CSV Options History — June 2014

In June 2014, CSV traded between $17.13 and $17.96. ATM implied volatility averaged 32.2%, placing in the 46.5% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 3.0% (HV 20d: 29.2%). 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 1.18.

Notable Days

2014-06-04: Highest Volume — 509 contracts
2014-06-09: Largest IV spike — 7.4% change
2014-06-09: Highest IV Rank — 56.6%
2014-06-05: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.51	$17.13	$17.96	$17.96	$17.13
Max Pain	$15.48	$15.00	$17.50	$17.50	$15.00
ATM IV	32.2%	28.6%	35.2%	33.7%	28.6%
Expected Move	9.2%	8.2%	9.8%	9.7%	8.2%
HV 20d	29.2%	24.5%	33.2%	30.0%	24.5%
HV 60d	28.8%	26.2%	35.1%	34.6%	26.2%
IV Rank	46.5%	34.5%	56.6%	51.4%	34.5%
IV Percentile	29.8%	12.3%	52.0%	39.7%	12.3%
Term Structure	1.5%	-2.4%	4.4%	-1.2%	4.4%
VWIV	31.4%	22.1%	36.3%	36.3%	22.1%
Skew 25d	6.1%	-4.4%	52.4%	7.6%	52.4%
Skew 10d	7.9%	-6.5%	72.7%	11.7%	72.7%
Call IV 25d	27.3%	22.0%	32.1%	27.0%	29.0%
Put IV 25d	33.4%	24.3%	81.4%	34.7%	81.4%
Bid-Ask Spread %	66.42	18.55	85.56	65.79	18.55
Gamma HHI	0.61	0.45	0.89	0.45	0.50
Net GEX	27.8K	16.4K	37.9K	19.4K	16.4K
Net DEX	-1.7M	-2.1M	-1.2M	-1.3M	-1.5M
Net VEX	-2.9K	-3.6K	-1.9K	-1.9K	-2.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.18	0.00	9.00	0.00	0.00
Total Volume	48.762	0	509	2	0
Total OI	1,638.762	1,280	1,783	1,280	1,543

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
2014-06-02	$17.96	$17.50	33.7%	9.7%	30.0%	51.4%	36.3%	7.6%	-1.2%	19.4K	-1.3M	-1.9K	0.00	65.79	2	0	1,062	218
2014-06-03	$17.33	$17.50	33.8%	9.7%	33.2%	51.7%	0.0%	1.5%	-2.4%	23.7K	-1.2M	-2.0K	0.00	56.99	0	1	1,062	218
2014-06-04	$17.66	$17.50	33.6%	9.6%	33.1%	51.2%	33.6%	2.5%	-1.2%	22.3K	-1.2M	-1.9K	0.01	57.95	503	6	1,062	218
2014-06-05	$17.85	$17.50	34.1%	9.8%	32.5%	52.9%	0.0%	5.6%	-1.5%	30.6K	-2.0M	-3.6K	0.00	59.00	0	0	1,565	218
2014-06-06	$17.90	$15.00	32.8%	9.1%	31.9%	48.5%	0.0%	7.4%	2.0%	29.6K	-2.1M	-3.5K	0.02	85.56	100	2	1,565	218
2014-06-09	$17.84	$15.00	35.2%	9.5%	32.1%	56.6%	0.0%	8.0%	1.0%	29.4K	-2.0M	-3.4K	0.00	79.27	0	0	1,544	220
2014-06-10	$17.68	$15.00	34.4%	9.3%	31.8%	53.8%	0.0%	5.4%	1.0%	30.8K	-1.9M	-3.4K	0.00	78.62	0	0	1,544	220
2014-06-11	$17.69	$15.00	32.6%	9.3%	31.1%	47.9%	0.0%	5.8%	1.3%	30.5K	-2.0M	-3.3K	0.00	79.43	0	0	1,544	220
2014-06-12	$17.60	$15.00	31.9%	9.1%	25.7%	45.4%	0.0%	4.7%	1.9%	31.9K	-1.9M	-3.3K	0.00	77.92	0	0	1,544	220
2014-06-13	$17.21	$15.00	31.5%	9.0%	27.0%	44.0%	0.0%	0.7%	2.2%	37.9K	-1.8M	-3.4K	0.00	78.86	0	0	1,544	220
2014-06-16	$17.23	$15.00	31.9%	9.1%	27.0%	45.3%	0.0%	1.3%	2.3%	35.4K	-1.8M	-3.3K	0.00	78.41	0	0	1,544	220
2014-06-17	$17.21	$15.00	31.6%	9.1%	27.0%	44.5%	0.0%	-0.1%	2.0%	36.1K	-1.8M	-3.2K	0.00	78.35	1	0	1,544	220
2014-06-18	$17.93	$15.00	33.7%	9.7%	30.2%	51.6%	33.7%	9.1%	0.0%	29.1K	-2.1M	-2.9K	0.00	78.37	0	17	1,544	220
2014-06-19	$17.73	$15.00	32.6%	9.4%	30.2%	47.9%	0.0%	12.4%	1.7%	25.0K	-1.8M	-2.8K	0.00	74.04	0	0	1,421	229
2014-06-20	$17.44	$15.00	30.4%	8.7%	30.6%	40.6%	30.4%	13.2%	2.9%	20.6K	-1.7M	-2.9K	9.00	74.40	1	9	1,421	229
2014-06-23	$17.36	$15.00	32.1%	9.2%	30.6%	46.3%	32.2%	-4.4%	1.7%	29.0K	-1.7M	-2.9K	0.44	41.55	9	4	1,415	184
2014-06-24	$17.23	$15.00	31.9%	9.1%	28.0%	45.5%	22.1%	-3.3%	3.6%	28.5K	-1.6M	-2.9K	0.00	64.56	0	36	1,409	184
2014-06-25	$17.33	$15.00	29.6%	8.5%	25.6%	37.9%	0.0%	1.5%	3.4%	25.0K	-1.7M	-2.6K	0.00	73.13	0	0	1,409	220
2014-06-26	$17.21	$15.00	30.8%	8.8%	25.6%	41.8%	0.0%	-2.2%	1.6%	27.4K	-1.6M	-2.8K	0.00	63.74	233	0	1,409	220
2014-06-27	$17.20	$15.00	29.3%	8.4%	25.5%	36.9%	0.0%	-1.7%	3.9%	24.6K	-1.6M	-2.6K	0.00	30.28	100	0	1,383	220
2014-06-30	$17.13	$15.00	28.6%	8.2%	24.5%	34.5%	0.0%	52.4%	4.4%	16.4K	-1.5M	-2.1K	0.00	18.55	0	0	1,323	220