CYD Options History — June 2012

In June 2012, CYD traded between $12.03 and $13.79. ATM implied volatility averaged 40.7%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded below realized volatility by 1.4% (HV 20d: 42.1%). Max pain ranged from $12.10 to $14.60. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.91.

Notable Days

2012-06-15: Highest Volume — 340 contracts
2012-06-13: Largest IV spike — 61.2% change
2012-06-13: Highest IV Rank — 43.6%
2012-06-15: Largest Expected Move — 14.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.87	$12.03	$13.79	$12.43	$13.67
Max Pain	$12.66	$12.10	$14.60	$12.50	$12.10
ATM IV	40.7%	22.2%	57.1%	49.9%	22.2%
Expected Move	11.4%	6.4%	14.6%	14.3%	6.4%
HV 20d	42.1%	29.0%	45.3%	41.9%	43.3%
HV 60d	34.4%	30.1%	37.4%	34.4%	36.5%
IV Rank	19.5%	0.0%	43.6%	32.7%	0.0%
IV Percentile	23.5%	0.0%	62.3%	43.7%	0.0%
Term Structure	10.1%	-4.5%	27.5%	27.5%	19.7%
VWIV	37.2%	19.6%	55.2%	37.6%	19.6%
Skew 25d	8.3%	-14.5%	32.1%	29.9%	8.3%
Skew 10d	3.9%	-23.7%	21.5%	14.4%	3.7%
Call IV 25d	34.8%	21.6%	53.1%	35.8%	21.6%
Put IV 25d	43.1%	29.9%	65.8%	65.8%	29.9%
Bid-Ask Spread %	107.63	98.69	119.34	110.79	111.13
Gamma HHI	0.45	0.40	0.58	0.41	0.42
Net GEX	658	-6.7K	6.8K	960	2.1K
Net DEX	676.0K	106.7K	1.0M	792.7K	179.3K
Net VEX	-4.4K	-5.0K	-3.7K	-4.8K	-4.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.91	0.00	26.33	0.36	0.00
Total Volume	61.714	0	340	38	6
Total OI	2,909.143	2,776	3,080	2,833	2,776

Daily Data (21 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
2012-06-01	$12.43	$12.50	49.9%	14.3%	41.9%	32.7%	37.6%	29.9%	27.5%	960	792.7K	-4.8K	0.36	110.79	N/A	N/A	28	10	1,381	1,452
2012-06-04	$12.20	$12.50	46.7%	13.2%	42.1%	27.8%	0.0%	-3.3%	-2.2%	142	1.0M	-4.1K	0.78	119.34	N/A	N/A	46	36	1,353	1,462
2012-06-05	$12.03	$12.50	49.4%	11.1%	42.2%	31.9%	0.0%	-3.6%	11.7%	1.4K	1.0M	-4.1K	0.00	117.69	N/A	N/A	0	40	1,393	1,484
2012-06-06	$12.42	$12.50	54.2%	14.0%	44.4%	39.3%	49.0%	-6.6%	1.0%	864	944.5K	-4.4K	0.50	114.55	N/A	N/A	10	5	1,393	1,514
2012-06-07	$12.35	$12.50	41.0%	12.0%	44.1%	19.2%	42.1%	1.5%	3.7%	3.0K	1.0M	-4.1K	0.20	107.96	N/A	N/A	50	10	1,398	1,519
2012-06-08	$12.40	$12.50	46.3%	12.9%	44.1%	27.1%	44.6%	1.3%	3.4%	2.9K	1.0M	-4.1K	0.00	108.91	N/A	N/A	5	0	1,403	1,529
2012-06-11	$12.18	$12.50	44.4%	13.0%	44.3%	24.3%	55.2%	-14.5%	5.0%	3.2K	1.0M	-4.1K	0.61	99.88	N/A	N/A	49	30	1,403	1,529
2012-06-12	$12.33	$12.50	35.4%	11.9%	43.9%	10.6%	0.0%	7.1%	4.8%	6.8K	941.1K	-4.0K	0.00	109.98	N/A	N/A	56	0	1,440	1,447
2012-06-13	$12.24	$12.50	57.1%	13.7%	30.6%	43.6%	0.0%	3.2%	1.0%	6.0K	894.3K	-4.1K	0.00	102.49	N/A	N/A	0	0	1,472	1,447
2012-06-14	$12.12	$12.50	43.5%	12.5%	29.0%	22.9%	43.6%	11.0%	6.6%	6.8K	996.9K	-3.7K	26.33	102.49	N/A	N/A	6	158	1,472	1,447
2012-06-15	$13.16	$12.50	51.0%	14.6%	41.0%	34.3%	39.9%	32.1%	-4.5%	-3.4K	642.5K	-4.7K	0.33	104.39	N/A	N/A	256	84	1,475	1,605
2012-06-18	$12.99	$12.50	40.9%	11.7%	39.5%	19.0%	27.7%	9.3%	5.3%	-5.8K	681.7K	-4.7K	0.00	98.69	N/A	N/A	2	0	1,372	1,492
2012-06-19	$13.79	$12.50	31.9%	9.2%	44.5%	5.3%	0.0%	14.2%	20.4%	-2.9K	395.9K	-4.2K	0.00	107.90	N/A	N/A	124	0	1,374	1,492
2012-06-20	$13.75	$12.50	34.8%	10.0%	43.2%	9.7%	0.0%	4.8%	7.3%	343	359.2K	-5.0K	2.00	115.73	N/A	N/A	5	10	1,484	1,492
2012-06-21	$13.30	$12.50	33.9%	9.7%	45.2%	8.3%	27.7%	13.4%	17.3%	-6.7K	497.6K	-4.4K	0.00	100.61	N/A	N/A	38	0	1,488	1,482
2012-06-22	$13.24	$12.50	35.7%	10.2%	45.3%	11.1%	30.5%	13.8%	18.7%	-1.3K	520.8K	-4.7K	0.00	102.75	N/A	N/A	65	0	1,523	1,482
2012-06-25	$13.31	$12.50	42.4%	12.2%	45.2%	21.3%	0.0%	30.1%	26.2%	-495	517.1K	-4.7K	5.00	102.82	N/A	N/A	2	10	1,494	1,482
2012-06-26	$13.53	$12.10	31.6%	9.1%	44.2%	4.9%	31.8%	4.7%	10.4%	3.7K	106.7K	-4.8K	0.14	111.38	N/A	N/A	37	5	1,494	1,482
2012-06-27	$13.52	$14.60	25.6%	7.3%	43.0%	0.0%	34.5%	23.5%	24.5%	-950	282.5K	-4.8K	0.00	105.95	N/A	N/A	104	0	1,371	1,487
2012-06-28	$13.41	$14.60	36.3%	10.4%	43.0%	15.6%	0.0%	-5.8%	4.0%	-2.8K	361.6K	-4.5K	0.00	104.82	N/A	N/A	9	0	1,320	1,487
2012-06-29	$13.67	$12.10	22.2%	6.4%	43.3%	0.0%	19.6%	8.3%	19.7%	2.1K	179.3K	-4.5K	0.00	111.13	N/A	N/A	6	0	1,319	1,457