CSV Options History — March 2015

In March 2015, CSV traded between $23.43 and $25.00. ATM implied volatility averaged 20.7%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 4.2% (HV 20d: 16.5%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.73.

Notable Days

2015-03-13: Highest Volume — 376 contracts
2015-03-03: Largest IV drop — 38.6% change
2015-03-02: Highest IV Rank — 25.4%
2015-03-02: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.20	$23.43	$25.00	$23.44	$23.87
Max Pain	$18.18	$17.50	$22.50	$22.50	$17.50
ATM IV	20.7%	16.8%	27.3%	27.3%	17.6%
Expected Move	5.9%	4.8%	7.8%	7.8%	5.1%
HV 20d	16.5%	15.3%	18.5%	16.4%	16.8%
HV 60d	22.5%	21.1%	24.1%	23.6%	21.1%
IV Rank	9.8%	0.0%	25.4%	25.4%	2.2%
IV Percentile	5.3%	0.0%	32.5%	32.5%	0.8%
Term Structure	4.1%	-2.6%	11.6%	-2.6%	5.3%
VWIV	21.2%	17.9%	26.9%	26.9%	20.3%
Skew 25d	0.1%	-8.6%	13.3%	7.8%	3.0%
Skew 10d	-3.3%	-13.6%	5.2%	5.2%	-7.5%
Call IV 25d	21.7%	15.4%	27.6%	19.7%	17.9%
Put IV 25d	21.8%	18.6%	31.7%	27.5%	20.9%
Bid-Ask Spread %	101.29	83.40	108.57	104.81	105.81
Gamma HHI	0.63	0.50	0.87	0.73	0.54
Net GEX	71.1K	49.6K	99.2K	60.4K	99.2K
Net DEX	-2.0M	-2.8M	-1.2M	-1.2M	-2.2M
Net VEX	-4.9K	-8.1K	-1.9K	-2.5K	-7.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.73	0.00	10.00	0.12	0.13
Total Volume	157.227	0	376	272	283
Total OI	1,249.773	801	1,712	803	1,673

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
2015-03-02	$23.44	$22.50	27.3%	7.8%	16.4%	25.4%	26.9%	7.8%	-2.6%	60.4K	-1.2M	-2.5K	0.12	104.81	242	30	763	40
2015-03-03	$23.97	$22.50	16.8%	4.8%	17.6%	0.0%	18.6%	13.3%	4.8%	61.6K	-1.3M	-2.2K	0.12	102.84	244	30	761	40
2015-03-04	$23.74	$22.50	21.6%	6.2%	17.4%	11.9%	21.7%	1.8%	1.1%	58.3K	-1.3M	-2.2K	0.11	108.57	284	30	761	40
2015-03-05	$23.74	$17.50	19.8%	5.4%	16.7%	7.5%	17.9%	-0.2%	10.5%	61.9K	-1.4M	-2.3K	0.10	101.09	292	30	801	40
2015-03-06	$23.43	$17.50	19.7%	6.2%	17.6%	7.1%	21.8%	-0.4%	5.0%	70.5K	-1.2M	-2.4K	0.10	99.76	292	30	801	40
2015-03-09	$23.90	$17.50	19.4%	5.1%	18.5%	6.6%	0.0%	7.3%	11.4%	56.8K	-1.4M	-2.1K	0.00	98.37	0	0	801	39
2015-03-10	$23.95	$17.50	20.8%	5.3%	15.8%	10.0%	0.0%	9.7%	11.6%	54.7K	-1.4M	-2.2K	0.00	103.04	0	0	801	39
2015-03-11	$24.06	$17.50	18.4%	5.3%	15.6%	3.9%	0.0%	2.4%	11.2%	54.4K	-1.4M	-2.1K	0.00	104.95	0	0	801	39
2015-03-12	$24.10	$17.50	22.5%	6.5%	15.6%	14.2%	0.0%	-4.7%	2.1%	49.6K	-1.5M	-1.9K	0.00	100.01	45	0	801	39
2015-03-13	$24.29	$17.50	21.7%	6.2%	15.5%	12.1%	0.0%	-3.7%	3.0%	49.8K	-1.6M	-2.2K	0.00	102.07	376	0	846	39
2015-03-16	$24.32	$17.50	21.1%	6.1%	15.3%	10.8%	0.0%	-2.8%	3.1%	64.4K	-2.0M	-4.7K	0.00	102.49	153	0	1,210	39
2015-03-17	$24.51	$17.50	20.2%	5.8%	15.3%	8.6%	0.0%	-2.0%	3.9%	75.2K	-2.3M	-5.4K	10.00	102.16	1	10	1,362	39
2015-03-18	$24.25	$17.50	20.3%	5.8%	16.0%	8.6%	0.0%	-2.3%	3.6%	76.2K	-2.2M	-5.8K	0.03	102.50	335	10	1,363	49
2015-03-19	$24.35	$17.50	19.1%	5.5%	16.0%	5.9%	0.0%	-0.6%	5.1%	91.5K	-2.6M	-7.6K	0.00	83.40	0	0	1,663	49
2015-03-20	$24.63	$17.50	20.6%	5.9%	15.9%	9.5%	0.0%	-2.4%	4.0%	80.3K	-2.7M	-7.9K	0.00	100.84	60	0	1,663	49
2015-03-23	$24.55	$17.50	20.1%	5.8%	15.8%	8.3%	20.3%	-3.9%	2.8%	77.9K	-2.6M	-7.9K	0.00	102.26	30	0	1,603	39
2015-03-24	$25.00	$17.50	21.9%	6.3%	16.5%	12.6%	0.0%	-3.4%	1.3%	73.4K	-2.8M	-7.8K	0.00	100.45	0	0	1,633	39
2015-03-25	$24.74	$17.50	22.7%	6.5%	17.2%	14.6%	0.0%	-3.3%	0.8%	86.2K	-2.6M	-8.1K	0.00	99.76	0	0	1,633	39
2015-03-26	$24.75	$17.50	21.2%	6.1%	17.0%	10.9%	22.1%	-2.9%	2.1%	82.3K	-2.6M	-7.9K	0.10	102.13	296	30	1,633	40
2015-03-27	$24.69	$17.50	21.4%	6.1%	17.1%	11.6%	0.0%	-3.0%	1.3%	83.3K	-2.6M	-7.9K	0.00	102.86	0	0	1,633	39
2015-03-30	$24.17	$17.50	21.7%	6.2%	18.0%	12.3%	21.1%	-8.6%	-2.0%	95.7K	-2.4M	-7.9K	0.10	98.27	296	30	1,633	40
2015-03-31	$23.87	$17.50	17.6%	5.1%	16.8%	2.2%	20.3%	3.0%	5.3%	99.2K	-2.2M	-7.6K	0.13	105.81	251	32	1,633	40