CSV Options History — July 2014

In July 2014, CSV traded between $16.00 and $17.49. ATM implied volatility averaged 32.8%, placing in the 48.4% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 12.7% (HV 20d: 20.1%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.03.

Notable Days

2014-07-10: Highest Volume — 410 contracts
2014-07-25: Largest IV spike — 60.5% change
2014-07-29: Highest IV Rank — 78.6%
2014-07-29: Largest Expected Move — 12.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.42	$16.00	$17.49	$17.49	$16.13
Max Pain	$17.16	$15.00	$17.50	$15.00	$17.50
ATM IV	32.8%	21.8%	41.7%	31.4%	35.8%
Expected Move	9.7%	6.2%	12.0%	9.0%	10.3%
HV 20d	20.1%	16.4%	23.6%	22.4%	16.4%
HV 60d	25.8%	24.9%	26.4%	26.3%	24.9%
IV Rank	48.4%	11.3%	78.6%	43.8%	58.6%
IV Percentile	46.7%	0.8%	94.0%	23.8%	65.5%
Term Structure	0.1%	-8.6%	11.1%	1.3%	6.2%
VWIV	37.7%	32.8%	44.7%	35.7%	44.7%
Skew 25d	5.1%	-11.0%	19.2%	0.6%	12.8%
Skew 10d	12.6%	-1.5%	72.8%	0.9%	10.4%
Call IV 25d	29.4%	21.2%	35.8%	30.6%	27.3%
Put IV 25d	34.5%	24.8%	41.4%	31.2%	40.1%
Bid-Ask Spread %	58.36	30.04	72.76	30.04	44.04
Gamma HHI	0.82	0.55	0.95	0.55	0.94
Net GEX	26.1K	20.5K	39.0K	21.1K	23.2K
Net DEX	-1.3M	-1.7M	-907.6K	-1.6M	-945.7K
Net VEX	-3.1K	-3.8K	-1.8K	-2.1K	-3.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.03	0.00	0.16	0.00	0.00
Total Volume	25.773	0	410	0	0
Total OI	1,456.636	1,037	2,031	1,543	1,045

Daily Data (22 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
2014-07-01	$17.49	$15.00	31.4%	9.0%	22.4%	43.8%	0.0%	0.6%	1.3%	21.1K	-1.6M	-2.1K	0.00	30.04	0	0	1,323	220
2014-07-02	$17.33	$15.00	31.4%	9.0%	21.5%	43.7%	0.0%	-0.0%	1.3%	20.5K	-1.6M	-2.1K	0.00	65.32	1	0	1,323	220
2014-07-03	$17.30	$15.00	32.1%	9.2%	21.1%	46.2%	0.0%	-0.9%	0.3%	21.6K	-1.6M	-2.1K	0.00	67.26	0	0	1,324	220
2014-07-07	$16.92	$17.50	28.0%	9.5%	22.2%	32.3%	0.0%	-2.5%	-1.0%	22.3K	-1.5M	-2.0K	0.00	71.22	0	0	1,324	220
2014-07-08	$16.61	$17.50	24.0%	9.6%	22.9%	18.9%	0.0%	4.0%	0.1%	20.6K	-1.3M	-1.9K	0.00	65.43	0	1	1,324	220
2014-07-09	$16.53	$17.50	25.6%	9.2%	22.9%	24.1%	35.7%	4.8%	1.9%	21.8K	-1.3M	-1.8K	0.00	68.88	0	5	1,324	220
2014-07-10	$16.41	$17.50	32.7%	9.4%	22.8%	48.1%	0.0%	7.4%	-0.1%	25.7K	-1.2M	-1.9K	0.00	59.71	410	0	1,324	225
2014-07-11	$16.26	$17.50	27.1%	7.8%	22.9%	29.3%	0.0%	1.0%	1.0%	38.8K	-1.6M	-3.6K	0.00	43.48	0	0	1,734	225
2014-07-14	$16.52	$17.50	33.7%	9.6%	22.9%	51.3%	0.0%	3.0%	0.3%	25.0K	-1.7M	-3.4K	0.00	43.05	2	0	1,734	225
2014-07-15	$16.20	$17.50	36.9%	10.6%	23.6%	62.4%	0.0%	2.4%	-3.5%	37.4K	-1.6M	-3.5K	0.00	62.51	0	0	1,734	225
2014-07-16	$16.14	$17.50	39.1%	11.2%	23.6%	69.7%	32.8%	6.0%	-2.7%	39.0K	-1.6M	-3.5K	0.16	46.55	100	16	1,724	225
2014-07-17	$16.04	$17.50	36.3%	10.4%	16.9%	60.1%	0.0%	2.3%	-1.1%	34.9K	-1.7M	-3.8K	0.00	37.58	0	21	1,823	208
2014-07-18	$16.08	$17.50	39.5%	11.3%	17.0%	71.0%	0.0%	5.0%	-4.5%	37.6K	-1.7M	-3.8K	0.00	54.08	0	0	1,823	187
2014-07-21	$16.00	$17.50	37.5%	10.7%	16.4%	64.3%	0.0%	14.3%	-3.1%	23.2K	-907.6K	-3.7K	0.00	67.90	0	0	970	67
2014-07-22	$16.27	$17.50	21.8%	6.2%	18.1%	11.3%	0.0%	2.6%	10.1%	22.4K	-969.1K	-3.6K	0.00	72.61	0	0	970	67
2014-07-23	$16.17	$17.50	34.2%	9.8%	18.0%	53.3%	0.0%	-11.0%	-8.6%	23.1K	-948.5K	-3.7K	0.00	62.71	0	0	970	67
2014-07-24	$16.29	$17.50	21.8%	6.2%	18.1%	11.3%	0.0%	19.2%	11.1%	22.8K	-964.1K	-3.6K	0.00	67.73	0	6	970	67
2014-07-25	$16.09	$17.50	34.9%	10.0%	18.4%	55.7%	44.7%	0.5%	-8.4%	23.0K	-941.1K	-3.6K	0.00	72.76	5	0	970	70
2014-07-28	$16.07	$17.50	39.9%	11.4%	18.4%	72.3%	0.0%	13.0%	-1.8%	23.6K	-926.9K	-3.6K	0.00	59.13	0	0	975	70
2014-07-29	$16.16	$17.50	41.7%	12.0%	18.6%	78.6%	0.0%	14.5%	-4.3%	23.3K	-954.4K	-3.6K	0.00	59.61	0	0	975	70
2014-07-30	$16.19	$17.50	35.5%	10.2%	16.5%	57.6%	0.0%	13.5%	6.8%	23.7K	-953.2K	-3.6K	0.00	62.23	0	0	975	70
2014-07-31	$16.13	$17.50	35.8%	10.3%	16.4%	58.6%	0.0%	12.8%	6.2%	23.2K	-945.7K	-3.6K	0.00	44.04	0	0	975	70