CSV Options History — March 2013

Name: CSV Options Analytics - March 2013
Creator: Options Analysis Suite

In March 2013, CSV traded between $17.96 and $21.25. ATM implied volatility averaged 34.1%. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 1.9% (HV 20d: 36.0%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.08.

Notable Days

2013-03-01: Highest Volume — 222 contracts
2013-03-11: Largest IV spike — 68.8% change
2013-03-11: Largest Expected Move — 11.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.71	$17.96	$21.25	$17.96	$21.25
Max Pain	$15.75	$15.00	$17.50	$15.00	$17.50
ATM IV	34.1%	25.5%	58.4%	27.7%	29.8%
Expected Move	9.3%	6.4%	11.3%	7.9%	8.6%
HV 20d	36.0%	25.1%	41.0%	41.0%	25.1%
HV 60d	41.7%	41.4%	42.4%	41.4%	42.0%
Term Structure	1.8%	-2.4%	7.3%	1.8%	6.1%
VWIV	33.0%	24.2%	44.1%	44.1%	31.1%
Skew 25d	5.4%	-14.2%	31.7%	-2.8%	-0.7%
Skew 10d	32.4%	-19.8%	91.2%	5.9%	3.0%
Call IV 25d	30.2%	22.5%	40.9%	32.2%	30.9%
Put IV 25d	35.6%	24.6%	65.5%	29.4%	30.3%
Bid-Ask Spread %	90.27	60.14	110.48	110.48	77.93
Gamma HHI	0.45	0.32	0.85	0.85	0.32
Net GEX	9.7K	5.2K	12.7K	5.5K	12.0K
Net DEX	-752.3K	-993.8K	-609.5K	-993.8K	-960.1K
Net VEX	-1.2K	-1.5K	-741	-916	-1.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.08	0.00	0.33	0.00	0.11
Total Volume	49.55	0	222	222	4
Total OI	554.3	464	694	694	647

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 Vol	Put Vol	Call OI	Put OI
2013-03-01	$17.96	$15.00	27.7%	7.9%	41.0%	0.0%	44.1%	-2.8%	1.8%	5.5K	-993.8K	-916	0.00	110.48	222	0	612	82
2013-03-04	$18.35	$15.00	25.6%	8.6%	41.0%	0.0%	24.2%	31.4%	1.3%	6.1K	-690.4K	-741	0.00	107.82	54	0	425	82
2013-03-05	$18.91	$15.00	26.8%	6.4%	40.7%	0.0%	30.4%	0.6%	7.3%	5.4K	-679.4K	-901	0.20	108.25	20	4	413	82
2013-03-06	$19.09	$15.00	28.5%	10.3%	40.7%	0.0%	27.7%	-9.7%	-2.3%	5.7K	-682.2K	-908	0.08	97.73	13	1	415	86
2013-03-07	$19.40	$15.00	25.5%	8.7%	40.5%	0.0%	26.3%	-14.2%	0.8%	5.3K	-719.2K	-978	0.33	106.91	6	2	428	87
2013-03-08	$19.40	$15.00	27.1%	9.8%	40.7%	0.0%	35.2%	-2.3%	-2.4%	5.2K	-720.3K	-927	0.02	99.93	169	3	430	89
2013-03-11	$19.40	$15.00	45.7%	11.3%	40.9%	0.0%	42.2%	-2.4%	-1.5%	10.7K	-679.4K	-1.3K	0.00	102.31	5	0	470	92
2013-03-12	$19.40	$15.00	52.6%	9.5%	38.5%	0.0%	0.0%	-2.1%	2.3%	11.7K	-685.1K	-1.3K	0.00	109.27	0	0	475	92
2013-03-13	$19.33	$15.00	58.4%	9.5%	38.6%	0.0%	36.5%	-2.3%	2.4%	11.9K	-676.8K	-1.3K	0.00	109.81	35	0	475	92
2013-03-14	$19.61	$15.00	33.7%	9.7%	38.3%	0.0%	32.8%	7.3%	2.3%	11.8K	-648.6K	-1.2K	0.00	78.24	16	0	441	92
2013-03-15	$19.25	$15.00	33.3%	9.6%	39.8%	0.0%	33.3%	4.9%	1.3%	11.9K	-637.8K	-1.3K	0.00	79.48	50	0	453	92
2013-03-18	$19.42	$15.00	33.2%	9.5%	39.4%	0.0%	32.5%	5.1%	0.7%	9.2K	-609.5K	-1.1K	0.00	78.39	44	0	405	59
2013-03-19	$19.61	$15.00	34.5%	9.9%	38.0%	0.0%	33.5%	6.5%	0.0%	10.8K	-668.8K	-1.3K	0.01	76.80	119	1	449	59
2013-03-20	$20.52	$15.00	34.0%	9.8%	31.7%	0.0%	33.9%	7.5%	0.9%	11.5K	-775.6K	-1.2K	0.23	82.59	35	8	467	60
2013-03-21	$20.38	$17.50	33.2%	9.5%	32.1%	0.0%	31.1%	7.6%	2.7%	12.0K	-779.4K	-1.4K	0.28	83.31	25	7	487	68
2013-03-22	$20.15	$17.50	31.7%	9.1%	28.5%	0.0%	31.7%	5.7%	4.0%	12.7K	-781.2K	-1.5K	0.00	82.46	2	0	509	75
2013-03-25	$20.76	$17.50	33.3%	9.5%	29.3%	0.0%	32.3%	31.7%	3.0%	11.8K	-847.6K	-1.4K	0.13	60.14	46	6	509	75
2013-03-26	$20.97	$17.50	33.3%	9.5%	28.2%	0.0%	33.5%	27.5%	2.7%	11.4K	-890.5K	-1.4K	0.00	85.62	34	0	521	81
2013-03-27	$21.12	$17.50	34.1%	9.8%	26.5%	0.0%	33.8%	9.2%	2.6%	10.9K	-920.4K	-1.4K	0.11	67.98	54	6	529	81
2013-03-28	$21.25	$17.50	29.8%	8.6%	25.1%	0.0%	31.1%	-0.7%	6.1%	12.0K	-960.1K	-1.5K	0.00	77.93	0	4	560	87