CYD Options History — September 2013

In September 2013, CYD traded between $19.56 and $24.24. ATM implied volatility averaged 34.4%, placing in the 31.0% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 12.2% (HV 20d: 46.6%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.83.

Notable Days

  • 2013-09-06: Highest Volume — 1,409 contracts
  • 2013-09-06: Largest IV spike — 38.4% change
  • 2013-09-19: Highest IV Rank — 40.4%
  • 2013-09-19: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.50$19.56$24.24$19.56$23.77
Max Pain$20.13$17.50$22.50$17.50$22.50
ATM IV34.4%25.7%39.5%28.0%34.7%
Expected Move9.8%7.4%11.3%8.0%9.9%
HV 20d46.6%28.4%51.6%32.8%51.6%
HV 60d39.4%31.7%42.7%31.7%42.6%
IV Rank31.0%15.1%40.4%19.3%31.6%
IV Percentile67.7%17.1%89.3%31.7%69.8%
Term Structure5.2%-0.7%11.4%1.4%8.5%
VWIV34.0%27.5%38.2%27.5%36.3%
Skew 25d1.2%-13.7%12.1%-1.4%6.1%
Skew 10d5.0%-10.1%70.5%-0.8%-0.3%
Call IV 25d32.9%25.0%36.6%26.7%36.4%
Put IV 25d34.1%20.6%42.5%25.3%42.5%
Bid-Ask Spread %68.3215.85101.4318.3722.68
Gamma HHI0.290.220.340.220.30
Net GEX52.0K13.4K77.0K20.8K71.4K
Net DEX-2.4M-3.2M-770.5K-770.5K-2.8M
Net VEX-7.5K-9.2K-2.5K-3.7K-9.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.006.206.200.25
Total Volume139.3501,4093630
Total OI2,853.51,8083,2801,8083,139

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$19.56$17.5028.0%8.0%32.8%19.3%27.5%-1.4%1.4%20.8K-770.5K-3.7K6.2018.37N/AN/A531865943
2013-09-04$19.73$17.5028.3%8.1%28.9%19.8%0.0%-1.5%1.4%20.8K-855.5K-3.3K0.0016.89N/AN/A00865971
2013-09-05$19.77$17.5025.7%7.4%28.4%15.1%0.0%-0.3%3.9%20.5K-783.5K-3.7K0.0015.85N/AN/A00865971
2013-09-06$22.28$20.0035.6%10.4%50.9%33.3%34.1%3.3%2.4%13.4K-1.5M-2.5K0.1325.00N/AN/A1,249160865971
2013-09-09$22.09$20.0035.7%9.6%50.2%33.5%32.8%-0.0%4.3%53.7K-2.6M-8.1K0.7286.05N/AN/A50361,9701,002
2013-09-10$22.49$20.0036.0%10.1%50.0%34.1%35.1%0.2%3.3%53.3K-2.7M-8.1K0.0080.08N/AN/A12102,0161,027
2013-09-11$22.68$20.0035.6%10.4%50.0%33.4%33.6%4.5%3.3%54.7K-2.8M-8.5K0.1974.52N/AN/A2652,0581,027
2013-09-12$22.64$20.0033.9%9.7%49.9%30.2%34.2%4.3%7.5%53.3K-2.8M-8.6K0.2985.40N/AN/A2162,0671,027
2013-09-13$22.65$20.0037.0%10.6%48.7%35.8%35.9%3.8%3.0%51.5K-2.8M-8.5K0.0088.12N/AN/A12602,0581,033
2013-09-16$22.41$20.0036.6%10.5%49.0%35.1%38.2%3.6%6.4%53.7K-2.7M-8.4K0.4276.10N/AN/A1982,1721,033
2013-09-17$22.72$20.0034.8%10.0%47.9%31.9%0.0%2.3%6.8%57.2K-2.9M-8.3K2.8687.18N/AN/A7202,1571,033
2013-09-18$22.96$20.0036.3%10.4%47.1%34.5%36.1%6.7%6.4%56.6K-2.9M-8.4K0.4278.26N/AN/A1252,1531,053
2013-09-19$23.43$20.0039.5%11.3%46.4%40.4%32.9%4.1%-0.7%62.9K-3.2M-7.9K1.7697.01N/AN/A681202,1041,045
2013-09-20$22.85$20.0034.3%9.8%47.0%30.9%31.5%-3.5%8.0%51.9K-2.9M-8.6K0.0092.37N/AN/A5202,1651,115
2013-09-23$22.13$20.0036.7%10.5%49.0%35.3%0.0%12.1%3.9%60.4K-2.1M-8.2K0.5292.71N/AN/A165861,949994
2013-09-24$23.44$20.0035.2%10.1%50.2%32.6%32.0%3.3%7.1%65.4K-2.6M-8.8K0.2186.93N/AN/A106221,9201,080
2013-09-25$24.24$22.5035.5%10.2%50.9%33.0%36.2%2.7%6.3%69.7K-3.0M-9.1K0.2098.14N/AN/A51101,9771,102
2013-09-26$24.19$22.5031.4%9.0%51.1%25.6%0.0%-11.9%11.4%77.0K-3.0M-9.1K0.00101.43N/AN/A002,0271,112
2013-09-27$23.97$22.5036.4%10.4%51.3%34.7%36.3%-13.7%8.9%71.1K-3.0M-9.2K0.0043.37N/AN/A17002,0271,112
2013-09-30$23.77$22.5034.7%9.9%51.6%31.6%0.0%6.1%8.5%71.4K-2.8M-9.1K0.2522.68N/AN/A2462,0271,112