CYD Options History — November 2013

In November 2013, CYD traded between $22.52 and $24.42. ATM implied volatility averaged 46.5%, placing in the 53.3% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 4.7% (HV 20d: 41.8%). Max pain ranged from $17.10 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.47.

Notable Days

  • 2013-11-07: Highest Volume — 154 contracts
  • 2013-11-11: Largest IV drop — 41.6% change
  • 2013-11-07: Highest IV Rank — 98.9%
  • 2013-11-01: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.40$22.52$24.42$23.54$23.19
Max Pain$24.61$17.10$25.00$17.10$25.00
ATM IV46.5%32.0%71.4%55.7%38.6%
Expected Move11.9%10.6%16.0%16.0%11.1%
HV 20d41.8%30.8%48.3%33.6%43.1%
HV 60d44.2%41.1%45.9%41.4%45.4%
IV Rank53.3%26.7%98.9%70.2%38.8%
IV Percentile84.9%56.0%99.6%98.8%77.8%
Term Structure-1.5%-7.7%2.1%-7.7%0.5%
VWIV37.0%31.0%39.3%38.0%36.9%
Skew 25d2.6%-7.6%14.5%14.5%-3.7%
Skew 10d2.4%-10.2%28.6%28.6%-7.2%
Call IV 25d38.1%33.7%49.3%49.3%38.7%
Put IV 25d40.7%31.8%63.8%63.8%34.9%
Bid-Ask Spread %78.0136.3089.7887.6441.38
Gamma HHI0.270.230.370.250.23
Net GEX53.5K36.3K77.9K57.2K44.8K
Net DEX-2.0M-3.2M-1.0M-2.5M-1.2M
Net VEX-8.7K-9.7K-8.0K-9.7K-8.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.002.860.000.00
Total Volume33.950154150
Total OI3,043.652,2303,8483,5772,297

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$23.54$17.1055.7%16.0%33.6%70.2%0.0%14.5%-7.7%57.2K-2.5M-9.7K0.0087.64N/AN/A1502,2561,321
2013-11-04$24.05$25.0059.7%12.4%34.4%77.6%0.0%12.9%-1.4%58.2K-2.8M-9.6K1.0080.42N/AN/A10102,2591,321
2013-11-05$24.02$25.0062.6%12.6%31.7%82.8%0.0%9.8%-2.0%60.2K-2.8M-9.4K0.0078.02N/AN/A2002,2691,331
2013-11-06$23.85$25.0063.1%12.7%31.7%83.8%0.0%12.7%-2.8%60.2K-2.7M-9.5K0.0078.07N/AN/A002,2731,331
2013-11-07$22.82$25.0071.4%12.9%30.8%98.9%0.0%4.4%-3.7%59.4K-2.2M-9.1K0.5083.57N/AN/A103512,2731,331
2013-11-08$22.52$25.0070.7%13.4%30.9%97.7%0.0%0.2%-3.3%59.2K-2.1M-9.1K0.0786.13N/AN/A8762,3181,365
2013-11-11$24.42$25.0041.3%10.9%43.1%43.7%38.0%7.7%1.6%74.0K-3.2M-8.9K0.2487.26N/AN/A105252,3891,371
2013-11-12$23.67$25.0032.0%11.7%44.2%26.7%38.0%2.3%-1.1%73.1K-2.8M-8.8K1.0388.72N/AN/A30312,4181,387
2013-11-13$23.89$25.0038.1%10.7%44.1%37.8%0.0%1.2%2.1%77.9K-2.9M-9.1K0.0085.10N/AN/A002,4311,417
2013-11-14$22.87$25.0039.5%11.3%46.2%40.4%39.3%-7.6%0.2%64.8K-2.3M-8.5K0.1587.08N/AN/A3352,3741,407
2013-11-15$23.65$25.0040.2%11.5%48.1%41.7%31.0%1.1%-0.3%62.5K-2.6M-8.6K1.1489.78N/AN/A22252,3751,409
2013-11-18$23.50$25.0043.0%12.3%48.1%46.8%0.0%3.4%-4.9%41.4K-1.3M-8.6K0.0086.62N/AN/A701,584652
2013-11-19$23.44$25.0039.7%11.4%48.1%40.9%37.4%-1.2%-0.8%40.4K-1.2M-8.5K2.8685.52N/AN/A7201,578652
2013-11-20$23.02$25.0040.9%11.7%48.3%43.0%38.4%-2.7%-3.5%36.3K-1.0M-8.4K0.0089.24N/AN/A201,582662
2013-11-21$22.99$25.0039.0%11.2%47.9%39.5%37.2%4.4%-1.8%39.9K-1.0M-8.3K0.0082.45N/AN/A1201,582662
2013-11-22$23.09$25.0037.0%10.6%47.3%35.8%0.0%-1.9%0.3%39.6K-1.1M-8.3K0.0084.08N/AN/A001,584662
2013-11-25$23.30$25.0040.2%11.5%47.5%41.7%0.0%4.9%-0.5%40.7K-1.2M-8.2K0.0083.64N/AN/A801,584662
2013-11-26$23.11$25.0039.9%11.4%43.1%41.1%0.0%-4.7%-1.2%41.2K-1.1M-8.0K0.0039.17N/AN/A001,590662
2013-11-27$22.97$25.0037.3%10.7%43.0%36.5%36.9%-5.1%1.1%38.2K-1.1M-8.1K0.0036.30N/AN/A4501,590662
2013-11-29$23.19$25.0038.6%11.1%43.1%38.8%0.0%-3.7%0.5%44.8K-1.2M-8.2K0.0041.38N/AN/A001,635662