CSV Options History — January 2014

In January 2014, CSV traded between $20.29 and $21.92. ATM implied volatility averaged 29.8%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 12.2% (HV 20d: 42.0%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.54.

Notable Days

2014-01-06: Highest Volume — 552 contracts
2014-01-15: Largest IV spike — 33.8% change
2014-01-15: Highest IV Rank — 41.8%
2014-01-06: Largest Expected Move — 10.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.08	$20.29	$21.92	$20.30	$21.40
Max Pain	$18.93	$15.00	$20.00	$15.00	$20.00
ATM IV	29.8%	18.4%	38.9%	30.9%	18.4%
Expected Move	8.5%	5.3%	10.0%	8.9%	5.3%
HV 20d	42.0%	25.5%	48.3%	48.3%	25.5%
HV 60d	33.1%	32.4%	34.5%	33.1%	34.5%
IV Rank	21.0%	0.0%	41.8%	23.3%	0.0%
IV Percentile	20.8%	0.0%	75.0%	21.0%	0.0%
Term Structure	4.1%	0.9%	12.8%	1.8%	12.8%
VWIV	27.1%	16.3%	32.3%	30.5%	24.6%
Skew 25d	2.7%	-12.0%	19.6%	3.2%	9.0%
Skew 10d	19.9%	-9.5%	108.7%	9.0%	6.5%
Call IV 25d	26.8%	17.9%	33.0%	30.5%	17.9%
Put IV 25d	29.6%	18.2%	44.8%	33.7%	26.9%
Bid-Ask Spread %	97.59	55.79	107.28	104.61	102.51
Gamma HHI	0.31	0.26	0.43	0.32	0.27
Net GEX	19.2K	-8.4K	57.3K	51.5K	-7.0K
Net DEX	-3.4M	-4.3M	-2.2M	-4.2M	-2.8M
Net VEX	-5.2K	-6.6K	-3.9K	-6.5K	-5.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.54	0.00	11.67	0.00	1.06
Total Volume	102.19	0	552	97	35
Total OI	2,708.905	2,286	3,249	3,087	2,561

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
2014-01-02	$20.30	$15.00	30.9%	8.9%	48.3%	23.3%	0.0%	3.2%	1.8%	51.5K	-4.2M	-6.5K	0.00	104.61	97	0	2,521	566
2014-01-03	$20.37	$15.00	33.2%	9.5%	47.8%	28.7%	0.0%	2.9%	1.2%	56.1K	-4.3M	-6.6K	0.00	107.28	70	0	2,591	566
2014-01-06	$20.29	$17.50	35.5%	10.0%	47.7%	33.9%	0.0%	12.4%	0.9%	57.3K	-4.2M	-6.3K	0.00	97.76	552	0	2,556	566
2014-01-07	$20.48	$17.50	29.5%	10.0%	47.7%	20.1%	0.0%	6.1%	2.0%	52.5K	-3.9M	-5.4K	0.00	95.67	62	0	2,305	566
2014-01-08	$20.40	$17.50	32.1%	9.6%	47.6%	26.2%	0.0%	-0.0%	2.3%	51.3K	-3.8M	-5.3K	0.00	98.96	188	0	2,275	566
2014-01-09	$20.48	$17.50	28.5%	9.7%	46.5%	17.9%	0.0%	9.3%	3.4%	51.7K	-3.6M	-4.9K	0.00	99.87	0	0	2,138	566
2014-01-10	$20.86	$17.50	28.6%	8.8%	46.5%	18.1%	30.5%	-1.7%	5.8%	46.8K	-3.8M	-4.4K	6.77	95.88	13	88	2,138	566
2014-01-13	$21.44	$20.00	35.6%	9.2%	46.0%	34.1%	32.0%	2.6%	3.0%	32.5K	-4.0M	-4.4K	0.09	94.64	224	20	2,151	654
2014-01-14	$21.86	$20.00	29.1%	8.8%	45.9%	19.2%	31.3%	4.4%	2.2%	26.1K	-4.1M	-3.9K	9.75	93.62	28	273	2,107	674
2014-01-15	$21.72	$20.00	38.9%	7.5%	45.3%	41.8%	28.2%	5.3%	7.5%	14.4K	-3.9M	-4.8K	6.00	92.85	10	60	2,126	945
2014-01-16	$21.79	$20.00	28.9%	8.3%	45.4%	18.7%	28.7%	3.1%	4.1%	8.0K	-3.8M	-5.0K	11.67	55.79	9	105	2,131	1,005
2014-01-17	$21.79	$20.00	30.3%	8.7%	45.0%	22.0%	16.3%	0.1%	3.8%	3.9K	-3.8M	-5.2K	0.00	99.28	5	0	2,139	1,110
2014-01-21	$21.58	$20.00	32.3%	9.3%	43.7%	26.6%	19.2%	-12.0%	0.9%	-1.5K	-2.6M	-5.0K	1.11	101.78	9	10	1,615	671
2014-01-22	$21.92	$20.00	27.5%	7.9%	43.4%	15.6%	0.0%	-7.2%	4.7%	-8.4K	-2.9M	-4.2K	0.00	100.46	0	0	1,624	681
2014-01-23	$21.91	$20.00	30.9%	8.9%	43.4%	23.3%	32.3%	-8.5%	2.6%	-2.9K	-2.8M	-4.6K	0.00	103.35	4	0	1,624	681
2014-01-24	$21.09	$20.00	28.5%	8.2%	46.2%	17.7%	28.9%	-3.0%	4.0%	-2.4K	-2.5M	-5.1K	2.06	96.87	16	33	1,628	681
2014-01-27	$20.63	$20.00	27.2%	7.8%	33.6%	14.8%	27.1%	3.2%	5.6%	-5.0K	-2.3M	-5.2K	2.77	100.53	13	36	1,629	703
2014-01-28	$20.80	$20.00	25.6%	7.3%	30.1%	11.2%	0.0%	19.6%	7.6%	-7.4K	-2.3M	-5.4K	0.00	102.19	20	0	1,639	736
2014-01-29	$20.53	$20.00	26.8%	7.7%	27.5%	13.9%	26.8%	6.2%	5.3%	-5.3K	-2.2M	-5.5K	0.20	103.74	80	16	1,659	736
2014-01-30	$21.02	$20.00	26.5%	7.6%	28.1%	13.3%	26.5%	2.3%	4.7%	-8.1K	-2.6M	-5.1K	6.78	101.84	9	61	1,739	752
2014-01-31	$21.40	$20.00	18.4%	5.3%	25.5%	0.0%	24.6%	9.0%	12.8%	-7.0K	-2.8M	-5.3K	1.06	102.51	17	18	1,748	813