CYD Options History — February 2007 In February 2007, CYD traded between $7.09 and $9.10. ATM implied volatility averaged 49.4%. The 30-day expected move averaged 14.9%. IV traded above realized volatility by 18.6% (HV 20d: 30.8%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.44.
Notable Days 2007-02-26 : Highest Volume — 2,358 contracts2007-02-08 : Largest IV spike — 52.2% change2007-02-26 : Largest Expected Move — 19.3%Monthly Statistics Metric Avg Min Max Open Close Price $7.62 $7.09 $9.10 $7.21 $7.66 Max Pain $7.50 $7.50 $7.50 $7.50 $7.50 ATM IV 49.4% 28.4% 67.3% 28.4% 50.5% Expected Move 14.9% 8.1% 19.3% 8.1% 14.5% HV 20d 30.8% 17.8% 77.0% 27.3% 76.9% Term Structure -4.1% -16.1% 10.8% 10.8% 2.3% VWIV 51.9% 33.0% 68.0% 33.0% 50.5% Skew 25d 10.4% 3.3% 34.8% 32.2% 10.8% Skew 10d 18.3% 5.3% 65.1% 48.9% 18.8% Call IV 25d 44.9% 35.1% 54.6% 38.7% 45.4% Put IV 25d 55.3% 44.6% 80.1% 70.8% 56.2% Bid-Ask Spread % 18.50 9.21 74.91 11.48 18.91 Gamma HHI 0.68 0.46 0.96 0.74 0.53 Net GEX 55.7K 26.0K 331.9K 33.4K 56.0K Net DEX -1.7M -3.8M -518.6K -997.7K -1.8M Net VEX -6.3K -9.3K -4.7K -5.7K -9.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.44 0.00 2.75 0.00 0.13 Total Volume 794.211 15 2,358 373 815 Total OI 9,115.789 5,385 10,646 9,340 10,142
Daily Data (19 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 2007-02-01 $7.21 $7.50 28.4% 8.1% 27.3% 0.0% 33.0% 32.2% 10.8% 33.4K -997.7K -5.7K 0.00 11.48 N/A N/A 373 0 6,473 2,867 2007-02-02 $7.22 $7.50 39.8% 12.8% 25.5% 0.0% 44.8% 3.3% 2.7% 35.6K -1.3M -6.1K 0.00 9.74 N/A N/A 102 0 6,604 2,867 2007-02-05 $7.23 $7.50 38.5% 14.5% 23.2% 0.0% 50.5% 3.7% -3.1% 40.0K -1.2M -5.7K 0.00 10.97 N/A N/A 123 0 6,648 2,867 2007-02-06 $7.26 $7.50 31.6% 14.7% 21.1% 0.0% 51.2% 3.8% -3.6% 43.0K -1.1M -5.6K 2.75 12.50 N/A N/A 4 11 6,680 2,867 2007-02-07 $7.21 $7.50 33.4% 13.6% 21.0% 0.0% 47.6% 6.3% 0.3% 42.0K -1.1M -5.4K 0.00 11.02 N/A N/A 142 0 6,680 2,856 2007-02-08 $7.18 $7.50 50.8% 14.6% 19.3% 0.0% 50.8% 5.9% -2.9% 43.4K -1.1M -5.5K 0.47 13.82 N/A N/A 220 104 6,775 2,856 2007-02-09 $7.19 $7.50 47.5% 13.6% 17.8% 0.0% 47.5% 6.1% -1.8% 42.5K -1.1M -5.6K 1.23 10.56 N/A N/A 81 100 6,883 2,956 2007-02-12 $7.10 $7.50 54.7% 15.7% 18.4% 0.0% 54.7% 6.2% -5.8% 33.8K -518.6K -4.7K 0.09 14.29 N/A N/A 253 24 6,948 3,056 2007-02-13 $7.12 $7.50 55.5% 15.9% 18.2% 0.0% 55.5% 7.3% -6.4% 39.0K -989.0K -5.2K 0.72 12.49 N/A N/A 76 55 7,087 3,052 2007-02-14 $7.09 $7.50 55.0% 15.8% 18.1% 0.0% 55.1% 7.3% -4.0% 39.3K -994.0K -5.3K 0.00 9.21 N/A N/A 106 0 7,183 3,062 2007-02-15 $7.25 $7.50 52.2% 15.0% 18.3% 0.0% 52.2% 4.4% -3.5% 48.2K -1.4M -5.3K 1.57 12.58 N/A N/A 532 834 7,259 3,041 2007-02-16 $7.53 $7.50 51.6% 14.8% 22.0% 0.0% 51.6% 10.1% -5.7% 331.9K -2.6M -5.9K 0.27 12.19 N/A N/A 1,684 454 7,459 3,187 2007-02-20 $7.69 $7.50 51.4% 14.7% 22.1% 0.0% 51.4% 34.8% -2.3% 26.0K -1.2M -5.7K 0.61 18.37 N/A N/A 825 505 3,941 1,444 2007-02-21 $8.14 $7.50 52.7% 15.1% 29.0% 0.0% 52.9% 17.4% -4.7% 29.5K -1.9M -6.8K 0.15 23.11 N/A N/A 471 69 4,615 1,890 2007-02-22 $9.00 $7.50 56.9% 16.3% 44.2% 0.0% 45.8% 8.1% -16.1% 28.9K -2.9M -6.5K 0.05 30.24 N/A N/A 2,176 117 4,841 1,938 2007-02-23 $9.00 $7.50 54.1% 15.5% 42.5% 0.0% 58.9% 9.2% -9.5% 45.5K -3.8M -7.8K 0.06 29.39 N/A N/A 909 52 6,268 1,883 2007-02-26 $9.10 $7.50 67.3% 19.3% 42.2% 0.0% 68.0% 12.8% -14.1% 45.9K -3.8M -8.6K 0.04 15.72 N/A N/A 2,262 96 6,384 1,919 2007-02-27 $7.69 $7.50 66.2% 19.0% 77.0% 0.0% 65.1% 8.2% -11.3% 55.3K -1.9M -9.3K 0.12 74.91 N/A N/A 1,355 160 7,775 1,947 2007-02-28 $7.66 $7.50 50.5% 14.5% 76.9% 0.0% 50.5% 10.8% 2.3% 56.0K -1.8M -9.3K 0.13 18.91 N/A N/A 720 95 8,078 2,064
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