CSV Options History — December 2012

Name: CSV Options Analytics - December 2012
Creator: Options Analysis Suite

In December 2012, CSV traded between $11.07 and $11.91. ATM implied volatility averaged 38.6%. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 19.0% (HV 20d: 19.7%). Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.00.

Notable Days

2012-12-03: Highest Volume — 40 contracts
2012-12-31: Largest IV spike — 219.0% change
2012-12-31: Largest Expected Move — 26.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.44	$11.07	$11.91	$11.14	$11.87
ATM IV	38.6%	27.9%	93.5%	35.2%	93.5%
Expected Move	10.2%	8.0%	26.8%	10.1%	26.8%
HV 20d	19.7%	17.0%	27.8%	27.8%	18.3%
HV 60d	34.1%	33.6%	34.7%	34.7%	33.6%
Term Structure	-2.2%	-28.1%	10.5%	-7.6%	-28.1%
Skew 25d	2.6%	-2.5%	6.8%	2.9%	4.1%
Skew 10d	3.2%	-2.5%	20.8%	1.2%	18.8%
Call IV 25d	33.1%	27.1%	71.5%	36.3%	71.5%
Put IV 25d	35.8%	27.3%	75.6%	39.1%	75.6%
Bid-Ask Spread %	116.00	112.28	151.38	112.66	151.38
Gamma HHI	0.51	0.36	1.00	0.61	0.45
Net GEX	738	350	1.3K	490	996
Net DEX	-84.4K	-116.3K	-36.3K	-36.3K	-113.9K
Net VEX	-118	-203	-36	-70	-203
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.00	0.00	0.00	0.00	0.00
Total Volume	3.85	0	40	40	0
Total OI	84.6	40	117	40	117

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	Spread %	Call Vol	Call OI
2012-12-03	$11.14	$0.00	35.2%	10.1%	27.8%	0.0%	0.0%	2.9%	-7.6%	490	-36.3K	-70	112.66	40	40
2012-12-04	$11.17	$0.00	42.2%	12.1%	24.3%	0.0%	0.0%	1.5%	-12.9%	700	-77.5K	-122	116.16	0	80
2012-12-05	$11.07	$0.00	41.8%	12.0%	23.8%	0.0%	0.0%	-1.2%	-11.4%	670	-76.5K	-133	116.78	0	80
2012-12-06	$11.12	$0.00	40.6%	11.6%	20.2%	0.0%	0.0%	2.8%	-11.8%	701	-76.4K	-131	115.35	0	80
2012-12-07	$11.14	$0.00	41.5%	8.8%	19.2%	0.0%	0.0%	2.7%	9.9%	653	-77.2K	-122	113.99	0	80
2012-12-10	$11.19	$0.00	49.4%	9.0%	19.2%	0.0%	0.0%	1.9%	4.4%	712	-77.9K	-116	114.38	0	80
2012-12-11	$11.35	$0.00	46.5%	8.2%	19.7%	0.0%	0.0%	4.3%	1.4%	676	-79.9K	-119	114.02	0	80
2012-12-12	$11.29	$0.00	43.8%	8.1%	19.8%	0.0%	0.0%	0.8%	0.3%	638	-79.0K	-119	114.02	0	80
2012-12-13	$11.24	$0.00	32.0%	9.2%	19.4%	0.0%	0.0%	0.3%	2.5%	667	-79.1K	-120	113.50	0	80
2012-12-14	$11.42	$0.00	30.0%	8.6%	19.2%	0.0%	0.0%	4.9%	1.5%	696	-81.1K	-107	113.29	0	80
2012-12-17	$11.50	$0.00	30.8%	8.8%	17.6%	0.0%	0.0%	-2.5%	0.2%	700	-83.1K	-96	115.03	0	80
2012-12-18	$11.79	$0.00	33.2%	9.5%	17.5%	0.0%	0.0%	6.8%	4.2%	735	-86.8K	-81	112.45	0	80
2012-12-19	$11.91	$0.00	27.9%	8.0%	17.0%	0.0%	0.0%	3.8%	0.4%	654	-87.8K	-88	113.91	0	80
2012-12-20	$11.87	$0.00	30.6%	8.8%	17.1%	0.0%	0.0%	-2.5%	10.5%	350	-90.3K	-36	113.03	7	80
2012-12-21	$11.56	$0.00	28.1%	8.1%	20.1%	0.0%	0.0%	3.9%	5.2%	721	-87.3K	-111	112.28	0	87
2012-12-24	$11.52	$0.00	32.7%	9.4%	19.4%	0.0%	0.0%	6.7%	-3.3%	772	-84.9K	-123	116.40	0	87
2012-12-26	$11.43	$0.00	31.0%	8.9%	18.2%	0.0%	0.0%	2.1%	-3.6%	760	-84.0K	-132	113.45	30	87
2012-12-27	$11.53	$0.00	32.5%	9.3%	18.4%	0.0%	0.0%	4.4%	-3.6%	1.3K	-111.9K	-180	114.45	0	117
2012-12-28	$11.65	$0.00	29.3%	8.4%	17.3%	0.0%	0.0%	4.9%	-2.8%	1.2K	-116.3K	-160	113.43	0	117
2012-12-31	$11.87	$0.00	93.5%	26.8%	18.3%	0.0%	0.0%	4.1%	-28.1%	996	-113.9K	-203	151.38	0	117