CYD Options History — October 2013

In October 2013, CYD traded between $23.21 and $26.13. ATM implied volatility averaged 47.0%, placing in the 54.3% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded above realized volatility by 5.9% (HV 20d: 41.2%). Max pain ranged from $17.10 to $22.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 0.31.

Notable Days

  • 2013-10-25: Highest Volume — 241 contracts
  • 2013-10-10: Largest IV spike — 17.5% change
  • 2013-10-29: Highest IV Rank — 85.4%
  • 2013-10-29: Largest Expected Move — 18.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.90$23.21$26.13$23.76$23.37
Max Pain$17.80$17.10$22.50$22.50$17.10
ATM IV47.0%32.4%64.0%34.7%56.7%
Expected Move14.1%10.0%18.3%10.0%16.3%
HV 20d41.2%33.2%54.4%51.5%36.8%
HV 60d44.0%41.5%45.3%42.6%41.5%
IV Rank54.3%27.4%85.4%31.7%72.1%
IV Percentile91.3%63.1%99.6%70.6%99.2%
Term Structure-6.8%-20.4%12.5%9.8%-9.9%
VWIV49.0%34.7%60.8%34.7%58.4%
Skew 25d5.2%-10.9%17.5%1.5%10.2%
Skew 10d12.8%-4.7%30.9%3.3%24.5%
Call IV 25d47.1%32.8%51.7%35.5%50.9%
Put IV 25d52.3%23.8%65.1%37.1%61.1%
Bid-Ask Spread %66.3429.8186.3435.1681.36
Gamma HHI0.320.220.430.340.26
Net GEX91.8K49.0K146.1K92.2K57.1K
Net DEX-3.5M-4.9M-2.2M-2.9M-2.5M
Net VEX-9.9K-11.4K-8.9K-9.4K-9.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.310.003.540.850.00
Total Volume78.04302412410
Total OI3,628.3913,3203,9063,3373,571

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-10-01$23.76$22.5034.7%10.0%51.5%31.7%34.7%1.5%9.8%92.2K-2.9M-9.4K0.8535.16N/AN/A13112,2191,118
2013-10-02$24.87$22.5035.4%10.1%53.1%32.9%35.4%8.2%12.5%102.7K-3.5M-9.3K0.3040.49N/AN/A99302,2071,129
2013-10-03$24.30$22.5036.0%10.3%54.4%34.0%0.0%-10.9%11.3%102.0K-3.3M-9.7K0.0841.14N/AN/A119102,2751,159
2013-10-04$25.28$17.1035.3%13.5%38.1%32.7%46.9%3.7%-5.7%115.6K-4.0M-9.7K0.1371.64N/AN/A204272,3911,169
2013-10-07$24.90$17.1032.4%14.1%38.5%27.4%0.0%5.7%-8.4%132.4K-3.8M-10.3K0.0078.06N/AN/A0232,5001,196
2013-10-08$23.99$17.1035.8%14.4%41.1%33.7%49.7%1.1%-8.2%107.0K-3.2M-10.3K3.5478.09N/AN/A521842,5001,211
2013-10-09$24.17$17.1041.3%14.5%41.1%43.6%60.8%2.4%-9.4%108.1K-3.1M-11.4K0.0079.06N/AN/A1202,5011,385
2013-10-10$25.24$17.1048.5%13.9%43.4%56.9%49.2%3.6%-6.7%129.6K-3.9M-11.3K0.0079.31N/AN/A4302,5011,385
2013-10-11$25.03$17.1048.0%13.8%43.7%56.1%0.0%1.1%-4.8%135.9K-3.8M-11.1K0.0073.17N/AN/A002,5111,385
2013-10-14$25.43$17.1050.6%14.5%43.4%60.9%50.4%4.6%-9.3%141.2K-4.2M-10.6K0.0079.64N/AN/A1002,5111,385
2013-10-15$25.54$17.1050.1%14.4%43.3%59.9%49.9%5.1%-9.8%146.1K-4.3M-10.4K0.0078.85N/AN/A3802,5211,385
2013-10-16$25.83$17.1050.6%14.5%43.3%60.7%51.1%2.6%-10.0%124.4K-4.5M-10.2K0.0076.12N/AN/A3302,5001,385
2013-10-17$25.96$17.1048.7%14.0%43.0%57.3%49.1%1.5%-8.5%97.9K-4.8M-9.1K0.0976.32N/AN/A7572,4531,337
2013-10-18$26.13$17.1048.6%13.9%41.5%57.2%50.0%3.7%-8.9%69.2K-4.9M-9.1K0.0463.98N/AN/A12552,5081,341
2013-10-21$26.03$17.1051.1%14.7%39.2%61.7%0.0%4.5%-9.1%49.0K-3.6M-8.9K0.0064.05N/AN/A19002,0221,298
2013-10-22$26.00$17.1050.7%14.5%34.6%61.0%50.9%3.5%-9.9%58.5K-3.8M-9.4K0.1329.81N/AN/A1522,2121,298
2013-10-23$25.80$17.1050.4%14.4%33.2%60.4%50.8%4.4%-8.0%58.5K-3.6M-9.7K0.0045.83N/AN/A402,2171,296
2013-10-24$25.22$17.1050.2%14.4%34.4%60.1%55.4%4.1%-8.5%56.8K-3.3M-9.5K0.0783.95N/AN/A10782,2141,296
2013-10-25$24.57$17.1052.9%15.2%35.7%65.0%56.0%14.6%-10.0%57.8K-2.9M-9.3K0.1671.53N/AN/A208332,1391,292
2013-10-28$24.56$17.1054.7%15.7%35.5%68.3%35.0%17.5%-13.1%57.2K-2.9M-9.7K0.0063.47N/AN/A1302,1901,315
2013-10-29$23.21$17.1064.0%18.3%41.1%85.4%0.0%13.7%-20.4%55.6K-2.2M-9.5K0.7948.53N/AN/A14112,1971,315
2013-10-30$23.47$17.1055.2%15.8%37.5%69.2%0.0%12.9%-10.6%56.4K-2.4M-9.5K0.0086.34N/AN/A6002,1981,315
2013-10-31$23.37$17.1056.7%16.3%36.8%72.1%58.4%10.2%-9.9%57.1K-2.5M-9.8K0.0081.36N/AN/A0102,2561,315