CSV Options History — August 2014

In August 2014, CSV traded between $16.02 and $18.84. ATM implied volatility averaged 32.6%, placing in the 55.0% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded below realized volatility by 5.1% (HV 20d: 37.6%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.39.

Notable Days

2014-08-06: Highest Volume — 110 contracts
2014-08-29: Largest IV drop — 34.3% change
2014-08-04: Highest IV Rank — 81.5%
2014-08-05: Largest Expected Move — 10.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.91	$16.02	$18.84	$16.04	$18.64
Max Pain	$21.59	$17.50	$22.50	$17.50	$22.50
ATM IV	32.6%	22.6%	42.6%	34.6%	22.6%
Expected Move	9.7%	9.1%	10.8%	9.9%	9.8%
HV 20d	37.6%	13.7%	41.9%	16.4%	41.6%
HV 60d	30.0%	24.7%	33.1%	24.8%	29.1%
IV Rank	55.0%	17.0%	81.5%	54.4%	17.0%
IV Percentile	41.1%	2.4%	97.2%	56.3%	2.4%
Term Structure	1.0%	-5.2%	14.0%	-5.2%	14.0%
VWIV	32.8%	32.5%	33.7%	33.7%	32.5%
Skew 25d	5.3%	-4.0%	12.8%	-1.6%	3.4%
Skew 10d	5.3%	-5.7%	12.0%	12.0%	5.3%
Call IV 25d	26.5%	20.5%	35.3%	29.1%	21.2%
Put IV 25d	31.9%	24.6%	37.2%	27.5%	24.6%
Bid-Ask Spread %	67.31	58.69	78.62	65.37	65.88
Gamma HHI	0.77	0.66	0.94	0.94	0.66
Net GEX	16.4K	12.8K	24.8K	23.9K	14.3K
Net DEX	-1.2M	-1.4M	-907.6K	-923.0K	-1.3M
Net VEX	-2.7K	-3.6K	-2.2K	-3.6K	-2.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.39	0.00	2.00	0.00	0.00
Total Volume	17.143	0	110	0	15
Total OI	1,030	957	1,099	1,045	1,099

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
2014-08-01	$16.04	$17.50	34.6%	9.9%	16.4%	54.4%	0.0%	-1.6%	-5.2%	23.9K	-923.0K	-3.6K	0.00	65.37	0	0	975	70
2014-08-04	$16.04	$0.00	42.6%	10.6%	14.9%	81.5%	0.0%	4.8%	-1.3%	24.2K	-924.0K	-3.5K	0.00	71.86	0	0	975	70
2014-08-05	$16.02	$0.00	32.0%	10.8%	13.7%	45.8%	0.0%	1.9%	-0.7%	24.8K	-907.6K	-3.5K	0.00	67.83	0	0	975	70
2014-08-06	$17.88	$0.00	31.7%	9.1%	41.9%	44.6%	0.0%	7.4%	1.7%	17.9K	-1.3M	-3.0K	0.00	74.98	110	0	975	70
2014-08-07	$17.72	$0.00	31.5%	9.2%	41.9%	44.2%	0.0%	-4.0%	1.6%	17.0K	-1.2M	-2.7K	0.44	78.62	57	25	887	70
2014-08-08	$17.59	$0.00	31.2%	9.2%	41.9%	52.2%	0.0%	2.5%	0.3%	16.2K	-1.1M	-2.8K	2.00	75.39	2	4	892	95
2014-08-11	$17.54	$0.00	30.2%	9.1%	41.7%	48.2%	0.0%	2.6%	0.6%	15.5K	-1.1M	-2.8K	0.00	75.80	0	14	894	95
2014-08-12	$17.77	$0.00	30.3%	9.3%	40.9%	48.7%	0.0%	5.4%	0.2%	14.7K	-1.2M	-2.8K	0.00	74.11	0	0	894	109
2014-08-13	$17.87	$0.00	31.1%	9.7%	40.8%	51.6%	0.0%	7.1%	-0.2%	14.0K	-1.2M	-2.6K	0.00	74.04	0	0	894	109
2014-08-14	$18.05	$0.00	33.7%	9.7%	40.6%	62.3%	33.7%	11.2%	0.6%	14.7K	-1.2M	-2.6K	0.00	75.69	0	16	894	109
2014-08-15	$18.19	$17.50	32.5%	9.3%	40.6%	57.5%	0.0%	9.5%	1.8%	15.3K	-1.3M	-2.6K	0.00	68.80	5	0	894	109
2014-08-18	$18.59	$0.00	34.5%	9.9%	40.8%	65.6%	32.5%	3.7%	0.1%	15.9K	-1.3M	-2.3K	0.00	60.06	15	0	889	98
2014-08-19	$18.45	$22.50	32.0%	9.9%	40.9%	55.6%	0.0%	-0.0%	3.3%	15.4K	-1.3M	-2.4K	0.00	58.69	0	14	904	98
2014-08-20	$18.41	$22.50	33.7%	9.9%	40.8%	62.4%	0.0%	3.0%	0.9%	15.6K	-1.3M	-2.4K	0.00	61.77	0	10	904	112
2014-08-21	$18.84	$22.50	29.3%	9.5%	41.2%	44.4%	0.0%	4.6%	1.2%	12.8K	-1.4M	-2.2K	0.68	59.11	22	15	904	122
2014-08-22	$18.49	$22.50	33.3%	9.7%	41.7%	60.6%	32.5%	1.4%	1.1%	14.3K	-1.3M	-2.5K	0.00	61.37	15	0	926	137
2014-08-25	$18.40	$22.50	34.6%	9.6%	41.8%	66.2%	0.0%	12.1%	-0.7%	15.1K	-1.3M	-2.5K	0.00	61.46	0	0	941	137
2014-08-26	$18.56	$22.50	33.0%	9.8%	41.8%	59.5%	0.0%	12.7%	1.6%	14.6K	-1.3M	-2.3K	0.00	60.12	0	0	941	137
2014-08-27	$18.59	$22.50	34.9%	9.8%	41.8%	67.4%	0.0%	12.8%	-1.0%	14.5K	-1.3M	-2.3K	0.00	61.35	0	0	941	137
2014-08-28	$18.52	$22.50	34.3%	9.7%	41.8%	64.9%	0.0%	11.2%	0.3%	14.5K	-1.3M	-2.3K	0.00	61.27	0	21	941	137
2014-08-29	$18.64	$22.50	22.6%	9.8%	41.6%	17.0%	32.5%	3.4%	14.0%	14.3K	-1.3M	-2.4K	0.00	65.88	15	0	941	158