CSV Options History — September 2013

In September 2013, CSV traded between $17.69 and $19.40. ATM implied volatility averaged 35.4%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 10.2% (HV 20d: 25.2%). Max pain ranged from $17.50 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 0.58.

Notable Days

2013-09-06: Highest Volume — 191 contracts
2013-09-06: Largest IV drop — 41.2% change
2013-09-16: Highest IV Rank — 15.4%
2013-09-09: Largest Expected Move — 12.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.68	$17.69	$19.40	$17.72	$19.40
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	35.4%	23.1%	41.9%	37.3%	33.8%
Expected Move	10.6%	9.2%	12.4%	10.7%	9.7%
HV 20d	25.2%	20.1%	31.1%	25.5%	21.5%
HV 60d	30.4%	26.9%	34.8%	32.9%	27.3%
IV Rank	10.3%	0.5%	15.4%	11.7%	9.0%
IV Percentile	43.7%	0.5%	74.4%	51.8%	36.3%
Term Structure	3.0%	-3.7%	6.9%	3.0%	6.4%
VWIV	39.0%	33.9%	44.6%	42.1%	33.9%
Skew 25d	8.3%	-1.3%	48.6%	4.5%	-1.3%
Skew 10d	15.5%	0.5%	84.1%	7.7%	9.7%
Call IV 25d	33.8%	29.5%	37.3%	33.3%	32.2%
Put IV 25d	42.1%	30.9%	84.9%	37.9%	30.9%
Bid-Ask Spread %	69.15	15.43	104.37	99.17	90.82
Gamma HHI	0.48	0.38	0.59	0.53	0.42
Net GEX	20.2K	10.2K	30.2K	11.6K	30.2K
Net DEX	-1.4M	-1.8M	-923.6K	-994.9K	-1.8M
Net VEX	-5.0K	-6.4K	-4.3K	-6.2K	-4.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.58	0.00	5.14	0.63	0.00
Total Volume	45.2	0	191	26	109
Total OI	2,288.45	2,024	2,414	2,359	2,211

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
2013-09-03	$17.72	$17.50	37.3%	10.7%	25.5%	11.7%	0.0%	4.5%	3.0%	11.6K	-994.9K	-6.2K	0.63	99.17	16	10	1,465	894
2013-09-04	$17.69	$17.50	39.3%	11.3%	24.8%	13.4%	0.0%	48.6%	4.3%	10.2K	-923.6K	-6.4K	0.00	99.03	40	0	1,474	904
2013-09-05	$17.77	$17.50	39.3%	11.3%	23.9%	13.4%	0.0%	5.9%	2.7%	11.9K	-985.7K	-6.2K	0.00	42.06	10	0	1,505	904
2013-09-06	$18.78	$17.50	23.1%	9.5%	31.1%	0.5%	42.1%	10.7%	6.5%	17.6K	-1.5M	-5.6K	0.00	44.33	191	0	1,510	904
2013-09-09	$18.74	$17.50	30.5%	12.4%	31.1%	6.4%	39.5%	7.9%	-3.7%	17.5K	-1.5M	-5.2K	0.00	87.40	94	0	1,465	904
2013-09-10	$18.81	$17.50	37.5%	10.5%	29.0%	11.9%	0.0%	7.4%	3.1%	20.1K	-1.5M	-5.2K	0.00	93.23	0	0	1,492	904
2013-09-11	$18.80	$17.50	26.9%	10.8%	28.2%	3.5%	0.0%	7.3%	-0.5%	20.9K	-1.5M	-5.4K	0.00	88.52	19	0	1,492	904
2013-09-12	$18.81	$17.50	36.7%	10.5%	28.2%	11.3%	42.3%	7.1%	4.2%	20.6K	-1.5M	-5.2K	0.00	22.10	11	0	1,473	904
2013-09-13	$18.79	$17.50	35.6%	10.2%	27.0%	10.5%	0.0%	8.8%	-1.4%	18.4K	-1.5M	-5.2K	0.00	104.37	0	0	1,473	904
2013-09-16	$18.75	$17.50	41.9%	12.0%	26.8%	15.4%	40.9%	8.7%	4.3%	19.9K	-1.5M	-5.1K	1.33	78.52	15	20	1,473	904
2013-09-17	$18.81	$17.50	35.0%	10.0%	25.4%	9.9%	37.9%	4.8%	5.2%	20.9K	-1.5M	-4.9K	1.70	58.80	20	34	1,473	914
2013-09-18	$18.85	$17.50	36.6%	10.5%	25.4%	11.2%	37.1%	8.6%	0.6%	22.6K	-1.5M	-4.7K	0.00	15.43	30	0	1,483	900
2013-09-19	$18.89	$17.50	37.5%	10.8%	25.0%	12.0%	44.6%	8.3%	1.5%	21.7K	-1.5M	-4.4K	0.00	56.91	0	15	1,404	870
2013-09-20	$18.78	$17.50	37.4%	10.7%	24.6%	11.9%	34.9%	-1.0%	4.0%	19.5K	-1.5M	-4.3K	5.14	94.27	7	36	1,404	870
2013-09-23	$18.85	$17.50	36.0%	10.3%	22.8%	10.8%	0.0%	7.3%	2.8%	22.3K	-1.4M	-4.3K	0.20	100.56	20	4	1,309	715
2013-09-24	$18.78	$17.50	36.1%	10.3%	22.9%	10.8%	0.0%	3.2%	2.6%	22.7K	-1.4M	-4.4K	0.00	62.18	0	0	1,329	719
2013-09-25	$18.74	$17.50	40.1%	11.5%	20.8%	14.0%	0.0%	4.1%	2.6%	22.9K	-1.4M	-4.3K	0.00	28.43	93	0	1,329	719
2013-09-26	$18.89	$17.50	35.2%	10.1%	20.6%	10.1%	0.0%	6.8%	5.2%	26.0K	-1.5M	-4.6K	0.00	28.40	24	0	1,408	719
2013-09-27	$18.91	$17.50	32.1%	9.2%	20.1%	7.6%	37.0%	7.3%	6.9%	27.1K	-1.5M	-4.6K	0.23	88.55	70	16	1,422	719
2013-09-30	$19.40	$17.50	33.8%	9.7%	21.5%	9.0%	33.9%	-1.3%	6.4%	30.2K	-1.8M	-4.4K	0.00	90.82	109	0	1,492	719