CYD Options History — August 2013

In August 2013, CYD traded between $16.97 and $19.90. ATM implied volatility averaged 28.9%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 14.7% (HV 20d: 43.6%). Max pain ranged from $17.10 to $17.50. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.96.

Notable Days

  • 2013-08-06: Highest Volume — 293 contracts
  • 2013-08-14: Largest IV spike — 38.2% change
  • 2013-08-02: Highest IV Rank — 51.8%
  • 2013-08-02: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.24$16.97$19.90$17.08$19.63
Max Pain$17.46$17.10$17.50$17.10$17.50
ATM IV28.9%17.5%48.4%43.8%27.5%
Expected Move8.3%7.3%13.9%12.5%7.9%
HV 20d43.6%23.2%48.3%23.2%47.6%
HV 60d31.2%26.6%33.2%26.6%31.6%
IV Rank19.2%0.0%51.8%43.5%18.3%
IV Percentile33.2%0.0%95.2%89.3%27.0%
Term Structure1.8%-14.4%8.2%-11.0%2.3%
VWIV26.5%20.1%31.0%26.9%28.2%
Skew 25d5.2%-0.3%9.9%2.8%8.6%
Skew 10d17.6%3.1%69.4%4.6%13.7%
Call IV 25d26.5%20.7%36.8%35.4%25.3%
Put IV 25d31.7%27.6%42.9%38.2%34.0%
Bid-Ask Spread %38.0313.6297.7521.9221.59
Gamma HHI0.380.210.640.360.21
Net GEX26.0K-3.5K69.2K-2.0K20.6K
Net DEX-938.0K-1.7M-63.2K-63.2K-782.3K
Net VEX-3.7K-4.9K-3.1K-4.6K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.960.0024.008.600.04
Total Volume73.0910293960
Total OI2,373.5911,5493,1322,8201,808

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$17.08$17.1043.8%12.5%23.2%43.5%0.0%2.8%-11.0%-2.0K-63.2K-4.6K8.6021.92N/AN/A10861,0531,767
2013-08-02$16.97$17.1048.4%13.9%23.3%51.8%0.0%6.1%-14.4%-3.5K-68.5K-4.9K3.1096.51N/AN/A20621,0531,850
2013-08-05$18.75$17.5031.8%8.2%42.6%22.0%26.9%2.9%1.3%21.6K-986.9K-3.5K0.1817.87N/AN/A207371,0731,900
2013-08-06$19.60$17.5029.3%7.3%44.9%17.5%25.4%9.9%4.1%40.1K-1.6M-3.2K0.8517.03N/AN/A1581351,2181,914
2013-08-07$19.90$17.5029.0%8.0%44.9%17.2%28.4%3.0%4.4%44.8K-1.7M-3.5K0.0313.62N/AN/A23061,2341,890
2013-08-08$19.72$17.5027.9%7.8%45.3%15.1%27.3%2.8%6.0%24.7K-1.5M-3.7K0.0816.70N/AN/A10481,1091,887
2013-08-09$19.31$17.5028.7%7.7%46.3%16.6%31.0%6.9%5.4%24.9K-1.3M-4.1K0.2217.84N/AN/A68151,1591,883
2013-08-12$19.77$17.5025.4%7.5%45.4%10.7%26.2%-0.3%6.3%50.0K-1.6M-4.0K0.0027.86N/AN/A4701,2211,898
2013-08-13$19.85$17.5017.5%7.7%44.3%0.0%0.0%7.3%6.4%60.7K-1.7M-4.0K0.0034.65N/AN/A901,2211,898
2013-08-14$19.75$17.5024.2%7.9%44.5%11.5%0.0%6.0%5.1%48.4K-1.1M-3.9K0.0033.85N/AN/A1709461,898
2013-08-15$19.31$17.5025.9%7.4%44.6%14.5%25.9%3.7%8.2%44.6K-810.8K-3.6K0.0035.04N/AN/A609131,842
2013-08-16$19.68$17.5028.1%8.1%43.2%18.3%20.9%4.1%4.2%69.2K-1.1M-3.4K0.1245.18N/AN/A83109091,842
2013-08-19$19.25$17.5025.5%7.3%44.4%13.8%28.8%4.9%1.1%12.8K-722.8K-3.1K1.2083.42N/AN/A1012672877
2013-08-20$18.96$17.5027.7%7.9%44.8%18.8%0.0%3.8%0.6%10.9K-630.9K-3.2K24.0097.75N/AN/A124680889
2013-08-21$18.70$17.5027.4%7.8%45.2%18.1%0.0%-0.3%5.1%11.1K-558.8K-3.3K0.0036.90N/AN/A100681913
2013-08-22$19.40$17.5028.5%8.2%46.5%20.3%28.5%4.2%-2.1%12.9K-736.9K-3.2K0.5092.24N/AN/A4221691913
2013-08-23$19.74$17.5026.7%7.7%46.6%16.9%26.7%9.5%0.4%15.0K-845.2K-3.1K0.2225.44N/AN/A184729934
2013-08-26$19.13$17.5027.9%8.0%48.3%19.1%20.1%3.2%0.6%14.0K-669.9K-3.6K0.0025.98N/AN/A60746938
2013-08-27$19.37$17.5029.4%8.4%47.6%21.9%0.0%7.2%0.3%14.4K-695.2K-3.7K0.0029.56N/AN/A100748938
2013-08-28$19.69$17.5028.2%8.1%47.7%19.6%28.2%9.3%1.5%15.2K-761.1K-3.5K0.0421.75N/AN/A1275738938
2013-08-29$19.62$17.5026.9%7.7%47.8%17.3%0.0%8.5%2.7%20.8K-771.0K-3.8K0.0023.90N/AN/A00865943
2013-08-30$19.63$17.5027.5%7.9%47.6%18.3%0.0%8.6%2.3%20.6K-782.3K-3.7K0.0021.59N/AN/A00865943