CYD Options History — March 2009 In March 2009, CYD traded between $3.36 and $5.47. ATM implied volatility averaged 95.2%, placing in the 46.3% IV rank vs the trailing year. The 30-day expected move averaged 26.6%. IV traded below realized volatility by 22.3% (HV 20d: 117.5%). Max pain ranged from $2.50 to $5.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 2.61.
Notable Days 2009-03-23 : Highest Volume — 605 contracts2009-03-05 : Largest IV spike — 43.7% change2009-03-11 : Highest IV Rank — 70.8%2009-03-09 : Largest Expected Move — 31.0%Monthly Statistics Metric Avg Min Max Open Close Price $4.26 $3.36 $5.47 $3.69 $4.73 Max Pain $3.64 $2.50 $5.00 $5.00 $2.50 ATM IV 95.2% 61.6% 128.5% 94.5% 96.6% Expected Move 26.6% 17.7% 31.0% 27.1% 27.7% HV 20d 117.5% 96.4% 136.0% 96.4% 115.2% HV 60d 97.6% 86.2% 107.5% 86.2% 104.4% IV Rank 46.3% 21.6% 70.8% 45.8% 47.4% IV Percentile 68.9% 37.7% 90.9% 70.6% 71.0% Term Structure 9.6% -21.8% 36.6% -21.8% 8.7% VWIV 92.2% 78.3% 96.6% 78.3% 96.6% Skew 25d 10.6% -8.5% 35.4% 35.4% -8.5% Skew 10d 19.0% 0.3% 67.2% 67.2% 0.3% Call IV 25d 98.4% 83.9% 106.9% 85.9% 99.3% Put IV 25d 109.1% 88.4% 122.1% 121.3% 90.8% Bid-Ask Spread % 24.14 11.04 47.19 12.15 24.83 Gamma HHI 0.46 0.35 0.85 0.46 0.42 Net GEX 384 -164 3.5K -114 646 Net DEX 108.5K -91.4K 262.4K 168.0K 54.6K Net VEX -1.5K -2.5K -486 -1.2K -2.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.61 0.00 30.00 1.06 0.60 Total Volume 88.409 0 605 214 80 Total OI 2,742.364 2,458 3,258 2,458 3,253
Daily Data (22 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 2009-03-02 $3.69 $5.00 94.5% 27.1% 96.4% 45.8% 0.0% 35.4% -21.8% -114 168.0K -1.2K 1.06 12.15 N/A N/A 104 110 1,224 1,234 2009-03-03 $3.36 $5.00 87.4% 25.1% 101.0% 40.6% 0.0% 5.3% -17.4% 409 262.4K -486 0.00 16.02 N/A N/A 32 0 1,322 1,263 2009-03-04 $3.85 $5.00 61.6% 17.7% 113.9% 21.6% 0.0% 15.3% 36.3% 46 143.0K -1.3K 2.67 11.04 N/A N/A 15 40 1,331 1,263 2009-03-05 $3.74 $5.00 88.6% 25.4% 114.0% 41.4% 0.0% 24.6% -12.6% -25 170.4K -1.3K 0.00 18.83 N/A N/A 0 0 1,346 1,303 2009-03-06 $3.56 $5.00 111.8% 29.1% 114.6% 58.6% 0.0% 8.9% 26.6% -19 178.3K -1.2K 0.00 37.45 N/A N/A 0 0 1,346 1,303 2009-03-09 $3.50 $5.00 116.0% 31.0% 114.0% 61.7% 0.0% 16.6% 30.6% -164 190.0K -1.1K 0.00 38.25 N/A N/A 21 0 1,346 1,303 2009-03-10 $3.70 $5.00 111.8% 28.4% 116.3% 58.5% 0.0% 10.0% 36.6% 10 174.5K -1.2K 0.00 45.71 N/A N/A 0 0 1,338 1,303 2009-03-11 $3.75 $5.00 128.5% 30.5% 116.2% 70.8% 0.0% 12.2% 6.3% 40 171.0K -1.2K 30.00 47.19 N/A N/A 1 30 1,338 1,288 2009-03-12 $3.88 $5.00 83.1% 23.8% 117.0% 37.4% 0.0% 12.8% 11.2% 53 163.8K -1.3K 0.00 18.88 N/A N/A 10 0 1,339 1,288 2009-03-13 $3.90 $5.00 93.6% 26.8% 116.3% 45.2% 78.3% 9.4% 7.2% 96 163.8K -1.3K 0.00 24.41 N/A N/A 10 0 1,349 1,288 2009-03-16 $3.99 $2.50 94.4% 27.1% 114.7% 45.7% 95.6% 31.8% 7.2% 132 157.2K -1.3K 1.00 24.86 N/A N/A 1 1 1,359 1,288 2009-03-17 $4.25 $2.50 91.9% 26.3% 110.9% 43.9% 0.0% 13.2% 6.6% 175 137.4K -1.3K 3.75 21.59 N/A N/A 16 60 1,360 1,287 2009-03-18 $4.27 $2.50 90.0% 25.8% 110.7% 42.5% 0.0% 8.7% 12.4% 325 115.7K -1.4K 0.00 23.06 N/A N/A 13 0 1,375 1,267 2009-03-19 $4.09 $2.50 96.2% 27.6% 104.8% 47.0% 0.0% 5.7% 7.0% 231 135.6K -1.3K 0.00 27.63 N/A N/A 8 0 1,365 1,267 2009-03-20 $5.08 $2.50 92.2% 26.4% 126.7% 44.1% 0.0% 17.7% 11.0% 3.5K -47.0K -1.5K 0.88 18.94 N/A N/A 34 30 1,365 1,257 2009-03-23 $5.47 $2.50 96.4% 27.6% 127.6% 47.2% 96.5% 2.9% 6.4% 344 -91.4K -1.7K 0.80 17.96 N/A N/A 337 268 1,280 1,218 2009-03-24 $4.90 $2.50 96.6% 27.7% 135.7% 47.4% 96.6% -1.0% 5.3% 743 -40.9K -1.7K 7.98 16.53 N/A N/A 44 351 1,388 1,212 2009-03-25 $5.14 $2.50 95.9% 27.5% 136.0% 46.9% 95.9% 1.8% 9.0% -106 17.8K -2.4K 0.55 21.90 N/A N/A 122 67 1,428 1,563 2009-03-26 $5.05 $2.50 89.4% 25.6% 136.0% 42.1% 89.4% 1.5% 14.3% 193 14.1K -2.5K 0.36 16.71 N/A N/A 56 20 1,550 1,630 2009-03-27 $4.82 $2.50 93.2% 26.7% 126.3% 44.8% 0.0% -0.7% 14.6% 640 25.1K -2.5K 0.00 18.54 N/A N/A 16 0 1,597 1,650 2009-03-30 $4.98 $2.50 84.7% 24.3% 119.5% 38.6% 89.0% 0.0% 5.6% 1.3K 122.9K -2.1K 0.00 28.66 N/A N/A 48 0 1,608 1,650 2009-03-31 $4.73 $2.50 96.6% 27.7% 115.2% 47.4% 96.6% -8.5% 8.7% 646 54.6K -2.3K 0.60 24.83 N/A N/A 50 30 1,603 1,650
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