CYD Options History — February 2012

In February 2012, CYD traded between $15.84 and $17.07. ATM implied volatility averaged 39.5%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 12.4% (HV 20d: 27.1%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.09.

Notable Days

2012-02-29: Highest Volume — 991 contracts
2012-02-09: Largest IV spike — 48.7% change
2012-02-23: Highest IV Rank — 28.4%
2012-02-23: Largest Expected Move — 13.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.48	$15.84	$17.07	$15.84	$16.87
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	39.5%	28.9%	47.4%	37.8%	37.7%
Expected Move	11.9%	9.4%	13.6%	10.8%	10.8%
HV 20d	27.1%	22.6%	30.6%	23.2%	30.5%
HV 60d	32.5%	29.5%	35.5%	35.5%	29.5%
IV Rank	15.8%	0.0%	28.4%	11.9%	13.5%
IV Percentile	8.8%	0.0%	26.6%	2.0%	4.4%
Term Structure	1.8%	-4.5%	18.6%	6.9%	-4.5%
VWIV	42.1%	23.9%	48.1%	23.9%	40.5%
Skew 25d	3.6%	-10.7%	15.3%	11.5%	-10.7%
Skew 10d	16.1%	-6.6%	91.5%	91.5%	-6.6%
Call IV 25d	39.0%	25.0%	48.3%	26.7%	36.8%
Put IV 25d	42.6%	26.2%	51.8%	38.2%	26.2%
Bid-Ask Spread %	98.03	71.69	103.84	71.69	101.75
Gamma HHI	0.60	0.36	0.89	0.58	0.62
Net GEX	361	-100.6K	81.5K	-26.1K	70.6K
Net DEX	901.6K	-846.7K	2.2M	2.2M	-696.9K
Net VEX	-6.3K	-7.3K	-4.7K	-6.3K	-6.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.09	0.00	4.80	0.59	0.11
Total Volume	220.1	5	991	27	991
Total OI	5,179.95	2,375	6,860	6,043	3,072

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
2012-02-01	$15.84	$17.50	37.8%	10.8%	23.2%	11.9%	23.9%	11.5%	6.9%	-26.1K	2.2M	-6.3K	0.59	71.69	N/A	N/A	17	10	2,757	3,286
2012-02-02	$16.12	$17.50	32.9%	9.4%	23.0%	4.2%	0.0%	15.3%	18.6%	-36.4K	1.9M	-6.5K	4.00	84.44	N/A	N/A	1	4	2,764	3,296
2012-02-03	$16.53	$17.50	34.1%	11.7%	24.0%	6.0%	41.4%	5.1%	4.0%	-54.0K	1.4M	-7.3K	0.00	98.61	N/A	N/A	292	0	2,764	3,298
2012-02-06	$16.42	$17.50	34.0%	12.3%	23.2%	6.0%	40.1%	3.4%	4.1%	-39.5K	1.5M	-7.0K	0.00	100.31	N/A	N/A	16	0	3,042	3,298
2012-02-07	$16.35	$17.50	30.3%	12.6%	22.9%	0.1%	43.7%	3.2%	0.1%	-39.5K	1.6M	-6.4K	0.68	100.24	N/A	N/A	22	15	3,046	3,298
2012-02-08	$16.27	$17.50	28.9%	11.5%	22.6%	0.0%	43.6%	0.5%	-2.0%	-28.1K	1.9M	-5.7K	4.71	100.53	N/A	N/A	14	66	3,061	3,298
2012-02-09	$16.12	$17.50	43.0%	12.3%	22.9%	21.6%	42.8%	0.7%	4.6%	-26.4K	1.8M	-6.3K	4.80	97.75	N/A	N/A	10	48	3,063	3,300
2012-02-10	$16.06	$17.50	43.6%	12.5%	23.0%	22.5%	41.7%	2.9%	1.8%	-49	2.1M	-4.7K	0.32	101.78	N/A	N/A	28	9	3,073	3,252
2012-02-13	$16.92	$17.50	47.3%	13.5%	28.7%	28.1%	47.1%	7.4%	3.1%	-100.6K	1.3M	-5.5K	0.08	102.48	N/A	N/A	665	54	3,057	3,261
2012-02-14	$16.81	$17.50	46.9%	13.5%	28.7%	27.6%	46.2%	1.4%	1.5%	-60.5K	1.3M	-6.4K	0.82	103.84	N/A	N/A	62	51	3,541	3,224
2012-02-15	$16.40	$17.50	41.6%	11.9%	30.4%	19.5%	48.1%	-1.7%	4.0%	-9.9K	1.7M	-6.0K	1.22	102.20	N/A	N/A	102	124	3,538	3,270
2012-02-16	$16.53	$17.50	42.9%	12.3%	29.8%	21.4%	46.2%	6.9%	-0.3%	-9.7K	1.8M	-5.7K	0.83	98.43	N/A	N/A	155	128	3,559	3,258
2012-02-17	$16.55	$17.50	41.4%	11.9%	29.6%	19.1%	44.3%	7.6%	6.2%	31.1K	1.7M	-5.7K	2.19	98.84	N/A	N/A	53	116	3,684	3,176
2012-02-21	$16.60	$17.50	44.4%	12.7%	29.6%	23.7%	45.1%	4.3%	-4.5%	30.7K	-346.0K	-5.9K	0.03	98.39	N/A	N/A	390	12	1,596	779
2012-02-22	$16.44	$17.50	42.5%	12.2%	29.8%	20.8%	42.6%	1.6%	-1.8%	50.5K	-508.0K	-6.4K	0.02	98.64	N/A	N/A	214	5	1,976	791
2012-02-23	$16.31	$17.50	47.4%	13.6%	29.9%	28.4%	44.9%	0.1%	-2.9%	49.8K	-528.1K	-6.9K	0.00	100.72	N/A	N/A	32	0	2,163	789
2012-02-24	$16.27	$17.50	40.8%	11.7%	28.6%	18.2%	43.0%	5.5%	-2.5%	51.3K	-403.1K	-6.4K	0.39	95.82	N/A	N/A	83	32	2,161	789
2012-02-27	$17.05	$17.50	39.0%	11.2%	30.6%	15.5%	39.7%	-3.6%	-0.0%	72.9K	-846.7K	-6.8K	0.04	100.86	N/A	N/A	537	20	2,158	806
2012-02-28	$17.07	$17.50	33.5%	9.6%	30.6%	7.0%	35.0%	10.2%	-0.1%	81.5K	-831.1K	-6.8K	1.00	103.31	N/A	N/A	12	12	2,229	826
2012-02-29	$16.87	$17.50	37.7%	10.8%	30.5%	13.5%	40.5%	-10.7%	-4.5%	70.6K	-696.9K	-6.6K	0.11	101.75	N/A	N/A	891	100	2,238	834