CSV Options History — December 2013

In December 2013, CSV traded between $17.20 and $20.44. ATM implied volatility averaged 33.5%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 5.2% (HV 20d: 28.3%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.12.

Notable Days

2013-12-26: Highest Volume — 476 contracts
2013-12-03: Largest IV drop — 34.8% change
2013-12-18: Highest IV Rank — 22.2%
2013-12-11: Largest Expected Move — 10.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.30	$17.20	$20.44	$18.41	$19.53
Max Pain	$15.95	$15.00	$20.00	$20.00	$15.00
ATM IV	33.5%	23.4%	36.9%	35.9%	33.2%
Expected Move	9.8%	6.7%	10.8%	10.3%	9.5%
HV 20d	28.3%	19.4%	47.3%	24.0%	46.9%
HV 60d	24.1%	20.7%	32.7%	20.7%	32.7%
IV Rank	17.5%	3.6%	22.2%	20.8%	17.1%
IV Percentile	37.5%	2.0%	58.3%	47.6%	34.1%
Term Structure	2.8%	-1.4%	8.9%	1.2%	1.6%
VWIV	32.0%	19.0%	38.9%	19.0%	34.5%
Skew 25d	6.3%	-4.3%	57.0%	14.4%	-2.7%
Skew 10d	8.9%	-5.9%	101.9%	14.2%	-3.8%
Call IV 25d	29.2%	21.5%	35.6%	21.9%	34.0%
Put IV 25d	35.5%	24.1%	87.0%	36.2%	31.3%
Bid-Ask Spread %	102.93	96.59	108.67	96.59	103.71
Gamma HHI	0.44	0.32	0.66	0.37	0.32
Net GEX	45.2K	33.4K	61.6K	40.6K	55.3K
Net DEX	-3.3M	-4.3M	-2.7M	-3.1M	-3.9M
Net VEX	-7.9K	-9.1K	-6.4K	-7.6K	-7.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.12	0.00	1.00	0.00	0.00
Total Volume	78.857	0	476	15	10
Total OI	3,234.571	3,057	3,616	3,057	3,082

Daily Data (21 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
2013-12-02	$18.41	$20.00	35.9%	10.3%	24.0%	20.8%	19.0%	14.4%	1.2%	40.6K	-3.1M	-7.6K	0.00	96.59	15	0	2,448	609
2013-12-03	$18.77	$20.00	23.4%	6.7%	25.4%	3.6%	0.0%	4.6%	8.9%	45.8K	-3.3M	-6.9K	0.00	108.67	101	0	2,448	609
2013-12-04	$18.51	$20.00	31.0%	8.9%	25.2%	14.1%	0.0%	-1.4%	-0.4%	43.1K	-3.3M	-7.8K	0.00	108.47	10	0	2,549	609
2013-12-05	$18.39	$20.00	31.0%	8.9%	25.2%	14.1%	0.0%	4.0%	8.5%	43.0K	-3.2M	-7.7K	0.00	103.79	80	0	2,548	609
2013-12-06	$18.38	$15.00	32.9%	10.3%	24.5%	16.7%	0.0%	4.3%	2.5%	43.0K	-3.3M	-8.0K	0.00	103.68	0	0	2,628	609
2013-12-09	$18.27	$15.00	36.4%	10.6%	24.4%	21.5%	0.0%	10.5%	2.9%	41.4K	-3.2M	-8.0K	0.00	105.19	0	0	2,628	609
2013-12-10	$17.87	$15.00	29.8%	10.4%	25.1%	12.4%	0.0%	-2.6%	2.7%	37.7K	-3.0M	-8.2K	0.00	99.87	0	0	2,628	609
2013-12-11	$17.79	$15.00	36.2%	10.8%	25.0%	21.2%	0.0%	6.6%	1.1%	36.5K	-2.9M	-8.2K	0.00	103.01	0	0	2,628	609
2013-12-12	$17.48	$15.00	32.6%	9.3%	25.5%	16.3%	29.7%	5.1%	5.3%	37.0K	-2.8M	-8.1K	0.00	100.61	70	0	2,628	609
2013-12-13	$17.47	$15.00	34.4%	9.9%	25.5%	18.8%	34.5%	1.4%	1.4%	39.7K	-2.9M	-8.0K	0.00	106.70	40	0	2,667	609
2013-12-16	$17.20	$15.00	36.2%	10.4%	23.6%	21.3%	0.0%	1.8%	2.9%	33.4K	-2.7M	-8.3K	0.00	102.43	100	0	2,707	609
2013-12-17	$17.42	$15.00	35.1%	10.1%	19.4%	19.7%	34.6%	4.2%	3.7%	40.4K	-2.9M	-8.2K	0.20	102.11	253	50	2,807	609
2013-12-18	$17.93	$15.00	36.9%	10.6%	22.2%	22.2%	0.0%	57.0%	2.4%	54.0K	-3.5M	-8.6K	0.00	101.94	0	1	3,007	609
2013-12-19	$17.48	$15.00	35.0%	10.0%	23.1%	19.6%	0.0%	4.0%	3.3%	35.2K	-2.9M	-9.1K	0.00	102.29	0	0	2,823	607
2013-12-20	$17.94	$15.00	36.0%	10.3%	25.0%	21.0%	0.0%	10.2%	3.2%	42.4K	-3.3M	-8.7K	0.00	102.95	0	15	2,823	587
2013-12-23	$17.92	$15.00	31.6%	9.1%	24.8%	15.0%	38.9%	6.2%	3.9%	61.6K	-3.3M	-8.4K	1.00	101.99	4	4	2,711	486
2013-12-24	$17.76	$15.00	35.6%	10.2%	24.1%	20.4%	0.0%	7.6%	1.5%	60.1K	-3.3M	-8.5K	0.00	104.45	0	0	2,711	486
2013-12-26	$19.57	$15.00	32.1%	9.2%	42.8%	15.6%	32.5%	-4.3%	2.5%	61.0K	-4.2M	-7.1K	0.24	102.81	385	91	2,711	486
2013-12-27	$20.44	$15.00	32.4%	9.3%	45.2%	16.1%	0.0%	4.2%	1.6%	46.8K	-4.3M	-6.4K	0.00	102.16	17	0	2,507	577
2013-12-30	$19.74	$15.00	35.4%	10.2%	47.3%	20.2%	34.5%	-2.6%	-1.4%	52.0K	-4.0M	-6.6K	0.06	98.21	385	25	2,514	577
2013-12-31	$19.53	$15.00	33.2%	9.5%	46.9%	17.1%	0.0%	-2.7%	1.6%	55.3K	-3.9M	-7.0K	0.00	103.71	10	0	2,516	566