CYD Options History — April 2007 In April 2007, CYD traded between $7.85 and $9.34. ATM implied volatility averaged 52.4%. The 30-day expected move averaged 15.4%. IV traded above realized volatility by 17.2% (HV 20d: 35.1%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.28.
Notable Days 2007-04-17 : Highest Volume — 1,599 contracts2007-04-12 : Largest IV spike — 43.4% change2007-04-11 : Largest Expected Move — 18.0%Monthly Statistics Metric Avg Min Max Open Close Price $8.66 $7.85 $9.34 $8.00 $9.25 Max Pain $7.50 $7.50 $7.50 $7.50 $7.50 ATM IV 52.4% 42.0% 61.5% 49.8% 54.1% Expected Move 15.4% 12.3% 18.0% 14.3% 15.5% HV 20d 35.1% 24.2% 44.3% 30.9% 43.5% HV 60d 52.3% 49.9% 54.4% 50.5% 54.4% Term Structure -2.0% -8.9% 10.9% 4.7% -2.0% VWIV 56.0% 42.9% 70.1% 49.7% 54.1% Skew 25d 1.4% -27.5% 14.8% 10.8% 14.6% Skew 10d 7.1% -31.9% 37.2% 24.3% 26.9% Call IV 25d 53.3% 39.0% 72.0% 39.0% 43.1% Put IV 25d 54.7% 43.9% 67.6% 49.9% 57.7% Bid-Ask Spread % 20.05 9.73 28.43 16.33 15.14 Gamma HHI 0.58 0.47 0.73 0.48 0.73 Net GEX 71.4K 49.4K 114.8K 51.4K 91.5K Net DEX -3.3M -4.5M -2.0M -2.1M -3.9M Net VEX -9.8K -11.0K -8.7K -9.0K -10.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.28 0.00 2.06 1.00 0.10 Total Volume 461.55 76 1,599 180 437 Total OI 10,956.45 9,636 12,287 10,194 10,420
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 2007-04-02 $8.00 $7.50 49.8% 14.3% 30.9% 0.0% 49.7% 10.8% 4.7% 51.4K -2.1M -9.0K 1.00 16.33 N/A N/A 90 90 8,125 2,069 2007-04-03 $7.88 $7.50 46.3% 13.3% 25.7% 0.0% 46.1% 5.3% 8.9% 49.4K -2.0M -8.9K 0.08 18.86 N/A N/A 121 10 8,140 2,049 2007-04-04 $8.01 $7.50 43.9% 12.6% 25.1% 0.0% 70.1% -24.3% 8.3% 51.9K -2.2M -8.7K 0.00 22.67 N/A N/A 637 3 8,184 2,049 2007-04-05 $7.85 $7.50 42.9% 12.3% 24.2% 0.0% 42.9% -27.5% 10.9% 50.4K -2.1M -8.9K 0.03 28.43 N/A N/A 330 10 8,745 2,049 2007-04-09 $8.00 $7.50 54.0% 15.9% 24.9% 0.0% 55.5% -3.1% -3.9% 56.1K -2.2M -9.1K 0.00 23.19 N/A N/A 82 0 9,033 2,049 2007-04-10 $8.05 $7.50 49.3% 15.2% 24.8% 0.0% 52.7% -4.4% 0.1% 56.4K -2.4M -8.9K 0.38 14.75 N/A N/A 55 21 9,065 2,049 2007-04-11 $8.53 $7.50 42.0% 18.0% 31.1% 0.0% 60.9% 5.6% -6.6% 63.9K -3.3M -9.4K 0.10 14.45 N/A N/A 1,051 107 9,109 2,050 2007-04-12 $8.64 $7.50 60.3% 17.3% 29.5% 0.0% 58.0% 3.9% -6.9% 71.0K -3.5M -9.9K 0.12 19.23 N/A N/A 655 80 9,521 2,080 2007-04-13 $8.61 $7.50 55.5% 15.9% 29.7% 0.0% 51.3% 4.3% -2.7% 72.4K -3.5M -9.6K 0.10 25.41 N/A N/A 417 41 9,684 2,150 2007-04-16 $8.55 $7.50 55.7% 16.0% 30.0% 0.0% 56.0% 0.0% -4.7% 69.1K -3.3M -9.2K 0.33 24.57 N/A N/A 276 92 9,515 2,173 2007-04-17 $9.21 $7.50 50.3% 14.4% 38.1% 0.0% 51.0% 4.7% -1.0% 114.8K -4.5M -10.3K 0.11 18.74 N/A N/A 1,440 159 9,599 2,235 2007-04-18 $8.78 $7.50 56.2% 16.1% 42.7% 0.0% 61.2% 5.5% -8.5% 72.1K -3.7M -10.3K 2.06 21.66 N/A N/A 246 508 9,787 2,281 2007-04-19 $8.91 $7.50 51.2% 14.7% 42.7% 0.0% 52.1% 9.6% -5.5% 71.1K -3.8M -10.1K 0.36 26.83 N/A N/A 130 47 9,752 2,535 2007-04-20 $8.97 $7.50 53.7% 15.4% 42.7% 0.0% 68.2% 13.3% -6.8% 72.1K -3.9M -10.2K 0.42 22.32 N/A N/A 100 42 9,699 2,509 2007-04-23 $9.21 $7.50 55.8% 16.0% 43.3% 0.0% 55.7% -17.0% -5.5% 77.7K -3.7M -10.1K 0.09 16.17 N/A N/A 1,025 96 7,768 1,868 2007-04-24 $9.03 $7.50 55.2% 15.8% 43.7% 0.0% 60.8% 8.4% -4.3% 78.6K -3.5M -10.6K 0.09 25.90 N/A N/A 224 20 8,103 1,956 2007-04-25 $9.28 $7.50 54.1% 15.5% 44.3% 0.0% 55.7% 13.1% -2.7% 85.3K -3.9M -10.3K 0.03 9.73 N/A N/A 418 11 8,109 1,966 2007-04-26 $9.34 $7.50 55.5% 15.9% 42.2% 0.0% 55.8% 14.8% -3.6% 89.7K -4.0M -10.5K 0.15 26.15 N/A N/A 66 10 8,324 1,971 2007-04-27 $9.15 $7.50 61.5% 17.6% 43.5% 0.0% 61.8% -9.5% -8.9% 83.7K -3.8M -11.0K 0.00 10.44 N/A N/A 84 0 8,380 1,979 2007-04-30 $9.25 $7.50 54.1% 15.5% 43.5% 0.0% 54.1% 14.6% -2.0% 91.5K -3.9M -10.5K 0.10 15.14 N/A N/A 396 41 8,441 1,979
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