CSV Options History — March 2014

In March 2014, CSV traded between $17.03 and $20.85. ATM implied volatility averaged 33.2%, placing in the 32.3% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 6.7% (HV 20d: 39.9%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.10.

Notable Days

2014-03-14: Highest Volume — 1,543 contracts
2014-03-07: Largest IV spike — 38.4% change
2014-03-14: Highest IV Rank — 42.6%
2014-03-14: Largest Expected Move — 10.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.49	$17.03	$20.85	$20.49	$18.24
Max Pain	$15.48	$15.00	$17.50	$17.50	$15.00
ATM IV	33.2%	24.0%	38.0%	32.6%	30.6%
Expected Move	9.5%	6.9%	10.9%	9.3%	8.8%
HV 20d	39.9%	19.1%	51.7%	31.6%	51.7%
HV 60d	40.2%	36.1%	44.4%	36.1%	37.7%
IV Rank	32.3%	12.2%	42.6%	30.8%	26.7%
IV Percentile	35.2%	4.4%	69.4%	30.2%	18.7%
Term Structure	2.4%	-1.6%	11.8%	0.6%	11.8%
VWIV	32.7%	22.2%	42.7%	33.7%	30.1%
Skew 25d	4.6%	-11.5%	13.3%	4.0%	12.5%
Skew 10d	9.1%	-10.1%	46.6%	4.6%	10.5%
Call IV 25d	28.7%	22.5%	37.6%	29.1%	22.5%
Put IV 25d	33.3%	24.6%	41.8%	33.1%	35.1%
Bid-Ask Spread %	98.98	86.34	120.36	99.14	98.61
Gamma HHI	0.53	0.26	0.84	0.28	0.56
Net GEX	70.2K	321	264.1K	1.6K	59.9K
Net DEX	-2.4M	-3.3M	-814.7K	-2.7M	-2.5M
Net VEX	-4.4K	-5.9K	-2.4K	-3.4K	-4.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.10	0.00	0.51	0.00	0.00
Total Volume	264.095	0	1,543	100	227
Total OI	3,194.095	2,235	4,270	2,235	3,392

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
2014-03-03	$20.49	$17.50	32.6%	9.3%	31.6%	30.8%	33.7%	4.0%	0.6%	1.6K	-2.7M	-3.4K	0.00	99.14	100	0	1,725	510
2014-03-04	$20.85	$17.50	35.6%	10.2%	24.0%	37.4%	35.2%	13.3%	-0.8%	591	-3.1M	-3.4K	0.00	98.86	52	0	1,825	508
2014-03-05	$20.71	$17.50	33.8%	9.7%	19.1%	33.4%	33.9%	6.1%	2.0%	321	-3.1M	-3.2K	0.01	101.38	230	3	1,871	508
2014-03-06	$19.47	$17.50	24.0%	6.9%	27.1%	12.2%	25.5%	0.0%	7.2%	1.7K	-3.1M	-3.4K	0.10	120.36	99	10	2,101	511
2014-03-07	$19.83	$15.00	33.3%	8.6%	28.1%	32.4%	37.0%	7.4%	-1.6%	927	-3.3M	-2.4K	0.06	101.36	767	48	2,141	520
2014-03-10	$19.23	$15.00	32.2%	8.6%	29.2%	30.0%	34.5%	-3.4%	3.3%	45.4K	-3.2M	-4.0K	0.09	95.73	1,045	98	2,407	558
2014-03-11	$19.02	$15.00	30.5%	8.7%	29.3%	26.3%	30.8%	1.1%	3.5%	31.6K	-2.2M	-3.8K	0.17	94.99	131	22	1,966	614
2014-03-12	$18.67	$15.00	29.0%	8.9%	28.8%	23.1%	38.7%	1.6%	5.3%	41.8K	-1.9M	-3.7K	0.00	98.48	2	0	1,901	627
2014-03-13	$17.03	$15.00	34.2%	9.8%	41.5%	34.3%	27.7%	-11.5%	2.4%	81.0K	-814.7K	-4.0K	0.26	93.68	469	120	1,901	627
2014-03-14	$17.13	$15.00	38.0%	10.9%	41.8%	42.6%	42.7%	4.2%	-0.5%	82.0K	-1.0M	-4.6K	0.51	86.34	1,025	518	2,104	739
2014-03-17	$18.03	$15.00	37.4%	10.7%	47.0%	41.3%	25.8%	1.4%	-1.2%	117.0K	-2.7M	-5.9K	0.04	92.58	159	7	2,891	1,250
2014-03-18	$18.33	$15.00	33.3%	9.5%	47.4%	32.5%	31.9%	1.0%	1.6%	92.1K	-3.1M	-5.3K	0.06	92.25	199	12	2,893	1,252
2014-03-19	$17.72	$15.00	34.5%	9.9%	48.3%	35.1%	29.6%	7.0%	0.6%	168.7K	-2.5M	-5.8K	0.33	102.88	21	7	2,992	1,264
2014-03-20	$17.72	$15.00	35.1%	10.1%	48.3%	36.5%	0.0%	7.7%	1.5%	199.0K	-2.5M	-5.4K	0.00	99.51	4	0	3,002	1,264
2014-03-21	$17.61	$15.00	34.7%	9.9%	48.1%	35.5%	22.2%	6.0%	0.9%	264.1K	-2.4M	-5.3K	0.08	96.87	105	8	3,006	1,264
2014-03-24	$17.36	$15.00	34.2%	9.8%	48.2%	34.4%	0.0%	7.1%	3.2%	56.4K	-1.9M	-5.1K	0.00	100.38	0	0	2,361	1,022
2014-03-25	$17.82	$15.00	35.9%	10.3%	49.7%	38.2%	35.1%	11.5%	1.7%	54.6K	-2.2M	-5.0K	0.00	98.83	33	0	2,361	1,022
2014-03-26	$17.84	$15.00	35.2%	10.1%	49.5%	36.6%	41.6%	12.3%	1.1%	55.7K	-2.3M	-4.7K	0.00	100.45	20	0	2,376	1,022
2014-03-27	$17.65	$15.00	33.0%	9.5%	49.4%	31.9%	33.1%	4.3%	3.2%	58.2K	-2.2M	-4.6K	0.00	103.35	0	2	2,367	1,022
2014-03-28	$17.59	$15.00	30.9%	8.8%	49.4%	27.2%	30.1%	3.1%	5.4%	60.5K	-2.2M	-4.4K	0.00	102.51	0	3	2,367	1,022
2014-03-31	$18.24	$15.00	30.6%	8.8%	51.7%	26.7%	0.0%	12.5%	11.8%	59.9K	-2.5M	-4.1K	0.00	98.61	227	0	2,367	1,025