CSV Options History — November 2013

In November 2013, CSV traded between $18.25 and $20.19. ATM implied volatility averaged 31.2%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 11.2% (HV 20d: 20.0%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.14.

Notable Days

2013-11-14: Highest Volume — 689 contracts
2013-11-12: Largest IV spike — 44.8% change
2013-11-25: Highest IV Rank — 20.6%
2013-11-01: Largest Expected Move — 10.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.09	$18.25	$20.19	$20.19	$18.77
Max Pain	$19.88	$17.50	$20.00	$17.50	$20.00
ATM IV	31.2%	20.7%	37.9%	37.4%	20.7%
Expected Move	9.7%	5.9%	10.7%	10.7%	5.9%
HV 20d	20.0%	13.4%	23.6%	21.3%	23.6%
HV 60d	22.7%	21.6%	23.4%	23.0%	23.3%
IV Rank	10.7%	0.0%	20.6%	14.4%	0.0%
IV Percentile	28.9%	0.0%	61.9%	56.7%	0.0%
Term Structure	1.8%	-2.0%	12.4%	1.3%	12.4%
VWIV	33.7%	29.2%	36.6%	36.2%	30.4%
Skew 25d	7.6%	-5.3%	66.8%	66.8%	12.7%
Skew 10d	18.6%	-1.8%	114.1%	114.1%	53.1%
Call IV 25d	30.3%	19.3%	35.7%	35.7%	19.3%
Put IV 25d	37.9%	29.4%	102.5%	102.5%	32.0%
Bid-Ask Spread %	95.93	84.01	103.29	102.83	103.29
Gamma HHI	0.42	0.37	0.51	0.45	0.39
Net GEX	35.2K	26.4K	43.0K	27.1K	40.3K
Net DEX	-2.4M	-3.1M	-2.0M	-2.1M	-3.1M
Net VEX	-4.8K	-7.2K	-2.8K	-3.1K	-7.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.14	0.00	1.00	0.00	0.00
Total Volume	120.05	0	689	2	100
Total OI	2,314.55	1,787	2,957	1,787	2,957

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
2013-11-01	$20.19	$17.50	37.4%	10.7%	21.3%	14.4%	0.0%	66.8%	1.3%	27.1K	-2.1M	-3.1K	0.00	102.83	2	0	1,313	474
2013-11-04	$20.00	$20.00	37.0%	10.4%	18.7%	14.1%	36.2%	-5.3%	-0.8%	28.4K	-2.1M	-2.8K	0.11	97.09	181	20	1,315	474
2013-11-05	$19.66	$20.00	37.9%	10.6%	19.4%	14.9%	0.0%	6.7%	0.1%	34.1K	-2.2M	-3.5K	0.00	95.51	30	0	1,489	494
2013-11-06	$19.53	$20.00	26.1%	10.3%	19.4%	3.5%	36.6%	9.4%	0.3%	35.2K	-2.2M	-3.6K	0.06	92.55	337	20	1,519	494
2013-11-07	$19.18	$20.00	23.6%	10.6%	17.6%	1.0%	0.0%	6.2%	0.1%	37.4K	-2.5M	-5.0K	0.00	92.17	0	0	1,824	514
2013-11-08	$19.30	$20.00	25.1%	10.6%	17.7%	2.5%	0.0%	9.3%	-0.4%	39.5K	-2.6M	-4.8K	0.00	96.26	0	0	1,824	514
2013-11-11	$19.42	$20.00	22.3%	10.3%	17.3%	0.0%	36.6%	5.6%	0.0%	41.8K	-2.6M	-4.4K	0.00	91.66	0	15	1,824	514
2013-11-12	$19.32	$20.00	32.3%	10.3%	17.2%	9.7%	0.0%	1.6%	-1.2%	41.0K	-2.6M	-4.2K	0.00	95.43	20	0	1,824	529
2013-11-13	$19.24	$20.00	31.8%	9.9%	17.1%	9.1%	0.0%	4.5%	0.6%	39.2K	-2.6M	-4.4K	1.00	93.87	10	10	1,834	529
2013-11-14	$19.06	$20.00	34.3%	9.8%	13.4%	11.5%	36.1%	4.3%	-0.4%	36.5K	-2.5M	-4.4K	0.02	94.22	674	15	1,819	529
2013-11-15	$19.50	$20.00	32.2%	9.2%	16.0%	13.8%	0.0%	8.6%	1.4%	43.0K	-2.3M	-3.3K	0.00	95.74	0	0	1,598	534
2013-11-18	$18.63	$20.00	33.5%	9.6%	21.5%	15.8%	31.1%	-0.3%	-1.2%	26.4K	-2.0M	-3.9K	0.08	96.72	39	3	1,520	500
2013-11-19	$18.79	$20.00	34.1%	9.8%	22.0%	16.5%	33.5%	-0.1%	-2.0%	28.1K	-2.0M	-4.1K	0.16	95.32	63	10	1,539	503
2013-11-20	$18.47	$20.00	33.2%	9.5%	22.4%	15.3%	32.9%	0.9%	3.6%	28.0K	-2.0M	-4.5K	0.06	95.22	176	10	1,592	513
2013-11-21	$18.25	$20.00	33.8%	9.7%	22.4%	16.2%	34.2%	4.3%	3.2%	30.6K	-2.2M	-5.3K	0.20	98.07	310	62	1,768	523
2013-11-22	$18.36	$20.00	28.0%	8.0%	22.5%	8.0%	29.2%	5.2%	10.7%	31.7K	-2.6M	-6.7K	0.00	102.01	0	4	2,078	585
2013-11-25	$18.66	$20.00	37.0%	10.6%	23.5%	20.6%	0.0%	8.5%	0.1%	33.6K	-2.7M	-6.4K	0.00	99.50	210	0	2,078	589
2013-11-26	$18.66	$20.00	33.8%	9.7%	23.5%	16.1%	0.0%	4.2%	-0.4%	40.2K	-3.0M	-7.2K	0.00	84.01	10	0	2,288	589
2013-11-27	$18.72	$20.00	29.6%	8.5%	23.6%	10.2%	30.4%	-1.3%	8.6%	41.3K	-3.0M	-7.1K	0.40	97.12	50	20	2,298	589
2013-11-29	$18.77	$20.00	20.7%	5.9%	23.6%	0.0%	0.0%	12.7%	12.4%	40.3K	-3.1M	-7.2K	0.00	103.29	100	0	2,348	609