CYD Options History — January 2016

In January 2016, CYD traded between $8.60 and $10.77. ATM implied volatility averaged 54.7%, placing in the 43.3% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded above realized volatility by 27.2% (HV 20d: 27.5%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.50.

Notable Days

2016-01-14: Highest Volume — 1,649 contracts
2016-01-12: Largest IV spike — 94.5% change
2016-01-12: Highest IV Rank — 100.0%
2016-01-13: Largest Expected Move — 18.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.38	$8.60	$10.77	$10.77	$9.19
Max Pain	$10.00	$10.00	$10.00	$10.00	$10.00
ATM IV	54.7%	38.6%	131.6%	59.8%	44.7%
Expected Move	14.4%	11.1%	18.2%	14.3%	12.8%
HV 20d	27.5%	18.9%	33.6%	20.1%	33.6%
HV 60d	25.3%	22.8%	26.8%	23.9%	26.4%
IV Rank	43.3%	15.9%	100.0%	81.5%	21.3%
IV Percentile	87.8%	61.5%	100.0%	99.6%	82.1%
Term Structure	-1.9%	-13.5%	12.8%	-3.5%	1.9%
VWIV	50.2%	41.3%	61.1%	50.4%	44.9%
Skew 25d	6.5%	-3.5%	23.0%	23.0%	4.9%
Skew 10d	14.0%	-5.8%	86.9%	86.9%	-0.7%
Call IV 25d	48.8%	41.9%	56.4%	50.8%	45.1%
Put IV 25d	55.3%	43.1%	73.8%	73.8%	49.9%
Bid-Ask Spread %	83.63	24.19	109.59	94.09	107.34
Gamma HHI	0.92	0.84	0.99	0.85	0.95
Net GEX	27.0K	11.7K	41.3K	40.4K	23.5K
Net DEX	-346.7K	-1.2M	243.8K	-1.2M	-142.3K
Net VEX	-2.1K	-3.6K	-926	-3.5K	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.50	0.05	1.44	0.09	0.34
Total Volume	395.895	132	1,649	414	190
Total OI	2,037.895	1,274	2,817	2,668	1,346

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
2016-01-04	$10.77	$10.00	59.8%	14.3%	20.1%	81.5%	50.4%	23.0%	-3.5%	40.4K	-1.2M	-3.5K	0.09	94.09	N/A	N/A	381	33	2,219	449
2016-01-05	$10.73	$10.00	42.3%	14.5%	18.9%	44.5%	50.6%	1.1%	-4.7%	39.1K	-1.2M	-3.5K	0.09	55.10	N/A	N/A	388	33	2,219	449
2016-01-06	$10.53	$10.00	53.9%	15.2%	18.9%	69.0%	53.8%	-0.5%	-7.8%	37.9K	-1.1M	-3.5K	0.20	98.60	N/A	N/A	388	78	2,232	449
2016-01-07	$10.11	$10.00	56.2%	16.4%	22.7%	74.0%	59.2%	-3.5%	-12.6%	35.8K	-911.0K	-3.6K	0.19	68.62	N/A	N/A	402	78	2,232	499
2016-01-08	$10.07	$10.00	51.7%	15.3%	22.4%	64.5%	53.3%	-2.8%	-5.3%	41.3K	-718.2K	-3.4K	0.22	99.36	N/A	N/A	353	78	2,214	498
2016-01-11	$9.80	$10.00	67.7%	16.6%	23.6%	98.0%	57.1%	-2.2%	-10.6%	37.8K	-714.5K	-3.3K	0.80	97.89	N/A	N/A	98	78	2,214	498
2016-01-12	$9.26	$10.00	131.6%	16.6%	29.1%	100.0%	56.2%	-0.5%	-9.9%	37.4K	-421.6K	-2.9K	0.81	43.75	N/A	N/A	98	79	2,268	498
2016-01-13	$8.97	$10.00	63.6%	18.2%	29.9%	38.5%	61.1%	11.0%	-13.5%	32.6K	-350.0K	-2.8K	0.81	59.73	N/A	N/A	98	79	2,268	499
2016-01-14	$8.88	$10.00	44.6%	12.8%	29.4%	21.2%	49.6%	5.3%	1.0%	33.8K	5.2K	-2.2K	0.05	92.78	N/A	N/A	1,570	79	2,268	549
2016-01-15	$8.77	$10.00	51.6%	14.8%	27.1%	27.6%	56.3%	7.9%	-5.3%	11.9K	193.4K	-1.3K	0.05	106.83	N/A	N/A	1,570	79	1,105	549
2016-01-19	$8.75	$10.00	57.6%	16.5%	27.2%	33.0%	46.6%	14.9%	1.5%	13.2K	239.7K	-1.1K	1.44	86.81	N/A	N/A	54	78	1,097	549
2016-01-20	$8.60	$10.00	56.3%	16.1%	27.1%	31.8%	53.7%	7.6%	6.3%	11.7K	243.8K	-1.1K	1.44	58.98	N/A	N/A	54	78	1,109	549
2016-01-21	$8.69	$10.00	47.1%	13.5%	27.7%	23.5%	47.5%	5.5%	12.8%	13.3K	-45.1K	-926	0.75	24.19	N/A	N/A	104	78	1,109	165
2016-01-22	$9.04	$10.00	40.7%	11.7%	33.0%	17.7%	43.5%	21.6%	6.0%	18.8K	-108.6K	-1.1K	0.75	104.16	N/A	N/A	104	78	1,159	149
2016-01-25	$9.03	$10.00	38.6%	11.1%	32.9%	15.9%	41.4%	0.5%	-1.2%	19.5K	-97.7K	-1.1K	0.37	64.32	N/A	N/A	104	38	1,159	149
2016-01-26	$9.05	$10.00	44.3%	12.7%	33.1%	21.0%	44.5%	10.3%	1.1%	20.6K	-120.9K	-1.1K	0.27	109.58	N/A	N/A	142	38	1,159	139
2016-01-27	$8.96	$10.00	43.5%	12.5%	32.9%	20.3%	41.3%	9.4%	4.4%	22.4K	-116.1K	-1.1K	0.34	109.59	N/A	N/A	142	48	1,209	139
2016-01-28	$9.00	$10.00	42.9%	12.3%	32.5%	19.8%	43.6%	9.7%	4.0%	21.3K	-103.8K	-1.1K	0.46	107.17	N/A	N/A	104	48	1,209	149
2016-01-29	$9.19	$10.00	44.7%	12.8%	33.6%	21.3%	44.9%	4.9%	1.9%	23.5K	-142.3K	-1.1K	0.34	107.34	N/A	N/A	142	48	1,197	149