CYD Options History — April 2012

In April 2012, CYD traded between $14.17 and $15.91. ATM implied volatility averaged 44.7%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 15.5% (HV 20d: 29.1%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.07.

Notable Days

2012-04-16: Highest Volume — 260 contracts
2012-04-12: Largest IV spike — 54.2% change
2012-04-16: Highest IV Rank — 38.6%
2012-04-09: Largest Expected Move — 15.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.69	$14.17	$15.91	$15.91	$14.17
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	44.7%	30.5%	53.8%	36.9%	51.5%
Expected Move	13.5%	8.9%	15.8%	10.6%	14.8%
HV 20d	29.1%	19.6%	42.0%	42.0%	19.6%
HV 60d	33.8%	33.0%	34.3%	33.6%	33.0%
IV Rank	24.7%	3.2%	38.6%	12.8%	35.1%
IV Percentile	30.3%	1.6%	51.2%	9.1%	46.4%
Term Structure	-4.1%	-13.8%	16.3%	16.3%	-8.0%
VWIV	48.0%	30.3%	59.0%	46.4%	51.5%
Skew 25d	-1.5%	-13.1%	11.0%	-3.0%	6.6%
Skew 10d	10.5%	-11.0%	78.6%	78.6%	14.4%
Call IV 25d	47.3%	33.4%	57.3%	40.2%	49.2%
Put IV 25d	45.7%	29.6%	55.7%	37.1%	55.7%
Bid-Ask Spread %	97.79	77.61	109.16	96.69	100.59
Gamma HHI	0.39	0.30	0.56	0.50	0.39
Net GEX	13.4K	-1.1K	26.0K	26.0K	3.1K
Net DEX	1.1M	405.2K	1.4M	405.2K	1.2M
Net VEX	-5.2K	-6.7K	-4.4K	-6.7K	-4.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.07	0.00	12.37	0.00	0.00
Total Volume	86.15	5	260	55	7
Total OI	4,673.05	4,378	5,128	4,462	4,649

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
2012-04-02	$15.91	$17.50	36.9%	10.6%	42.0%	12.8%	0.0%	-3.0%	16.3%	26.0K	405.2K	-6.7K	0.00	96.69	N/A	N/A	55	0	2,890	1,572
2012-04-03	$15.72	$17.50	32.5%	9.3%	38.2%	6.2%	0.0%	-13.1%	8.3%	24.3K	515.3K	-6.3K	0.10	104.17	N/A	N/A	10	1	2,943	1,572
2012-04-04	$15.35	$17.50	36.6%	10.5%	39.0%	12.5%	46.4%	-0.4%	9.5%	19.5K	771.8K	-5.6K	0.00	99.04	N/A	N/A	59	0	2,949	1,573
2012-04-05	$15.21	$17.50	31.2%	8.9%	37.1%	4.2%	0.0%	-2.6%	12.9%	22.4K	656.0K	-6.3K	0.00	109.16	N/A	N/A	5	0	2,988	1,573
2012-04-09	$15.01	$17.50	37.9%	15.8%	36.8%	14.4%	43.0%	-10.0%	-12.5%	19.8K	884.7K	-5.4K	1.54	94.45	N/A	N/A	13	20	2,983	1,573
2012-04-10	$14.52	$17.50	37.8%	15.2%	37.3%	14.3%	56.7%	-7.7%	-11.0%	16.2K	1.0M	-5.1K	0.13	95.76	N/A	N/A	97	13	2,986	1,586
2012-04-11	$14.44	$17.50	30.5%	13.9%	30.0%	3.2%	46.7%	-0.7%	-6.3%	12.6K	1.2M	-4.4K	0.03	103.90	N/A	N/A	105	3	2,989	1,599
2012-04-12	$14.66	$17.50	47.0%	13.5%	30.9%	28.3%	46.2%	3.1%	-3.4%	16.7K	1.1M	-4.6K	1.21	89.56	N/A	N/A	80	97	3,039	1,599
2012-04-13	$14.50	$17.50	48.5%	13.9%	26.0%	30.5%	48.5%	-6.1%	-7.0%	12.9K	1.3M	-4.7K	0.00	96.91	N/A	N/A	65	0	3,114	1,686
2012-04-16	$14.44	$17.50	53.8%	15.4%	25.6%	38.6%	30.4%	7.4%	-10.0%	17.1K	1.2M	-4.9K	3.73	101.19	N/A	N/A	55	205	3,167	1,686
2012-04-17	$14.67	$17.50	49.4%	14.2%	27.0%	31.9%	49.9%	-1.4%	-7.4%	24.6K	1.1M	-5.0K	12.37	94.11	N/A	N/A	19	235	3,222	1,651
2012-04-18	$14.52	$17.50	50.1%	14.4%	25.4%	32.9%	59.0%	-6.2%	-8.3%	15.0K	1.4M	-5.4K	0.33	95.31	N/A	N/A	60	20	3,241	1,865
2012-04-19	$14.50	$17.50	48.9%	14.0%	25.4%	31.2%	48.4%	-4.9%	-9.2%	8.5K	1.4M	-5.2K	0.65	95.28	N/A	N/A	80	52	3,234	1,877
2012-04-20	$14.65	$17.50	50.4%	14.4%	26.1%	33.4%	53.4%	0.3%	-10.1%	21.4K	1.3M	-5.4K	0.67	77.61	N/A	N/A	15	10	3,259	1,869
2012-04-23	$14.40	$17.50	50.0%	14.3%	25.5%	32.8%	50.0%	-2.4%	-9.4%	-1.1K	1.2M	-4.7K	0.00	97.34	N/A	N/A	104	0	2,728	1,650
2012-04-24	$14.27	$17.50	48.1%	13.8%	25.5%	29.9%	30.3%	5.9%	0.4%	150	1.2M	-4.7K	0.00	99.59	N/A	N/A	32	0	2,832	1,650
2012-04-25	$14.17	$17.50	48.1%	13.8%	24.0%	29.9%	50.7%	-1.8%	-5.0%	600	1.3M	-4.5K	0.00	102.91	N/A	N/A	45	0	2,862	1,650
2012-04-26	$14.30	$17.50	53.0%	15.2%	20.7%	37.3%	56.1%	-4.3%	-13.8%	3.6K	1.2M	-4.7K	0.00	101.53	N/A	N/A	83	0	2,899	1,650
2012-04-27	$14.31	$17.50	51.4%	14.7%	20.7%	34.9%	48.7%	11.0%	-8.4%	4.1K	1.1M	-4.9K	0.70	100.77	N/A	N/A	46	32	2,962	1,644
2012-04-30	$14.17	$17.50	51.5%	14.8%	19.6%	35.1%	51.5%	6.6%	-8.0%	3.1K	1.2M	-4.6K	0.00	100.59	N/A	N/A	7	0	2,988	1,661