CYD Options History — February 2008

In February 2008, CYD traded between $7.50 and $8.72. ATM implied volatility averaged 66.6%, placing in the 42.6% IV rank vs the trailing year. The 30-day expected move averaged 20.4%. IV traded above realized volatility by 8.1% (HV 20d: 58.5%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.84.

Notable Days

2008-02-29: Highest Volume — 1,960 contracts
2008-02-13: Largest IV spike — 77.5% change
2008-02-01: Highest IV Rank — 68.7%
2008-02-06: Largest Expected Move — 24.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.20	$7.50	$8.72	$8.21	$8.72
Max Pain	$8.75	$7.50	$10.00	$10.00	$10.00
ATM IV	66.6%	35.1%	84.3%	84.3%	38.8%
Expected Move	20.4%	11.1%	24.7%	24.2%	11.1%
HV 20d	58.5%	46.5%	67.6%	58.2%	46.5%
HV 60d	54.1%	51.9%	56.9%	54.0%	51.9%
IV Rank	42.6%	0.0%	68.7%	68.7%	4.8%
IV Percentile	62.1%	0.0%	95.6%	95.6%	3.2%
Term Structure	3.8%	-6.6%	30.4%	-3.1%	30.4%
VWIV	70.9%	51.9%	86.0%	79.8%	54.1%
Skew 25d	-0.0%	-28.4%	25.2%	-28.4%	-2.0%
Skew 10d	8.4%	-32.5%	44.7%	-32.5%	-14.2%
Call IV 25d	70.6%	39.7%	119.1%	119.1%	68.1%
Put IV 25d	70.6%	59.0%	98.6%	90.7%	66.1%
Bid-Ask Spread %	29.84	13.89	59.48	13.89	42.10
Gamma HHI	0.44	0.36	0.56	0.53	0.41
Net GEX	6.4K	34	16.5K	5.1K	7.0K
Net DEX	1.0M	388.3K	1.8M	1.3M	388.3K
Net VEX	-12.1K	-13.6K	-10.0K	-10.0K	-13.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.84	0.00	8.95	0.00	8.95
Total Volume	402.6	12	1,960	156	1,960
Total OI	14,432.15	9,263	19,225	17,482	10,198

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
2008-02-01	$8.21	$10.00	84.3%	24.2%	58.2%	68.7%	0.0%	-28.4%	-3.1%	5.1K	1.3M	-10.0K	0.00	13.89	N/A	N/A	156	0	12,022	5,460
2008-02-04	$8.49	$7.50	80.0%	23.2%	58.8%	61.9%	79.8%	1.7%	-3.8%	5.4K	1.1M	-10.3K	3.81	28.59	N/A	N/A	113	430	12,092	5,280
2008-02-05	$7.78	$7.50	78.7%	23.3%	65.3%	60.2%	0.0%	-9.0%	-2.6%	16.5K	1.6M	-11.0K	3.03	40.93	N/A	N/A	31	94	12,108	5,638
2008-02-06	$7.50	$7.50	77.8%	24.7%	66.0%	59.1%	86.0%	20.6%	-6.6%	11.1K	1.8M	-10.3K	0.04	50.18	N/A	N/A	233	9	12,129	5,722
2008-02-07	$7.66	$7.50	72.5%	23.3%	66.8%	51.2%	80.6%	-11.5%	-3.8%	13.0K	1.8M	-10.6K	0.20	18.72	N/A	N/A	221	45	12,341	5,717
2008-02-08	$7.80	$7.50	65.8%	23.1%	66.3%	40.9%	81.0%	-7.4%	-4.8%	13.7K	1.5M	-10.8K	0.72	21.70	N/A	N/A	250	180	12,406	5,583
2008-02-11	$7.69	$7.50	78.2%	22.0%	66.3%	57.5%	76.9%	-9.6%	-3.6%	15.1K	1.6M	-10.5K	5.90	59.48	N/A	N/A	96	566	12,626	5,685
2008-02-12	$7.96	$7.50	35.1%	21.9%	67.6%	0.0%	83.9%	-6.0%	-0.2%	8.0K	1.2M	-11.5K	0.24	16.23	N/A	N/A	249	59	12,676	5,989
2008-02-13	$8.25	$7.50	62.4%	21.7%	65.0%	36.5%	72.6%	0.7%	5.1%	7.0K	1.0M	-12.2K	0.14	14.94	N/A	N/A	159	23	12,816	6,014
2008-02-14	$8.27	$7.50	74.6%	21.4%	64.9%	52.8%	74.6%	-1.2%	0.9%	6.6K	1.1M	-12.1K	3.69	38.57	N/A	N/A	85	314	12,817	6,018
2008-02-15	$8.23	$7.50	74.7%	21.4%	61.2%	53.0%	74.0%	1.1%	-0.3%	2.7K	1.1M	-12.7K	2.63	18.50	N/A	N/A	323	848	12,895	6,330
2008-02-19	$8.30	$10.00	67.1%	19.2%	61.1%	42.9%	66.0%	-1.9%	7.0%	401	760.1K	-12.9K	0.49	21.05	N/A	N/A	299	146	4,464	4,799
2008-02-20	$8.32	$10.00	65.1%	18.7%	57.2%	40.1%	51.9%	25.2%	6.8%	269	783.1K	-13.1K	0.36	43.21	N/A	N/A	148	54	4,613	4,935
2008-02-21	$8.35	$10.00	64.1%	18.4%	55.4%	38.8%	61.7%	2.1%	8.5%	742	738.3K	-13.2K	0.00	17.69	N/A	N/A	12	0	4,706	4,963
2008-02-22	$8.12	$10.00	60.2%	17.3%	49.8%	33.6%	60.3%	0.8%	12.0%	34	922.4K	-12.5K	5.83	19.08	N/A	N/A	12	70	4,704	4,963
2008-02-25	$8.46	$10.00	65.8%	18.9%	51.5%	41.1%	59.4%	6.6%	6.5%	635	685.1K	-13.2K	0.14	28.63	N/A	N/A	278	38	4,716	5,033
2008-02-26	$8.57	$10.00	64.6%	18.5%	47.7%	39.4%	0.0%	6.8%	5.6%	3.9K	521.4K	-13.5K	0.37	29.62	N/A	N/A	268	98	4,966	5,042
2008-02-27	$8.66	$10.00	59.7%	17.1%	47.6%	32.9%	0.0%	5.5%	12.9%	5.6K	447.3K	-13.4K	0.19	38.11	N/A	N/A	108	20	5,064	4,962
2008-02-28	$8.67	$10.00	62.7%	18.0%	46.7%	37.0%	54.1%	5.9%	8.7%	5.8K	432.5K	-13.6K	0.00	35.59	N/A	N/A	57	0	5,169	4,982
2008-02-29	$8.72	$10.00	38.8%	11.1%	46.5%	4.8%	0.0%	-2.0%	30.4%	7.0K	388.3K	-13.3K	8.95	42.10	N/A	N/A	197	1,763	5,216	4,982