.0K0.6733.89N/AN/A15104931,353
2013-06-04$17.65$20.0024.6%7.1%38.1%9.2%24.9%3.0%5.7%-25.8K25.6K-3.0K0.3523.93N/AN/A119424881,358
2013-06-05$17.64$20.0026.1%7.5%36.3%12.0%26.1%3.1%2.4%-21.4K14.2K-3.1K0.4620.35N/AN/A65305771,382
2013-06-06$17.76$17.5026.4%7.6%36.0%12.4%0.0%3.9%3.8%-16.4K-48.8K-3.4K0.0019.31N/AN/A1106381,407
2013-06-07$17.75$17.5027.3%8.2%35.9%14.0%28.8%60.5%-1.6%-14.1K-71.8K-3.2K0.4628.57N/AN/A24116431,407
2013-06-10$17.84$17.5026.0%8.6%31.6%11.8%0.0%12.8%7.2%-14.9K-167.1K-2.7K0.0014.47N/AN/A006571,418
2013-06-11$17.76$17.5024.2%8.5%29.8%8.5%0.0%82.3%-0.8%-11.0K-79.8K-3.2K0.00101.67N/AN/A1106571,418
2013-06-12$17.79$17.5025.9%8.8%27.3%11.6%0.0%80.9%0.7%-15.1K-148.7K-2.7K0.4395.93N/AN/A60266571,418
2013-06-13$17.98$17.5030.8%8.8%23.7%20.3%0.0%7.5%3.1%-4.0K-294.7K-2.4K0.4194.98N/AN/A1777171,418
2013-06-14$17.97$17.5030.1%8.6%23.2%19.0%0.0%7.6%0.8%178-332.3K-2.5K2.3096.25N/AN/A10237341,418
2013-06-17$17.94$17.5028.2%8.1%22.5%15.8%0.0%4.9%4.5%-3.4K-309.4K-2.5K0.2494.14N/AN/A2157341,436
2013-06-18$18.03$17.5028.8%8.3%22.0%16.8%0.0%1.6%3.6%-5.2K-421.1K-3.7K0.8395.90N/AN/A12107431,266
2013-06-19$17.88$17.5027.9%8.0%22.1%15.1%0.0%3.2%6.7%-5.7K-346.5K-3.9K0.5093.63N/AN/A217431,276
2013-06-20$17.82$17.5032.0%9.2%21.8%22.4%0.0%4.2%4.5%-5.7K-321.5K-3.6K5.0089.81N/AN/A2107151,250
2013-06-21$17.83$17.5030.1%8.6%21.4%19.1%0.0%2.6%0.3%-8.7K-356.1K-3.5K0.0096.29N/AN/A4007141,260
2013-06-24$17.92$17.5029.3%8.4%21.3%17.7%0.0%5.0%9.6%-7.6K-145.0K-3.5K0.8299.53N/AN/A2823561974
2013-06-25$17.90$17.5029.4%8.4%20.3%17.8%29.4%3.7%7.0%-6.2K-95.3K-3.8K0.4057.28N/AN/A5321585987
2013-06-26$17.50$17.1028.5%8.2%21.5%16.2%0.0%6.4%6.9%-4.6K-272.4K-3.1K0.6417.78N/AN/A2818585987
2013-06-27$17.40$14.6028.0%8.0%21.7%15.3%0.0%5.1%8.2%-94-230.4K-3.3K0.0017.44N/AN/A630591970
2013-06-28$17.63$14.6027.2%7.8%21.7%13.8%0.0%11.5%9.2%3.9K-327.0K-3.2K2.8615.80N/AN/A720640970