CYD Options History — September 2007

In September 2007, CYD traded between $7.61 and $10.63. ATM implied volatility averaged 59.1%, placing in the 62.8% IV rank vs the trailing year. The 30-day expected move averaged 17.3%. IV traded below realized volatility by 0.5% (HV 20d: 59.6%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 2.94.

Notable Days

2007-09-21: Highest Volume — 2,884 contracts
2007-09-05: Largest IV spike — 17.5% change
2007-09-24: Highest IV Rank — 73.8%
2007-09-24: Largest Expected Move — 18.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.61	$7.61	$10.63	$8.45	$9.92
Max Pain	$8.55	$7.50	$10.00	$10.00	$10.00
ATM IV	59.1%	48.3%	64.6%	48.3%	64.0%
Expected Move	17.3%	13.8%	18.5%	13.8%	18.4%
HV 20d	59.6%	41.7%	74.7%	67.6%	74.7%
HV 60d	60.5%	56.5%	68.7%	56.5%	68.7%
IV Rank	62.8%	41.1%	73.8%	41.1%	72.6%
IV Percentile	73.2%	26.8%	92.3%	26.8%	90.9%
Term Structure	4.1%	-1.7%	24.7%	24.7%	3.0%
VWIV	63.3%	52.5%	79.7%	59.3%	66.5%
Skew 25d	0.1%	-22.3%	20.0%	-0.7%	0.9%
Skew 10d	4.2%	-26.8%	41.4%	0.1%	-1.2%
Call IV 25d	61.0%	38.9%	74.8%	58.2%	68.3%
Put IV 25d	61.1%	49.3%	69.2%	57.5%	69.2%
Bid-Ask Spread %	18.57	9.79	31.41	21.42	22.81
Gamma HHI	0.35	0.26	0.62	0.36	0.40
Net GEX	33.2K	8.8K	81.0K	25.3K	78.5K
Net DEX	-1.1M	-4.3M	168.2K	-482.7K	-3.3M
Net VEX	-11.1K	-18.8K	-7.9K	-10.3K	-17.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.94	0.01	40.00	0.05	0.21
Total Volume	578.474	41	2,884	209	712
Total OI	11,217.947	9,956	12,606	10,465	12,606

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
2007-09-04	$8.45	$10.00	48.3%	13.8%	67.6%	41.1%	0.0%	-0.7%	24.7%	25.3K	-482.7K	-10.3K	0.05	21.42	N/A	N/A	199	10	7,482	2,983
2007-09-05	$8.12	$10.00	56.7%	16.3%	68.5%	58.0%	59.3%	-14.5%	6.3%	19.3K	-272.0K	-9.7K	0.34	16.49	N/A	N/A	327	110	7,600	2,982
2007-09-06	$8.09	$10.00	57.8%	16.6%	68.5%	60.2%	79.7%	-22.3%	-1.6%	21.6K	-306.1K	-9.8K	3.13	13.08	N/A	N/A	32	100	7,790	3,082
2007-09-07	$7.95	$7.50	53.2%	17.9%	61.2%	51.0%	62.9%	-2.8%	3.2%	17.7K	-125.6K	-9.1K	2.94	19.02	N/A	N/A	48	141	7,817	3,182
2007-09-10	$7.65	$7.50	60.1%	18.2%	55.3%	64.9%	63.5%	-5.7%	1.7%	13.1K	121.5K	-8.7K	0.34	24.07	N/A	N/A	119	40	7,815	3,293
2007-09-11	$7.78	$7.50	60.1%	18.4%	55.9%	64.8%	0.0%	6.7%	1.4%	14.2K	64.1K	-8.5K	0.29	24.33	N/A	N/A	35	10	7,922	3,268
2007-09-12	$7.64	$7.50	52.3%	17.6%	50.0%	49.3%	0.0%	2.4%	0.4%	11.2K	135.2K	-7.9K	0.92	23.99	N/A	N/A	87	80	7,925	3,208
2007-09-13	$7.61	$7.50	59.7%	17.1%	49.9%	64.0%	59.7%	10.5%	4.2%	9.4K	168.2K	-8.0K	1.76	10.88	N/A	N/A	42	74	7,897	3,215
2007-09-14	$7.78	$7.50	58.9%	16.9%	46.9%	62.4%	0.0%	14.0%	4.0%	9.3K	64.0K	-8.4K	1.55	14.32	N/A	N/A	29	45	7,914	3,266
2007-09-17	$7.68	$7.50	62.3%	17.9%	47.1%	69.2%	0.0%	-3.1%	2.9%	8.8K	64.3K	-8.0K	40.00	12.75	N/A	N/A	1	40	7,940	3,276
2007-09-18	$7.85	$7.50	61.0%	17.5%	42.4%	66.6%	0.0%	20.0%	3.3%	10.7K	14.1K	-8.0K	0.19	15.45	N/A	N/A	57	11	7,940	3,316
2007-09-19	$8.11	$7.50	58.2%	16.7%	43.9%	61.0%	52.5%	19.6%	6.0%	14.8K	-250.7K	-8.4K	2.04	15.51	N/A	N/A	49	100	7,939	3,320
2007-09-20	$8.20	$7.50	60.0%	17.2%	41.7%	64.5%	59.6%	7.8%	5.1%	17.2K	-402.5K	-8.6K	1.65	30.33	N/A	N/A	49	81	7,973	3,287
2007-09-21	$9.70	$7.50	58.2%	16.7%	70.4%	61.0%	58.9%	0.5%	5.2%	69.7K	-2.0M	-11.8K	0.08	31.41	N/A	N/A	2,662	222	7,948	3,338
2007-09-24	$9.69	$10.00	64.6%	18.5%	70.0%	73.8%	64.8%	-17.4%	-1.7%	55.6K	-2.2M	-13.8K	0.07	9.79	N/A	N/A	2,638	187	7,570	2,386
2007-09-25	$10.39	$10.00	61.2%	17.5%	73.3%	67.0%	61.3%	2.1%	2.9%	74.4K	-3.8M	-17.4K	0.21	16.16	N/A	N/A	948	202	8,883	2,559
2007-09-26	$10.63	$10.00	62.2%	17.8%	71.3%	69.0%	64.8%	-5.5%	2.9%	81.0K	-4.3M	-18.8K	0.12	11.90	N/A	N/A	439	51	9,393	2,637
2007-09-27	$10.30	$10.00	64.0%	18.3%	73.1%	72.6%	69.0%	-10.9%	3.3%	79.4K	-3.8M	-18.4K	0.01	19.15	N/A	N/A	1,000	14	9,532	2,657
2007-09-28	$9.92	$10.00	64.0%	18.4%	74.7%	72.6%	66.5%	0.9%	3.0%	78.5K	-3.3M	-17.8K	0.21	22.81	N/A	N/A	590	122	9,938	2,668