CYD Options History — February 2014

In February 2014, CYD traded between $20.02 and $24.30. ATM implied volatility averaged 42.5%, placing in the 45.9% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded below realized volatility by 1.7% (HV 20d: 44.2%). Max pain ranged from $19.60 to $20.00. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 1.37.

Notable Days

2014-02-27: Highest Volume — 398 contracts
2014-02-26: Largest IV drop — 24.7% change
2014-02-24: Highest IV Rank — 58.5%
2014-02-24: Largest Expected Move — 14.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.11	$20.02	$24.30	$20.52	$21.46
Max Pain	$19.92	$19.60	$20.00	$19.60	$20.00
ATM IV	42.5%	35.3%	49.4%	45.5%	39.2%
Expected Move	12.5%	10.1%	14.2%	13.1%	11.2%
HV 20d	44.2%	35.6%	49.9%	44.7%	49.8%
HV 60d	39.8%	36.0%	42.5%	40.4%	42.5%
IV Rank	45.9%	32.6%	58.5%	51.5%	39.8%
IV Percentile	76.5%	42.1%	92.1%	88.1%	67.5%
Term Structure	-1.5%	-7.7%	11.0%	3.1%	-3.9%
VWIV	45.2%	35.9%	55.6%	44.0%	39.5%
Skew 25d	6.0%	0.5%	13.8%	6.6%	0.8%
Skew 10d	13.2%	-6.6%	23.0%	21.8%	-6.6%
Call IV 25d	42.8%	32.9%	46.7%	43.7%	42.1%
Put IV 25d	48.7%	40.2%	52.5%	50.3%	42.9%
Bid-Ask Spread %	77.34	60.11	96.50	96.50	83.89
Gamma HHI	0.34	0.21	0.67	0.22	0.46
Net GEX	16.6K	-38.7K	107.3K	2.7K	-38.7K
Net DEX	-258.0K	-2.3M	828.3K	413.6K	828.3K
Net VEX	-7.9K	-8.8K	-6.9K	-8.6K	-8.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.37	0.00	10.00	0.00	0.00
Total Volume	78.263	0	398	8	19
Total OI	3,356.211	1,939	3,891	3,532	2,528

Daily Data (19 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
2014-02-03	$20.52	$19.60	45.5%	13.1%	44.7%	51.5%	0.0%	6.6%	3.1%	2.7K	413.6K	-8.6K	0.00	96.50	N/A	N/A	8	0	1,736	1,796
2014-02-04	$20.02	$19.60	44.0%	12.6%	44.8%	48.7%	44.0%	5.8%	1.2%	-9.6K	698.7K	-8.3K	3.48	96.44	N/A	N/A	63	219	1,736	1,796
2014-02-05	$21.09	$19.60	37.3%	10.7%	42.6%	36.4%	36.1%	13.8%	11.0%	-632	253.7K	-8.8K	0.00	96.43	N/A	N/A	0	24	1,783	1,996
2014-02-06	$20.95	$19.60	39.2%	11.2%	42.2%	39.9%	37.6%	7.2%	7.5%	-2.7K	290.1K	-8.7K	0.00	94.49	N/A	N/A	69	0	1,783	1,998
2014-02-07	$21.14	$20.00	37.0%	13.0%	38.6%	35.8%	0.0%	4.9%	-1.8%	2.4K	141.2K	-8.8K	0.00	64.40	N/A	N/A	0	0	1,846	1,998
2014-02-10	$21.30	$20.00	40.9%	12.6%	36.2%	43.1%	44.0%	3.9%	-2.1%	10.1K	25.5K	-8.6K	0.00	60.11	N/A	N/A	20	0	1,846	1,998
2014-02-11	$21.38	$20.00	40.9%	12.9%	35.6%	43.1%	0.0%	3.8%	-3.5%	11.7K	-27.5K	-8.5K	0.29	65.00	N/A	N/A	17	5	1,866	1,998
2014-02-12	$21.50	$20.00	36.5%	12.7%	35.7%	34.9%	0.0%	3.3%	-2.7%	23.3K	-107.8K	-8.2K	0.00	64.50	N/A	N/A	5	0	1,855	1,993
2014-02-13	$22.80	$20.00	44.6%	12.8%	41.6%	49.9%	44.5%	6.5%	-3.2%	68.8K	-1.0M	-7.9K	1.25	70.77	N/A	N/A	24	30	1,855	1,993
2014-02-14	$22.63	$20.00	45.9%	13.2%	41.5%	52.3%	45.9%	7.5%	-3.9%	66.7K	-929.3K	-7.9K	0.00	65.90	N/A	N/A	91	0	1,856	2,019
2014-02-18	$24.30	$20.00	44.1%	12.6%	48.3%	48.9%	55.6%	3.2%	-3.0%	107.3K	-2.3M	-7.2K	1.14	70.76	N/A	N/A	49	56	1,872	2,019
2014-02-19	$23.62	$20.00	47.5%	13.6%	49.5%	55.0%	47.0%	10.4%	-4.9%	69.4K	-1.6M	-7.1K	10.00	76.37	N/A	N/A	3	30	1,868	2,012
2014-02-20	$23.54	$20.00	47.8%	13.7%	49.4%	55.6%	47.8%	8.2%	-3.9%	64.0K	-1.5M	-7.1K	0.77	74.70	N/A	N/A	13	10	1,855	1,948
2014-02-21	$23.33	$20.00	47.0%	13.5%	48.9%	54.2%	49.4%	5.5%	-3.2%	22.5K	-1.4M	-7.2K	0.13	73.60	N/A	N/A	126	17	1,868	1,958
2014-02-24	$23.86	$20.00	49.4%	14.2%	44.3%	58.5%	49.9%	7.9%	-7.7%	-17.4K	83.6K	-6.9K	0.00	74.48	N/A	N/A	40	0	518	1,421
2014-02-25	$23.05	$20.00	48.6%	13.9%	46.5%	57.2%	55.0%	6.4%	-5.9%	-17.5K	207.9K	-7.1K	1.54	72.69	N/A	N/A	26	40	558	1,421
2014-02-26	$22.05	$20.00	36.6%	10.5%	49.1%	35.1%	35.9%	0.5%	-0.7%	-21.7K	440.9K	-7.0K	0.89	82.24	N/A	N/A	45	40	584	1,461
2014-02-27	$21.50	$20.00	35.3%	10.1%	49.9%	32.6%	0.0%	7.2%	-0.9%	-24.3K	635.8K	-7.3K	3.85	86.13	N/A	N/A	82	316	629	1,501
2014-02-28	$21.46	$20.00	39.2%	11.2%	49.8%	39.8%	39.5%	0.8%	-3.9%	-38.7K	828.3K	-8.5K	0.00	83.89	N/A	N/A	19	0	711	1,817