CYD Options History — March 2016

In March 2016, CYD traded between $9.75 and $10.51. ATM implied volatility averaged 42.9%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 7.0% (HV 20d: 35.9%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.64.

Notable Days

2016-03-07: Highest Volume — 151 contracts
2016-03-09: Largest IV drop — 26.9% change
2016-03-08: Highest IV Rank — 30.4%
2016-03-28: Largest Expected Move — 14.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.04	$9.75	$10.51	$9.83	$9.85
Max Pain	$10.00	$10.00	$10.00	$10.00	$10.00
ATM IV	42.9%	34.7%	54.7%	47.0%	44.5%
Expected Move	11.8%	9.9%	14.9%	13.5%	12.8%
HV 20d	35.9%	30.0%	41.4%	41.4%	30.1%
HV 60d	35.2%	33.3%	36.0%	33.7%	35.9%
IV Rank	19.7%	12.3%	30.4%	23.4%	21.2%
IV Percentile	62.9%	30.6%	93.7%	81.0%	71.0%
Term Structure	1.7%	-10.9%	9.8%	-3.8%	-4.6%
VWIV	41.5%	34.6%	52.3%	46.8%	44.6%
Skew 25d	22.9%	-3.7%	72.5%	-3.0%	6.2%
Skew 10d	39.0%	-6.5%	114.3%	-5.7%	8.8%
Call IV 25d	39.8%	29.4%	50.2%	50.2%	47.8%
Put IV 25d	62.7%	41.0%	110.4%	47.2%	53.9%
Bid-Ask Spread %	66.01	29.42	96.78	84.37	39.27
Gamma HHI	0.53	0.44	0.61	0.48	0.61
Net GEX	-829	-1.7K	-38	-122	-1.7K
Net DEX	-8.3K	-34.4K	7.1K	-8.0K	5.8K
Net VEX	-556	-606	-499	-544	-499
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.64	0.36	1.25	0.36	0.54
Total Volume	119.955	65	151	124	83
Total OI	319.727	281	332	281	332

Daily Data (22 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
2016-03-01	$9.83	$10.00	47.0%	13.5%	41.4%	23.4%	46.8%	-3.0%	-3.8%	-122	-8.0K	-544	0.36	84.37	N/A	N/A	91	33	150	131
2016-03-02	$9.85	$10.00	42.6%	12.2%	39.6%	19.4%	42.7%	-3.7%	-1.1%	-38	-9.2K	-542	0.58	59.48	N/A	N/A	91	53	150	131
2016-03-03	$9.94	$10.00	44.4%	11.8%	39.6%	21.1%	41.1%	4.5%	3.0%	-604	2.3K	-551	0.58	81.30	N/A	N/A	91	53	150	151
2016-03-04	$10.45	$10.00	48.9%	11.8%	38.3%	25.2%	41.3%	11.2%	5.6%	-592	-22.0K	-583	0.55	60.33	N/A	N/A	97	53	150	151
2016-03-07	$10.51	$10.00	50.1%	11.7%	38.1%	26.3%	40.9%	13.2%	6.7%	-157	-34.4K	-581	0.56	61.93	N/A	N/A	97	54	158	151
2016-03-08	$10.33	$10.00	54.7%	11.7%	35.1%	30.4%	40.8%	51.4%	1.4%	-731	-17.7K	-606	0.56	96.78	N/A	N/A	97	54	158	162
2016-03-09	$9.97	$10.00	40.0%	11.5%	37.7%	17.1%	39.5%	15.9%	3.7%	-539	-14.4K	-581	0.62	85.60	N/A	N/A	87	54	158	162
2016-03-10	$10.08	$10.00	39.6%	11.4%	37.6%	16.7%	39.7%	3.0%	4.3%	-539	-13.5K	-593	0.62	87.32	N/A	N/A	87	54	168	162
2016-03-11	$10.21	$10.00	37.1%	10.6%	36.8%	14.5%	37.1%	6.8%	7.2%	-430	-22.2K	-606	0.62	64.27	N/A	N/A	87	54	168	162
2016-03-14	$10.22	$10.00	40.2%	11.5%	36.4%	17.3%	40.2%	54.6%	4.3%	-152	-22.9K	-579	0.62	63.64	N/A	N/A	87	54	168	162
2016-03-15	$10.07	$10.00	37.4%	10.7%	36.5%	14.8%	37.4%	54.6%	5.8%	-106	-14.8K	-567	0.62	29.42	N/A	N/A	87	54	168	162
2016-03-16	$10.17	$10.00	36.5%	10.5%	36.2%	13.9%	36.5%	56.1%	5.4%	-93	-15.6K	-559	0.52	70.68	N/A	N/A	87	45	168	162
2016-03-17	$10.07	$10.00	36.4%	10.4%	36.4%	13.8%	36.4%	61.4%	3.1%	-342	-11.9K	-575	0.52	63.63	N/A	N/A	87	45	168	163
2016-03-18	$9.85	$10.00	34.7%	9.9%	37.3%	12.3%	34.6%	72.5%	7.1%	-1.5K	5.6K	-527	0.61	67.92	N/A	N/A	82	50	163	163
2016-03-21	$10.13	$10.00	39.8%	11.4%	38.3%	16.9%	44.3%	71.4%	9.8%	-1.6K	1.7K	-541	0.59	75.79	N/A	N/A	76	45	157	163
2016-03-22	$10.04	$10.00	35.6%	10.2%	36.3%	13.1%	35.5%	7.6%	6.1%	-1.4K	-10.4K	-555	0.59	57.87	N/A	N/A	76	45	162	163
2016-03-23	$9.88	$10.00	42.2%	12.1%	35.5%	19.1%	42.2%	4.0%	-2.8%	-1.4K	890	-528	1.25	88.71	N/A	N/A	36	45	162	163
2016-03-24	$9.75	$10.00	45.2%	13.0%	31.6%	21.8%	45.3%	6.0%	-2.2%	-1.3K	7.1K	-539	0.81	53.16	N/A	N/A	36	29	162	163
2016-03-28	$9.83	$10.00	52.1%	14.9%	30.2%	28.1%	52.3%	8.7%	-10.9%	-1.6K	5.9K	-527	0.81	59.76	N/A	N/A	36	29	162	167
2016-03-29	$9.90	$10.00	44.7%	12.8%	30.0%	21.3%	44.7%	-1.8%	-2.3%	-1.7K	6.4K	-523	0.81	39.83	N/A	N/A	36	29	162	167
2016-03-30	$9.93	$10.00	49.1%	14.1%	30.0%	25.4%	49.2%	3.8%	-8.8%	-1.7K	-533	-525	0.66	61.16	N/A	N/A	44	29	162	167
2016-03-31	$9.85	$10.00	44.5%	12.8%	30.1%	21.2%	44.6%	6.2%	-4.6%	-1.7K	5.8K	-499	0.54	39.27	N/A	N/A	54	29	165	167