CSV Options History — January 2015

Name: CSV Options Analytics - January 2015
Creator: Options Analysis Suite

In January 2015, CSV traded between $20.05 and $22.69. ATM implied volatility averaged 25.3%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 0.8% (HV 20d: 26.1%). Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.16.

Notable Days

2015-01-30: Highest Volume — 388 contracts
2015-01-21: Largest IV spike — 67.3% change
2015-01-08: Highest IV Rank — 32.2%
2015-01-21: Largest Expected Move — 8.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.18	$20.05	$22.69	$20.19	$21.80
ATM IV	25.3%	17.2%	30.9%	24.1%	26.2%
Expected Move	7.4%	4.9%	8.2%	7.5%	7.5%
HV 20d	26.1%	21.2%	31.1%	26.5%	31.1%
HV 60d	22.8%	22.2%	23.7%	22.3%	23.5%
IV Rank	19.0%	0.0%	32.2%	14.8%	22.5%
IV Percentile	17.8%	0.0%	39.3%	11.5%	23.4%
Term Structure	1.2%	-0.7%	9.8%	2.0%	0.2%
Skew 25d	4.1%	-3.2%	11.6%	-3.2%	-0.7%
Skew 10d	4.4%	-5.1%	16.9%	-4.7%	-1.1%
Call IV 25d	22.7%	16.5%	28.0%	27.4%	26.7%
Put IV 25d	26.9%	23.2%	31.7%	24.2%	25.9%
Bid-Ask Spread %	98.16	76.51	103.94	94.26	103.94
Gamma HHI	0.54	0.37	0.82	0.38	0.57
Net GEX	19.9K	10.2K	30.5K	19.6K	29.9K
Net DEX	-2.6M	-3.6M	-1.6M	-3.2M	-1.9M
Net VEX	-1.4K	-2.6K	-830	-1.2K	-2.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.16	0.00	0.25	0.25	0.08
Total Volume	190.5	0	388	281	388
Total OI	1,528.75	983	1,998	1,883	1,245

Daily Data (20 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
2015-01-02	$20.19	$0.00	24.1%	7.5%	26.5%	14.8%	0.0%	-3.2%	2.0%	19.6K	-3.2M	-1.2K	0.25	94.26	225	56	1,759	124
2015-01-05	$20.05	$0.00	24.9%	8.0%	26.7%	16.9%	0.0%	4.1%	-0.7%	20.2K	-3.1M	-1.4K	0.00	98.96	0	0	1,759	133
2015-01-06	$20.16	$0.00	26.8%	7.8%	26.7%	21.6%	0.0%	6.0%	1.4%	20.0K	-3.2M	-1.5K	0.00	98.62	0	0	1,759	133
2015-01-07	$20.15	$0.00	26.6%	7.8%	26.1%	21.3%	0.0%	3.1%	0.2%	21.9K	-3.2M	-1.1K	0.00	98.71	0	0	1,759	133
2015-01-08	$20.58	$0.00	30.9%	7.9%	24.1%	32.2%	0.0%	7.7%	0.6%	17.1K	-3.3M	-1.1K	0.25	99.72	225	56	1,759	134
2015-01-09	$20.48	$0.00	22.6%	7.7%	21.2%	10.9%	0.0%	-3.0%	1.1%	19.0K	-3.3M	-1.1K	0.25	96.85	225	56	1,759	134
2015-01-12	$20.17	$0.00	22.3%	7.8%	22.1%	10.2%	0.0%	4.0%	-0.3%	24.1K	-3.2M	-1.1K	0.25	99.62	225	56	1,759	134
2015-01-13	$20.28	$0.00	25.9%	7.9%	22.2%	19.3%	0.0%	5.1%	-0.1%	22.3K	-3.3M	-1.1K	0.25	76.51	225	56	1,759	134
2015-01-14	$20.65	$0.00	28.3%	8.1%	22.8%	25.7%	0.0%	8.5%	-0.4%	16.2K	-3.4M	-898	0.25	100.24	225	56	1,759	134
2015-01-15	$21.59	$0.00	23.9%	6.9%	26.2%	14.3%	0.0%	6.6%	4.0%	10.2K	-3.6M	-830	0.17	96.56	331	56	1,759	134
2015-01-16	$21.45	$0.00	25.7%	7.4%	26.3%	18.7%	0.0%	2.8%	1.0%	21.3K	-3.6M	-1.5K	0.00	99.56	0	11	1,865	133
2015-01-20	$21.29	$0.00	17.2%	4.9%	25.5%	0.0%	0.0%	11.6%	9.8%	16.6K	-1.6M	-1.3K	0.00	99.06	5	0	949	39
2015-01-21	$21.05	$0.00	28.7%	8.2%	25.6%	28.9%	0.0%	10.1%	-0.2%	16.1K	-1.6M	-1.4K	0.00	102.75	0	0	944	39
2015-01-22	$21.65	$0.00	23.4%	6.7%	27.4%	15.6%	0.0%	5.8%	2.0%	14.4K	-1.7M	-1.2K	0.25	99.88	120	30	944	40
2015-01-23	$21.86	$0.00	24.7%	7.1%	27.5%	18.8%	0.0%	6.5%	1.3%	14.8K	-1.7M	-1.2K	0.25	99.88	120	30	944	40
2015-01-26	$22.38	$0.00	25.9%	7.4%	28.5%	21.9%	0.0%	-0.9%	0.5%	16.3K	-1.8M	-1.3K	0.00	93.35	20	0	944	39
2015-01-27	$22.66	$0.00	25.8%	7.4%	28.7%	21.6%	0.0%	3.6%	0.7%	17.6K	-1.9M	-1.4K	0.00	99.84	241	0	964	39
2015-01-28	$22.69	$0.00	26.2%	7.5%	28.6%	22.6%	0.0%	4.1%	0.1%	30.5K	-2.1M	-2.6K	0.08	103.71	356	30	1,205	40
2015-01-29	$22.49	$0.00	25.8%	7.4%	28.6%	21.5%	0.0%	1.0%	0.6%	30.5K	-2.1M	-2.4K	0.08	101.17	356	30	1,205	40
2015-01-30	$21.80	$0.00	26.2%	7.5%	31.1%	22.5%	0.0%	-0.7%	0.2%	29.9K	-1.9M	-2.4K	0.08	103.94	358	30	1,205	40