CSV Options History — February 2015

In February 2015, CSV traded between $21.77 and $22.96. ATM implied volatility averaged 26.0%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 1.4% (HV 20d: 24.5%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.08.

Notable Days

2015-02-18: Highest Volume — 440 contracts
2015-02-09: Largest IV drop — 9.9% change
2015-02-18: Highest IV Rank — 26.8%
2015-02-18: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.37	$21.77	$22.96	$22.03	$22.96
Max Pain	$22.50	$22.50	$22.50	$22.50	$22.50
ATM IV	26.0%	24.2%	27.9%	24.9%	25.1%
Expected Move	7.5%	7.0%	8.0%	7.1%	7.2%
HV 20d	24.5%	18.9%	29.1%	27.5%	19.3%
HV 60d	23.7%	23.4%	24.0%	23.6%	23.4%
IV Rank	22.0%	17.6%	26.8%	19.2%	19.9%
IV Percentile	21.9%	13.1%	30.6%	15.5%	16.3%
Term Structure	0.4%	-1.9%	2.2%	1.4%	-1.9%
VWIV	26.5%	25.1%	27.9%	27.1%	25.1%
Skew 25d	7.7%	-0.9%	28.5%	0.1%	23.5%
Skew 10d	13.1%	-1.6%	50.6%	-0.9%	50.6%
Call IV 25d	23.4%	20.0%	26.3%	26.1%	22.2%
Put IV 25d	31.1%	24.6%	51.6%	26.2%	45.7%
Bid-Ask Spread %	97.55	81.42	106.58	106.58	97.85
Gamma HHI	0.68	0.59	0.81	0.61	0.81
Net GEX	46.2K	29.9K	82.3K	29.9K	82.3K
Net DEX	-1.3M	-2.1M	-491.2K	-2.0M	-1.1M
Net VEX	-2.6K	-3.1K	-2.2K	-2.3K	-2.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.08	0.00	0.11	0.08	0.11
Total Volume	331.316	0	440	0	308
Total OI	947.368	605	1,252	1,246	903

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
2015-02-02	$22.03	$0.00	24.9%	7.1%	27.5%	19.2%	0.0%	0.1%	1.4%	29.9K	-2.0M	-2.3K	0.00	106.58	0	0	1,207	39
2015-02-03	$22.44	$0.00	25.0%	7.2%	27.6%	19.5%	0.0%	-0.9%	2.0%	31.5K	-2.1M	-2.4K	0.08	102.04	358	30	1,207	40
2015-02-04	$22.20	$0.00	24.6%	7.0%	28.2%	18.5%	0.0%	1.6%	1.7%	31.7K	-2.0M	-2.4K	0.08	104.63	358	30	1,207	40
2015-02-05	$22.36	$22.50	25.7%	7.7%	28.2%	21.4%	27.1%	9.5%	0.1%	31.3K	-2.0M	-2.4K	0.08	94.49	358	30	1,207	40
2015-02-06	$22.31	$22.50	26.9%	7.6%	27.6%	24.3%	26.7%	9.1%	-0.4%	32.6K	-2.0M	-2.4K	0.08	90.91	361	30	1,207	40
2015-02-09	$21.81	$22.50	24.2%	7.6%	29.1%	17.6%	26.8%	5.2%	0.8%	31.6K	-1.9M	-2.3K	0.08	96.43	361	30	1,212	40
2015-02-10	$21.77	$22.50	26.2%	7.6%	28.3%	22.7%	26.9%	6.3%	-0.6%	30.9K	-1.9M	-2.2K	0.08	96.76	361	30	1,212	40
2015-02-11	$21.79	$22.50	26.1%	7.5%	28.3%	22.4%	26.4%	6.3%	0.1%	32.6K	-491.2K	-2.2K	0.08	98.96	366	30	565	40
2015-02-12	$22.04	$22.50	26.5%	7.6%	28.0%	23.4%	26.5%	7.8%	1.4%	33.3K	-546.0K	-2.3K	0.07	95.89	407	30	565	40
2015-02-13	$22.30	$22.50	26.5%	7.6%	23.7%	23.3%	26.5%	2.5%	-1.5%	41.2K	-636.3K	-2.4K	0.07	99.02	407	30	615	40
2015-02-17	$22.45	$22.50	26.7%	7.7%	23.5%	23.8%	26.7%	2.5%	-0.6%	42.3K	-654.6K	-2.4K	0.07	98.92	407	30	615	40
2015-02-18	$22.71	$22.50	27.9%	8.0%	23.5%	26.8%	27.9%	4.2%	0.5%	41.5K	-729.6K	-2.4K	0.07	99.40	410	30	615	40
2015-02-19	$22.79	$22.50	26.6%	7.6%	22.8%	23.6%	0.0%	5.7%	-0.4%	50.7K	-898.4K	-2.7K	0.00	98.15	120	0	705	39
2015-02-20	$22.68	$22.50	27.4%	7.8%	21.1%	25.5%	27.4%	2.6%	0.1%	59.9K	-990.8K	-3.1K	0.00	81.42	30	0	825	39
2015-02-23	$22.59	$22.50	25.4%	7.3%	21.1%	20.5%	25.3%	28.5%	1.6%	66.5K	-977.4K	-3.0K	0.07	97.76	409	30	850	40
2015-02-24	$22.56	$22.50	25.4%	7.3%	19.4%	20.7%	25.4%	2.1%	2.2%	66.4K	-995.2K	-3.0K	0.11	97.39	268	30	850	40
2015-02-25	$22.50	$22.50	26.1%	7.5%	18.9%	22.2%	26.1%	2.7%	0.8%	67.5K	-975.3K	-3.0K	0.11	99.13	278	30	853	40
2015-02-26	$22.79	$22.50	26.0%	7.5%	19.5%	22.2%	26.0%	27.4%	-0.4%	74.1K	-1.0M	-3.0K	0.11	97.67	278	30	863	40
2015-02-27	$22.96	$22.50	25.1%	7.2%	19.3%	19.9%	25.1%	23.5%	-1.9%	82.3K	-1.1M	-2.9K	0.11	97.85	278	30	863	40