CYD Options History — October 2007

In October 2007, CYD traded between $9.68 and $13.80. ATM implied volatility averaged 72.7%, placing in the 86.3% IV rank vs the trailing year. The 30-day expected move averaged 21.1%. IV traded above realized volatility by 1.2% (HV 20d: 71.5%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 0.19.

Notable Days

2007-10-25: Highest Volume — 3,705 contracts
2007-10-11: Largest IV spike — 9.8% change
2007-10-11: Highest IV Rank — 100.0%
2007-10-15: Largest Expected Move — 23.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.86	$9.68	$13.80	$10.15	$13.80
Max Pain	$10.00	$10.00	$10.00	$10.00	$10.00
ATM IV	72.7%	66.2%	81.3%	66.2%	70.6%
Expected Move	21.1%	19.0%	23.3%	19.0%	20.2%
HV 20d	71.5%	49.2%	77.6%	74.8%	76.2%
HV 60d	70.1%	65.3%	74.3%	68.9%	72.7%
IV Rank	86.3%	76.1%	100.0%	77.0%	80.0%
IV Percentile	95.4%	88.8%	100.0%	94.1%	90.4%
Term Structure	-3.6%	-11.8%	3.0%	3.0%	-0.2%
VWIV	74.1%	66.2%	84.2%	66.2%	71.0%
Skew 25d	0.6%	-15.3%	5.6%	2.6%	-0.5%
Skew 10d	2.2%	-25.4%	29.3%	0.6%	-16.7%
Call IV 25d	76.0%	70.3%	81.9%	70.3%	73.7%
Put IV 25d	76.6%	58.6%	85.4%	72.9%	73.3%
Bid-Ask Spread %	21.62	11.35	31.54	25.36	19.65
Gamma HHI	0.42	0.36	0.52	0.40	0.36
Net GEX	119.7K	80.4K	168.4K	87.2K	154.3K
Net DEX	-6.4M	-14.9M	-3.0M	-3.7M	-14.9M
Net VEX	-22.8K	-28.5K	-18.2K	-18.7K	-28.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.19	0.03	0.84	0.35	0.13
Total Volume	1,184	275	3,705	1,023	1,154
Total OI	16,111.261	12,966	18,890	12,966	18,890

Daily Data (23 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
2007-10-01	$10.15	$10.00	66.2%	19.0%	74.8%	77.0%	66.2%	2.6%	3.0%	87.2K	-3.7M	-18.7K	0.35	25.36	N/A	N/A	758	265	10,198	2,768
2007-10-02	$9.94	$10.00	66.3%	19.0%	74.6%	77.3%	66.6%	0.9%	1.1%	83.8K	-3.2M	-18.2K	0.63	15.08	N/A	N/A	351	220	10,447	2,822
2007-10-03	$9.75	$10.00	70.5%	20.2%	73.2%	85.6%	71.8%	1.8%	2.1%	80.4K	-3.0M	-18.5K	0.25	23.76	N/A	N/A	733	185	10,692	3,009
2007-10-04	$9.77	$10.00	72.7%	20.8%	73.1%	90.0%	73.9%	2.2%	-0.0%	83.8K	-3.0M	-18.8K	0.39	22.64	N/A	N/A	350	138	11,011	3,115
2007-10-05	$10.10	$10.00	66.2%	21.5%	72.9%	77.1%	76.4%	-1.0%	-9.3%	93.8K	-3.8M	-19.9K	0.24	20.30	N/A	N/A	727	174	11,088	3,149
2007-10-08	$9.90	$10.00	72.6%	22.2%	71.4%	89.8%	81.1%	3.1%	-11.8%	93.8K	-3.5M	-19.7K	0.14	22.67	N/A	N/A	241	34	11,516	3,172
2007-10-09	$10.17	$10.00	72.7%	21.5%	71.6%	90.0%	75.6%	0.0%	-7.7%	102.1K	-4.2M	-20.8K	0.14	20.40	N/A	N/A	342	49	11,697	3,189
2007-10-10	$10.08	$10.00	71.3%	22.5%	71.1%	87.3%	80.8%	-0.0%	-10.1%	101.8K	-4.1M	-20.8K	0.10	20.31	N/A	N/A	407	40	11,728	3,214
2007-10-11	$10.50	$10.00	78.3%	22.4%	71.4%	100.0%	77.8%	1.7%	-8.4%	111.3K	-5.1M	-21.5K	0.05	31.54	N/A	N/A	3,070	146	11,952	3,217
2007-10-12	$10.95	$10.00	79.1%	22.7%	72.0%	100.0%	77.8%	0.2%	-8.5%	140.2K	-7.0M	-24.1K	0.06	20.76	N/A	N/A	972	58	13,399	3,311
2007-10-15	$10.61	$10.00	81.3%	23.3%	73.3%	100.0%	84.2%	0.9%	-9.3%	144.5K	-6.5M	-23.8K	0.03	22.16	N/A	N/A	1,344	38	13,732	3,332
2007-10-16	$10.30	$10.00	78.6%	22.5%	75.0%	94.8%	78.0%	4.6%	-6.8%	146.1K	-5.6M	-23.1K	0.08	29.23	N/A	N/A	705	54	13,774	3,346
2007-10-17	$10.34	$10.00	74.1%	21.2%	74.8%	86.5%	73.4%	0.7%	-4.1%	168.4K	-5.7M	-23.1K	0.84	19.77	N/A	N/A	608	510	13,979	3,383
2007-10-18	$10.40	$10.00	76.2%	21.9%	74.8%	90.5%	76.3%	1.8%	-4.8%	135.1K	-5.7M	-23.1K	0.03	25.97	N/A	N/A	289	10	13,746	3,834
2007-10-19	$9.68	$10.00	77.4%	22.2%	53.9%	92.6%	77.8%	5.6%	-3.4%	119.1K	-3.1M	-21.2K	0.16	24.13	N/A	N/A	459	74	13,639	3,834
2007-10-22	$9.97	$10.00	71.8%	20.6%	55.0%	82.2%	71.9%	5.3%	-1.8%	86.1K	-3.7M	-21.3K	0.10	23.91	N/A	N/A	1,244	124	11,989	3,416
2007-10-23	$10.15	$10.00	68.5%	19.7%	49.2%	76.1%	69.1%	-15.3%	-2.0%	103.6K	-4.5M	-22.4K	0.04	11.35	N/A	N/A	530	23	12,815	3,484
2007-10-24	$11.99	$10.00	73.2%	21.0%	77.1%	84.9%	77.5%	2.1%	-0.4%	120.8K	-8.8M	-25.4K	0.05	13.67	N/A	N/A	2,912	156	12,875	3,497
2007-10-25	$12.63	$10.00	69.6%	20.0%	77.4%	78.2%	68.8%	3.6%	0.8%	144.8K	-11.3M	-28.0K	0.12	15.91	N/A	N/A	3,297	408	14,158	3,552
2007-10-26	$12.31	$10.00	68.8%	19.7%	76.5%	76.7%	67.6%	-1.6%	1.1%	148.5K	-10.3M	-28.1K	0.18	27.55	N/A	N/A	1,419	254	14,426	3,627
2007-10-29	$12.92	$10.00	74.1%	21.2%	77.6%	86.4%	69.9%	2.2%	-2.6%	149.8K	-12.0M	-27.7K	0.13	21.48	N/A	N/A	863	112	14,426	3,627
2007-10-30	$13.47	$10.00	72.2%	20.7%	77.2%	82.9%	71.2%	-6.2%	0.1%	153.3K	-13.5M	-28.4K	0.14	19.60	N/A	N/A	1,214	171	14,744	3,740
2007-10-31	$13.80	$10.00	70.6%	20.2%	76.2%	80.0%	71.0%	-0.5%	-0.2%	154.3K	-14.9M	-28.5K	0.13	19.65	N/A	N/A	1,025	129	15,224	3,666