CSV Options History — November 2014

In November 2014, CSV traded between $18.96 and $19.62. ATM implied volatility averaged 25.0%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 3.0% (HV 20d: 22.1%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 1.33.

Notable Days

2014-11-13: Highest Volume — 731 contracts
2014-11-26: Largest IV drop — 18.8% change
2014-11-04: Highest IV Rank — 29.8%
2014-11-03: Largest Expected Move — 8.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.42	$18.96	$19.62	$19.60	$19.21
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	25.0%	21.0%	29.9%	26.1%	23.3%
Expected Move	7.6%	6.7%	8.3%	8.3%	6.9%
HV 20d	22.1%	18.3%	25.5%	24.0%	18.3%
HV 60d	19.7%	19.2%	20.1%	20.1%	19.2%
IV Rank	17.2%	6.8%	29.8%	19.8%	12.6%
IV Percentile	8.4%	0.8%	22.2%	9.1%	5.2%
Term Structure	-1.4%	-8.0%	2.8%	-3.0%	-1.8%
VWIV	29.5%	14.4%	35.9%	35.9%	31.7%
Skew 25d	-0.3%	-5.3%	7.8%	-5.0%	-1.1%
Skew 10d	-0.3%	-8.5%	7.8%	-5.6%	0.7%
Call IV 25d	27.2%	22.4%	32.3%	32.3%	31.7%
Put IV 25d	26.9%	21.6%	36.1%	27.4%	30.6%
Bid-Ask Spread %	92.90	85.33	105.69	89.75	103.99
Gamma HHI	0.42	0.31	0.54	0.43	0.35
Net GEX	2.0K	-27.3K	24.3K	44	21.8K
Net DEX	-3.2M	-3.6M	-2.7M	-3.6M	-3.0M
Net VEX	-3.3K	-4.2K	-1.9K	-4.0K	-2.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.33	0.00	3.13	1.53	0.19
Total Volume	419.526	0	731	567	0
Total OI	2,372.158	1,871	2,608	2,608	1,871

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
2014-11-03	$19.60	$15.00	26.1%	8.3%	24.0%	19.8%	35.9%	-5.0%	-3.0%	44	-3.6M	-4.0K	1.53	89.75	224	343	2,210	398
2014-11-04	$19.48	$15.00	29.9%	7.9%	24.0%	29.8%	33.9%	-5.2%	-8.0%	5.6K	-3.5M	-3.7K	1.53	92.67	224	343	2,210	398
2014-11-05	$19.48	$15.00	26.7%	7.4%	23.9%	21.5%	35.9%	-2.1%	-2.1%	-686	-3.5M	-3.5K	1.53	91.54	224	343	2,210	398
2014-11-06	$19.42	$15.00	25.1%	7.8%	24.0%	17.2%	34.2%	-5.3%	-3.1%	5.7K	-3.4M	-4.2K	1.53	87.40	224	343	2,210	398
2014-11-07	$19.18	$15.00	28.4%	7.9%	24.6%	25.9%	34.1%	3.6%	-2.1%	6.3K	-3.3M	-4.1K	1.53	88.85	224	343	2,210	398
2014-11-10	$19.27	$15.00	27.0%	8.2%	24.6%	22.1%	32.8%	2.3%	-1.2%	8.7K	-3.3M	-3.8K	1.44	85.33	238	343	2,154	398
2014-11-11	$18.96	$15.00	25.0%	7.8%	25.2%	17.0%	24.6%	5.9%	0.3%	10.5K	-3.2M	-4.0K	1.78	90.39	193	343	2,173	358
2014-11-12	$19.30	$15.00	22.5%	7.2%	25.5%	10.6%	23.8%	7.8%	-1.6%	4.9K	-3.2M	-4.1K	0.90	99.31	380	343	2,178	398
2014-11-13	$19.40	$15.00	24.1%	7.5%	25.0%	14.6%	23.9%	-2.3%	1.1%	1.8K	-3.2M	-3.8K	0.88	92.39	388	343	2,132	398
2014-11-14	$19.47	$15.00	25.3%	7.9%	23.4%	17.8%	30.6%	-1.2%	-0.5%	-10.3K	-3.3M	-3.5K	0.00	87.60	138	0	2,117	398
2014-11-17	$19.55	$15.00	22.5%	7.1%	22.9%	10.6%	29.4%	-0.9%	2.8%	-22.1K	-3.1M	-3.1K	2.68	94.55	128	343	2,007	398
2014-11-18	$19.57	$15.00	25.7%	7.9%	18.7%	18.9%	27.6%	-2.3%	-1.0%	-17.5K	-3.1M	-3.0K	1.43	89.22	240	343	2,007	398
2014-11-19	$19.25	$15.00	22.5%	7.8%	19.4%	10.6%	31.6%	2.4%	-1.3%	497	-2.9M	-3.0K	0.02	96.46	45	1	1,967	398
2014-11-20	$19.52	$15.00	26.1%	7.4%	19.3%	20.0%	27.1%	-0.0%	-0.8%	-18.7K	-2.7M	-3.1K	2.55	92.48	135	344	1,855	399
2014-11-21	$19.62	$15.00	24.8%	7.8%	19.2%	16.5%	29.5%	-2.9%	2.0%	-27.3K	-2.8M	-2.9K	3.13	87.60	110	344	1,855	399
2014-11-24	$19.52	$15.00	23.9%	6.7%	19.3%	14.3%	14.4%	2.4%	0.4%	21.2K	-3.2M	-1.9K	0.00	105.69	10	0	1,835	116
2014-11-25	$19.62	$15.00	25.9%	7.5%	18.9%	19.3%	31.7%	-0.3%	-3.7%	24.3K	-3.2M	-2.3K	0.19	96.37	323	61	1,835	116
2014-11-26	$19.52	$15.00	21.0%	7.7%	18.8%	6.8%	0.0%	-0.5%	-1.9%	23.1K	-3.0M	-2.2K	0.00	93.52	0	0	1,755	116
2014-11-28	$19.21	$15.00	23.3%	6.9%	18.3%	12.6%	0.0%	-1.1%	-1.8%	21.8K	-3.0M	-2.0K	0.00	103.99	0	0	1,755	116