CYD Options History — December 2012

In December 2012, CYD traded between $15.24 and $16.00. ATM implied volatility averaged 27.3%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 5.8% (HV 20d: 21.6%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.70.

Notable Days

2012-12-13: Highest Volume — 120 contracts
2012-12-26: Largest IV spike — 49.5% change
2012-12-21: Highest IV Rank — 22.4%
2012-12-21: Largest Expected Move — 9.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.66	$15.24	$16.00	$15.24	$15.77
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	27.3%	21.1%	32.7%	32.0%	26.8%
Expected Move	8.0%	6.1%	9.4%	9.2%	7.7%
HV 20d	21.6%	15.4%	31.2%	31.0%	20.3%
HV 60d	27.9%	27.4%	28.5%	28.4%	27.6%
IV Rank	12.7%	1.4%	22.4%	21.2%	11.6%
IV Percentile	8.7%	0.4%	25.8%	18.7%	6.3%
Term Structure	1.8%	-5.0%	14.0%	-2.9%	8.2%
VWIV	28.7%	28.7%	28.7%	28.7%	28.7%
Skew 25d	13.0%	-2.1%	57.1%	34.8%	8.7%
Skew 10d	42.7%	5.9%	122.3%	64.1%	9.4%
Call IV 25d	22.6%	18.5%	29.1%	25.5%	21.3%
Put IV 25d	35.6%	20.0%	82.2%	60.3%	29.9%
Bid-Ask Spread %	65.57	18.05	109.91	68.14	18.05
Gamma HHI	0.36	0.31	0.46	0.35	0.31
Net GEX	2.5K	-10.3K	13.2K	61	10.8K
Net DEX	-600.9K	-751.1K	-373.1K	-373.1K	-610.2K
Net VEX	-2.9K	-3.2K	-2.7K	-3.2K	-2.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.70	0.00	5.00	5.00	0.00
Total Volume	19.5	0	120	25	2
Total OI	1,406.45	1,248	1,506	1,370	1,308

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
2012-12-03	$15.24	$15.00	32.0%	9.2%	31.0%	21.2%	0.0%	34.8%	-2.9%	61	-373.1K	-3.2K	0.00	68.14	N/A	N/A	0	25	790	580
2012-12-04	$15.48	$15.00	28.2%	8.1%	31.2%	14.3%	0.0%	16.8%	1.8%	-3.4K	-454.2K	-3.1K	5.00	27.50	N/A	N/A	4	20	790	595
2012-12-05	$15.48	$15.00	26.9%	7.7%	31.2%	11.9%	0.0%	16.8%	3.4%	-2.9K	-471.4K	-3.2K	0.00	87.66	N/A	N/A	0	0	794	605
2012-12-06	$15.65	$15.00	27.6%	7.9%	29.7%	13.1%	0.0%	10.9%	6.1%	-3.1K	-512.4K	-3.2K	0.29	41.02	N/A	N/A	21	6	794	605
2012-12-07	$15.80	$15.00	21.2%	8.2%	24.0%	1.6%	28.7%	5.6%	0.7%	83	-640.0K	-3.0K	0.00	96.69	N/A	N/A	4	0	815	605
2012-12-10	$16.00	$15.00	25.1%	8.7%	23.9%	8.6%	0.0%	12.7%	-4.2%	2.0K	-709.2K	-2.8K	0.00	89.06	N/A	N/A	13	0	813	605
2012-12-11	$15.80	$15.00	29.0%	8.1%	18.5%	15.7%	0.0%	9.1%	2.6%	-554	-665.2K	-2.9K	0.48	41.12	N/A	N/A	21	10	826	605
2012-12-12	$15.94	$15.00	25.4%	6.7%	17.9%	9.3%	0.0%	2.6%	0.7%	2.5K	-733.6K	-2.8K	0.00	49.34	N/A	N/A	0	3	844	615
2012-12-13	$15.69	$15.00	28.3%	8.1%	19.4%	14.4%	0.0%	34.0%	1.4%	319	-647.1K	-2.9K	0.00	53.71	N/A	N/A	120	0	844	618
2012-12-14	$15.68	$15.00	27.0%	7.7%	18.5%	12.0%	0.0%	7.7%	5.0%	438	-674.2K	-3.0K	0.00	95.59	N/A	N/A	28	0	864	618
2012-12-17	$15.89	$15.00	30.2%	8.7%	18.5%	17.8%	0.0%	11.7%	-5.0%	4.9K	-751.1K	-2.7K	2.00	49.67	N/A	N/A	10	20	866	618
2012-12-18	$15.80	$15.00	29.3%	8.4%	15.4%	16.3%	0.0%	17.8%	-2.0%	2.6K	-694.9K	-2.8K	0.00	38.43	N/A	N/A	3	0	864	638
2012-12-19	$15.72	$15.00	29.6%	8.5%	15.7%	16.8%	0.0%	6.6%	-1.2%	2.1K	-698.4K	-2.8K	0.00	105.90	N/A	N/A	10	0	864	638
2012-12-20	$15.33	$15.00	28.0%	8.0%	18.6%	13.9%	0.0%	2.2%	4.3%	-10.3K	-517.7K	-3.0K	2.00	104.61	N/A	N/A	3	6	862	638
2012-12-21	$15.49	$15.00	32.7%	9.4%	18.1%	22.4%	0.0%	57.1%	-2.3%	-5.4K	-555.8K	-2.8K	0.00	39.97	N/A	N/A	1	0	862	644
2012-12-24	$15.84	$15.00	21.1%	6.1%	18.8%	1.4%	0.0%	3.0%	14.0%	12.3K	-633.9K	-2.7K	0.00	109.91	N/A	N/A	0	20	813	435
2012-12-26	$15.53	$15.00	31.6%	9.1%	20.3%	20.4%	0.0%	4.4%	-0.8%	13.2K	-558.2K	-2.8K	0.00	105.05	N/A	N/A	10	0	813	455
2012-12-27	$15.55	$15.00	21.9%	6.3%	20.1%	2.8%	0.0%	-2.1%	5.4%	13.2K	-560.7K	-2.8K	0.00	45.43	N/A	N/A	0	30	823	455
2012-12-28	$15.57	$15.00	24.9%	7.1%	20.1%	8.3%	0.0%	-0.3%	1.4%	11.6K	-557.1K	-2.9K	0.00	44.55	N/A	N/A	0	0	823	485
2012-12-31	$15.77	$15.00	26.8%	7.7%	20.3%	11.6%	0.0%	8.7%	8.2%	10.8K	-610.2K	-2.7K	0.00	18.05	N/A	N/A	2	0	823	485