CYD Options History — January 2007

Name: CYD Options Analytics - January 2007
Creator: Options Analysis Suite

In January 2007, CYD traded between $7.00 and $7.42. ATM implied volatility averaged 42.3%. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 14.1% (HV 20d: 28.3%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.44.

Notable Days

2007-01-03: Highest Volume — 2,269 contracts
2007-01-11: Largest IV spike — 69.8% change
2007-01-10: Largest Expected Move — 15.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.17	$7.00	$7.42	$7.41	$7.16
Max Pain	$7.38	$5.00	$7.50	$5.00	$7.50
ATM IV	42.3%	27.7%	52.3%	52.3%	27.7%
Expected Move	12.9%	7.9%	15.1%	15.0%	7.9%
HV 20d	28.3%	27.2%	29.7%	29.7%	27.9%
Term Structure	4.1%	-2.1%	15.3%	-2.1%	15.3%
VWIV	45.6%	30.9%	52.6%	52.3%	30.9%
Skew 25d	17.3%	0.1%	71.4%	7.7%	71.4%
Skew 10d	22.3%	2.2%	71.5%	11.7%	71.3%
Call IV 25d	42.8%	33.2%	51.6%	40.4%	33.2%
Put IV 25d	60.1%	42.6%	104.6%	48.1%	104.6%
Bid-Ask Spread %	15.78	8.01	29.45	21.14	10.66
Gamma HHI	0.71	0.54	0.85	0.54	0.71
Net GEX	42.1K	19.2K	84.2K	21.7K	30.0K
Net DEX	-1.5M	-2.2M	-887.9K	-1.7M	-1.0M
Net VEX	-7.0K	-8.6K	-5.6K	-7.1K	-5.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.44	0.00	4.23	0.17	0.18
Total Volume	263.55	15	2,269	2,269	299
Total OI	9,640.1	8,183	10,327	8,183	9,161

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2007-01-03	$7.41	$5.00	52.3%	15.0%	0.0%	0.0%	52.3%	7.7%	-2.1%	21.7K	-1.7M	-7.1K	0.17	21.14	N/A	N/A	1,931	338	5,573	2,610
2007-01-04	$7.21	$7.50	45.1%	12.9%	0.0%	0.0%	45.8%	7.6%	7.5%	46.6K	-2.1M	-8.5K	0.03	23.43	N/A	N/A	295	9	7,078	2,832
2007-01-05	$7.42	$7.50	42.7%	14.4%	0.0%	0.0%	50.3%	7.1%	2.9%	51.8K	-2.2M	-8.6K	0.03	10.47	N/A	N/A	571	15	7,135	2,836
2007-01-08	$7.22	$7.50	44.1%	14.5%	0.0%	0.0%	49.1%	8.5%	2.1%	51.8K	-1.8M	-8.1K	0.43	10.17	N/A	N/A	139	60	7,232	2,851
2007-01-09	$7.16	$7.50	34.4%	14.9%	0.0%	0.0%	52.0%	5.0%	-0.8%	53.7K	-1.7M	-8.0K	1.87	13.92	N/A	N/A	31	58	7,285	2,891
2007-01-10	$7.00	$7.50	29.8%	15.1%	0.0%	0.0%	52.6%	8.7%	-0.8%	41.4K	-1.3M	-7.4K	0.00	11.73	N/A	N/A	84	0	7,310	2,889
2007-01-11	$7.15	$7.50	50.5%	14.5%	0.0%	0.0%	50.5%	5.2%	0.4%	54.0K	-1.7M	-7.8K	1.01	10.52	N/A	N/A	99	100	7,294	2,889
2007-01-12	$7.16	$7.50	46.7%	13.4%	0.0%	0.0%	46.8%	35.8%	3.8%	53.4K	-1.7M	-7.5K	0.09	12.06	N/A	N/A	113	10	7,337	2,840
2007-01-16	$7.21	$7.50	50.1%	14.4%	0.0%	0.0%	50.0%	1.6%	1.6%	69.9K	-1.6M	-7.2K	0.12	12.34	N/A	N/A	25	3	7,416	2,850
2007-01-17	$7.26	$7.50	50.0%	14.3%	0.0%	0.0%	50.6%	3.2%	1.7%	84.2K	-1.7M	-7.3K	0.00	16.41	N/A	N/A	105	0	7,429	2,847
2007-01-18	$7.11	$7.50	50.4%	14.5%	0.0%	0.0%	50.4%	39.2%	2.5%	45.9K	-1.4M	-6.9K	0.00	13.36	N/A	N/A	30	0	7,480	2,847
2007-01-19	$7.22	$7.50	46.2%	13.2%	0.0%	0.0%	46.2%	41.5%	4.7%	67.9K	-1.5M	-6.8K	0.00	13.35	N/A	N/A	15	0	7,460	2,840
2007-01-22	$7.12	$7.50	42.3%	12.1%	0.0%	0.0%	42.4%	8.5%	7.5%	19.2K	-1.2M	-6.3K	0.27	12.22	N/A	N/A	110	30	6,040	2,729
2007-01-23	$7.21	$7.50	41.4%	11.9%	0.0%	0.0%	41.4%	4.5%	5.9%	21.0K	-1.4M	-6.5K	0.08	19.29	N/A	N/A	299	24	6,109	2,759
2007-01-24	$7.23	$7.50	37.2%	10.7%	0.0%	0.0%	37.2%	6.2%	8.3%	27.7K	-1.4M	-6.6K	0.01	24.51	N/A	N/A	115	1	6,334	2,783
2007-01-25	$7.06	$7.50	37.1%	10.6%	29.7%	0.0%	36.7%	12.4%	7.2%	26.8K	-1.1M	-6.2K	4.23	29.45	N/A	N/A	13	55	6,390	2,782
2007-01-26	$7.05	$7.50	37.6%	10.8%	28.7%	0.0%	38.1%	58.5%	5.6%	25.1K	-968.8K	-6.1K	0.27	26.35	N/A	N/A	78	21	6,399	2,837
2007-01-29	$7.08	$7.50	41.6%	11.9%	27.9%	0.0%	42.2%	13.1%	3.4%	25.8K	-1.1M	-6.0K	0.00	16.30	N/A	N/A	20	0	6,368	2,842
2007-01-30	$7.01	$7.50	39.4%	11.3%	27.2%	0.0%	0.0%	0.1%	5.6%	24.7K	-887.9K	-5.6K	0.00	8.01	N/A	N/A	175	0	6,376	2,842
2007-01-31	$7.16	$7.50	27.7%	7.9%	27.9%	0.0%	30.9%	71.4%	15.3%	30.0K	-1.0M	-5.8K	0.18	10.66	N/A	N/A	254	45	6,319	2,842