CYD Options History — December 2013

In December 2013, CYD traded between $20.31 and $23.02. ATM implied volatility averaged 39.7%, placing in the 40.8% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 7.2% (HV 20d: 32.5%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 3.20.

Notable Days

  • 2013-12-05: Highest Volume — 283 contracts
  • 2013-12-12: Largest IV drop — 18.5% change
  • 2013-12-11: Highest IV Rank — 52.8%
  • 2013-12-05: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.91$20.31$23.02$23.02$20.87
Max Pain$20.95$20.00$25.00$25.00$20.00
ATM IV39.7%36.2%46.2%41.0%39.5%
Expected Move11.1%10.4%12.1%11.8%11.3%
HV 20d32.5%24.7%46.6%43.1%27.4%
HV 60d38.5%34.7%40.6%38.4%34.7%
IV Rank40.8%34.4%52.8%43.2%40.4%
IV Percentile75.4%61.1%89.3%83.7%75.8%
Term Structure1.9%-3.7%6.1%-2.1%-2.9%
VWIV39.5%35.8%41.5%41.3%39.3%
Skew 25d3.5%-10.5%19.0%-5.8%18.4%
Skew 10d8.1%-9.8%34.5%-9.0%34.5%
Call IV 25d35.5%24.5%41.9%40.4%28.1%
Put IV 25d38.9%30.0%52.8%34.6%46.6%
Bid-Ask Spread %84.2323.4897.7923.4853.48
Gamma HHI0.240.210.260.230.24
Net GEX37.7K23.7K50.6K43.7K28.5K
Net DEX-497.5K-1.1M-180.9K-1.1M-195.7K
Net VEX-6.6K-7.8K-5.8K-7.8K-6.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.200.0015.000.007.64
Total Volume33.5710283095
Total OI2,439.0482,2022,6182,2972,398

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$23.02$25.0041.0%11.8%43.1%43.2%0.0%-5.8%-2.1%43.7K-1.1M-7.8K0.0023.48N/AN/A001,635662
2013-12-03$22.20$25.0039.7%11.4%43.9%40.8%41.3%-10.5%-1.3%37.4K-828.5K-7.5K0.0047.28N/AN/A201,635662
2013-12-04$21.38$25.0037.7%10.8%45.5%37.0%0.0%1.2%-0.3%31.0K-590.6K-7.1K0.0095.59N/AN/A001,633662
2013-12-05$20.65$25.0042.3%12.1%46.6%45.5%41.5%-0.2%-3.7%23.7K-268.7K-6.4K0.2896.87N/AN/A221621,633662
2013-12-06$21.12$20.0042.9%11.4%45.6%46.6%0.0%10.6%-1.3%40.9K-695.8K-7.3K0.0085.73N/AN/A001,853723
2013-12-09$20.82$20.0045.7%11.1%45.7%51.8%0.0%5.3%2.2%40.8K-578.4K-7.0K0.0081.86N/AN/A501,853723
2013-12-10$20.84$20.0043.5%11.2%33.0%47.8%0.0%6.9%3.9%41.7K-597.4K-7.0K0.0082.99N/AN/A051,858723
2013-12-11$20.67$20.0046.2%11.1%31.8%52.8%0.0%-0.8%3.9%40.8K-566.1K-6.8K0.0089.00N/AN/A001,858724
2013-12-12$20.80$20.0037.7%10.8%31.6%37.1%0.0%5.7%4.2%44.1K-590.3K-6.8K0.0085.12N/AN/A001,858724
2013-12-13$20.72$20.0039.2%11.2%28.5%39.8%0.0%-0.2%0.8%43.3K-558.3K-6.6K1.0089.73N/AN/A10101,858724
2013-12-16$20.65$20.0037.7%10.8%24.7%37.2%0.0%-4.7%5.1%47.4K-567.5K-6.6K0.0089.11N/AN/A061,868734
2013-12-17$20.31$20.0038.8%11.1%24.9%39.2%0.0%-6.1%1.9%43.5K-371.7K-6.2K1.0091.08N/AN/A551,868740
2013-12-18$20.58$20.0038.7%11.1%25.9%39.0%0.0%19.0%3.3%50.6K-519.2K-6.4K15.0097.50N/AN/A2301,873745
2013-12-19$20.77$20.0038.4%11.0%26.1%38.4%0.0%8.3%4.1%45.3K-571.9K-6.3K0.0093.45N/AN/A0321,863745
2013-12-20$20.66$20.0036.6%10.5%26.1%35.1%0.0%6.8%6.1%48.6K-545.9K-6.3K0.3889.96N/AN/A831,863747
2013-12-23$20.90$20.0036.2%10.4%26.5%34.4%35.8%0.8%2.6%30.3K-354.9K-6.1K6.6794.44N/AN/A3201,454748
2013-12-24$20.75$20.0039.6%11.3%26.0%40.5%0.0%0.8%4.4%28.9K-338.1K-6.3K0.0094.14N/AN/A501,454768
2013-12-26$20.38$20.0036.7%10.5%26.4%35.2%0.0%-3.8%3.5%27.2K-230.1K-6.0K0.0094.79N/AN/A001,455768
2013-12-27$20.42$20.0037.1%10.6%26.5%36.0%0.0%6.9%3.2%26.5K-201.4K-5.9K0.0097.79N/AN/A0211,455768
2013-12-30$20.57$20.0038.4%11.0%26.4%38.3%0.0%14.1%2.9%28.1K-180.9K-5.8K0.0095.45N/AN/A01551,455788
2013-12-31$20.87$20.0039.5%11.3%27.4%40.4%39.3%18.4%-2.9%28.5K-195.7K-6.7K7.6453.48N/AN/A11841,455943