CSV Options History — February 2014

In February 2014, CSV traded between $20.16 and $21.14. ATM implied volatility averaged 29.6%, placing in the 24.3% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 6.6% (HV 20d: 36.2%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.61.

Notable Days

2014-02-27: Highest Volume — 400 contracts
2014-02-13: Largest IV spike — 38.1% change
2014-02-27: Highest IV Rank — 34.5%
2014-02-27: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.64	$20.16	$21.14	$20.16	$20.43
Max Pain	$19.87	$17.50	$20.00	$20.00	$17.50
ATM IV	29.6%	22.0%	34.2%	28.5%	33.2%
Expected Move	9.0%	6.9%	9.8%	8.2%	9.5%
HV 20d	36.2%	32.4%	38.7%	33.8%	32.4%
HV 60d	37.0%	36.2%	38.0%	36.5%	36.2%
IV Rank	24.3%	7.8%	34.5%	22.0%	32.3%
IV Percentile	20.7%	0.8%	40.1%	12.7%	34.5%
Term Structure	2.8%	-0.8%	13.1%	5.8%	-0.8%
VWIV	30.2%	19.7%	34.2%	28.4%	33.3%
Skew 25d	2.0%	-3.1%	8.6%	0.7%	7.7%
Skew 10d	3.7%	-4.3%	20.2%	1.6%	5.7%
Call IV 25d	29.8%	20.9%	34.3%	29.5%	25.4%
Put IV 25d	31.8%	28.3%	34.8%	30.2%	33.1%
Bid-Ask Spread %	95.39	84.79	102.45	102.45	99.65
Gamma HHI	0.33	0.26	0.45	0.32	0.27
Net GEX	-11.7K	-31.0K	3.6K	-9.3K	3.6K
Net DEX	-2.3M	-2.8M	-1.6M	-2.1M	-2.7M
Net VEX	-4.6K	-6.2K	-3.4K	-5.8K	-3.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.61	0.00	5.00	0.18	0.00
Total Volume	103.632	2	400	120	16
Total OI	2,557.526	1,721	2,965	2,596	2,219

Daily Data (19 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
2014-02-03	$20.16	$20.00	28.5%	8.2%	33.8%	22.0%	28.4%	0.7%	5.8%	-9.3K	-2.1M	-5.8K	0.18	102.45	102	18	1,765	831
2014-02-04	$21.00	$20.00	24.1%	6.9%	36.8%	12.5%	19.7%	7.3%	13.1%	-13.2K	-2.6M	-5.4K	5.00	86.67	9	45	1,787	849
2014-02-05	$20.37	$20.00	29.3%	8.4%	38.4%	23.6%	29.3%	0.5%	6.0%	-12.0K	-2.2M	-5.8K	2.48	95.09	100	248	1,796	894
2014-02-06	$20.30	$20.00	25.7%	7.4%	38.4%	15.9%	30.7%	7.8%	6.9%	-20.6K	-2.3M	-6.2K	0.08	97.21	100	8	1,852	1,102
2014-02-07	$20.61	$20.00	22.0%	9.0%	38.7%	7.8%	0.0%	-1.7%	3.4%	-31.0K	-2.5M	-5.6K	0.50	94.97	2	1	1,852	1,110
2014-02-10	$20.42	$20.00	25.3%	9.2%	38.3%	14.9%	0.0%	-2.5%	2.9%	-23.5K	-2.4M	-5.7K	0.00	94.33	5	0	1,854	1,111
2014-02-11	$20.75	$20.00	23.8%	9.5%	37.3%	11.9%	33.3%	1.7%	2.2%	-21.3K	-2.5M	-5.3K	0.00	95.49	168	0	1,753	1,111
2014-02-12	$20.98	$20.00	23.6%	9.4%	36.8%	11.2%	0.0%	1.8%	1.5%	-18.0K	-2.5M	-4.8K	0.00	94.94	11	0	1,694	1,111
2014-02-13	$20.89	$20.00	32.5%	9.3%	36.8%	30.8%	31.6%	-2.6%	1.7%	-13.5K	-2.6M	-4.6K	0.00	93.74	0	2	1,705	1,111
2014-02-14	$20.94	$20.00	32.3%	9.3%	36.8%	30.3%	0.0%	1.6%	2.6%	-10.9K	-2.6M	-4.3K	0.25	97.35	4	1	1,705	1,111
2014-02-18	$21.14	$20.00	33.2%	9.5%	37.0%	32.2%	0.0%	0.9%	1.3%	-2.3K	-2.8M	-3.8K	0.00	95.34	53	0	1,709	1,112
2014-02-19	$20.98	$20.00	32.6%	9.3%	37.0%	30.8%	0.0%	-1.3%	1.8%	-10.5K	-2.7M	-4.1K	1.33	95.08	3	4	1,711	1,112
2014-02-20	$21.03	$20.00	32.4%	9.3%	36.4%	30.4%	0.0%	0.3%	2.0%	-9.9K	-2.7M	-4.1K	0.00	97.91	101	0	1,712	1,103
2014-02-21	$20.64	$20.00	32.2%	9.2%	36.9%	30.0%	0.0%	-1.8%	2.6%	-26.4K	-2.5M	-4.0K	0.00	95.92	350	0	1,694	1,103
2014-02-24	$20.40	$20.00	31.3%	9.0%	34.7%	28.2%	31.5%	-3.1%	0.9%	-2.6K	-1.7M	-3.4K	0.00	93.87	0	4	1,227	498
2014-02-25	$20.26	$20.00	32.5%	9.3%	33.9%	30.7%	0.0%	5.7%	0.1%	-586	-1.6M	-3.4K	0.00	84.79	12	0	1,227	494
2014-02-26	$20.38	$20.00	33.1%	9.5%	33.8%	31.9%	34.2%	8.6%	0.2%	-1.1K	-1.7M	-3.5K	0.00	98.76	202	0	1,229	494
2014-02-27	$20.47	$20.00	34.2%	9.8%	33.6%	34.5%	29.4%	6.9%	-0.8%	769	-1.9M	-3.6K	0.00	98.80	400	0	1,351	494
2014-02-28	$20.43	$17.50	33.2%	9.5%	32.4%	32.3%	33.3%	7.7%	-0.8%	3.6K	-2.7M	-3.5K	0.00	99.65	0	16	1,725	494