CYD Options History — July 2013

In July 2013, CYD traded between $16.63 and $17.81. ATM implied volatility averaged 35.9%, placing in the 29.5% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 17.9% (HV 20d: 18.1%). Max pain ranged from $14.60 to $17.10. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 7.72.

Notable Days

  • 2013-07-23: Highest Volume — 354 contracts
  • 2013-07-02: Largest IV spike — 22.0% change
  • 2013-07-30: Highest IV Rank — 48.3%
  • 2013-07-30: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.12$16.63$17.81$17.81$16.80
Max Pain$16.76$14.60$17.10$14.60$17.10
ATM IV35.9%23.7%46.5%23.7%44.7%
Expected Move10.7%6.8%13.3%6.8%12.8%
HV 20d18.1%13.0%23.2%16.6%22.3%
HV 60d31.4%26.9%38.3%38.3%27.7%
IV Rank29.5%7.7%48.3%7.7%45.1%
IV Percentile65.3%7.9%92.9%7.9%90.5%
Term Structure-2.5%-12.7%18.6%18.6%-12.7%
VWIV36.5%23.4%47.9%34.2%39.6%
Skew 25d8.9%-4.1%17.5%8.6%0.4%
Skew 10d15.6%-2.6%39.1%8.7%2.4%
Call IV 25d30.8%19.2%39.8%19.2%37.5%
Put IV 25d39.7%27.8%46.5%27.8%37.9%
Bid-Ask Spread %21.1514.0833.4021.8727.74
Gamma HHI0.380.330.480.350.41
Net GEX2.5K-15.2K16.1K3.9K-8.4K
Net DEX-165.7K-463.8K168.1K-366.4K36.9K
Net VEX-4.0K-5.0K-3.0K-3.3K-4.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.720.0087.500.000.00
Total Volume69.6820354011
Total OI2,230.7731,6372,8201,6372,820

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$17.81$14.6023.7%6.8%16.6%7.7%0.0%8.6%18.6%3.9K-366.4K-3.3K0.0021.87N/AN/A00647990
2013-07-02$17.56$14.6028.9%8.3%13.4%17.0%0.0%5.1%10.4%4.1K-315.2K-3.3K0.0016.86N/AN/A120647990
2013-07-03$17.43$14.6030.3%8.7%13.7%19.5%0.0%4.1%8.3%3.8K-289.0K-3.4K0.0019.29N/AN/A00659990
2013-07-05$17.45$17.1026.4%10.5%13.4%12.4%0.0%8.8%-4.3%5.3K-325.1K-3.2K0.0022.19N/AN/A00659990
2013-07-08$17.30$17.1030.2%11.0%13.7%19.2%34.2%6.7%-3.3%4.4K-256.8K-3.2K0.1322.22N/AN/A14018659990
2013-07-09$17.36$17.1030.9%10.6%13.6%20.5%36.9%9.8%-2.4%8.1K-301.4K-3.3K0.0025.36N/AN/A107521,000
2013-07-10$17.34$17.1028.5%9.8%13.6%16.3%36.4%8.2%0.0%7.5K-304.5K-3.0K0.7616.28N/AN/A1951487521,000
2013-07-11$17.37$17.1034.5%9.9%13.6%26.9%34.5%16.5%-0.1%15.2K-461.4K-3.0K1.4714.23N/AN/A721068851,148
2013-07-12$17.45$17.1034.6%9.9%13.0%27.2%34.6%8.6%-0.4%16.1K-463.8K-3.8K0.0017.27N/AN/A409571,253
2013-07-15$17.04$17.1037.8%10.8%15.2%32.8%37.8%7.0%-3.4%15.8K-267.9K-3.9K5.6516.06N/AN/A231309571,253
2013-07-16$16.70$17.1038.0%10.9%16.4%33.1%39.8%17.5%-2.6%5.0K-49.5K-4.2K0.0017.75N/AN/A0959801,341
2013-07-17$16.74$17.1038.5%11.0%16.3%34.1%0.0%14.7%-3.7%1.4K23.7K-4.4K0.0014.28N/AN/A009801,416
2013-07-18$17.33$17.1036.6%10.5%21.1%30.6%0.0%4.5%-1.1%14.6K-356.5K-3.8K0.0025.97N/AN/A009731,411
2013-07-19$16.87$17.1038.4%11.0%22.9%33.8%23.4%16.0%-3.8%13.6K-89.5K-4.2K0.0417.93N/AN/A10249731,411
2013-07-22$16.99$17.1037.6%10.8%23.2%32.5%0.0%15.2%-3.2%-2.6K-103.7K-3.9K0.0017.91N/AN/A0159901,374
2013-07-23$16.86$17.1038.4%11.0%23.1%33.9%0.0%13.5%-5.3%-2.8K-44.7K-4.0K87.5014.08N/AN/A43509901,389
2013-07-24$16.77$17.1038.4%11.0%23.1%33.8%47.9%12.7%-5.5%-10.5K103.9K-5.0K3.7521.61N/AN/A4159941,739
2013-07-25$16.79$17.1042.9%12.3%21.9%41.9%0.0%12.9%-10.5%-12.4K106.9K-5.0K0.0019.00N/AN/A009981,744
2013-07-26$17.04$17.1039.6%11.3%22.7%36.0%39.6%4.5%-5.7%-5.7K-48.4K-4.8K0.3633.40N/AN/A55209981,744
2013-07-29$16.90$17.1045.0%12.9%22.2%45.6%0.0%3.9%-12.0%-5.8K-42.2K-4.9K0.0030.95N/AN/A021,0531,764
2013-07-30$16.63$17.1046.5%13.3%22.2%48.3%0.0%-4.1%-12.5%-15.2K168.1K-4.9K0.7533.01N/AN/A431,0531,764
2013-07-31$16.80$17.1044.7%12.8%22.3%45.1%0.0%0.4%-12.7%-8.4K36.9K-4.7K0.0027.74N/AN/A1101,0531,767