CSV Options History — September 2015

In September 2015, CSV traded between $20.62 and $23.00. ATM implied volatility averaged 35.1%, placing in the 47.1% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 3.7% (HV 20d: 31.4%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.27.

Notable Days

2015-09-02: Highest Volume — 284 contracts
2015-09-30: Largest IV drop — 34.2% change
2015-09-28: Highest IV Rank — 68.6%
2015-09-28: Largest Expected Move — 12.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.92	$20.62	$23.00	$21.94	$21.65
Max Pain	$25.00	$25.00	$25.00	$25.00	$25.00
ATM IV	35.1%	26.8%	44.1%	32.3%	26.8%
Expected Move	9.9%	7.7%	12.6%	9.2%	7.7%
HV 20d	31.4%	24.2%	34.8%	34.6%	24.2%
HV 60d	26.3%	25.5%	27.8%	25.5%	27.8%
IV Rank	47.1%	26.9%	68.6%	40.1%	26.9%
IV Percentile	90.8%	68.3%	99.2%	87.3%	68.3%
Term Structure	-2.3%	-8.8%	10.2%	-3.7%	4.8%
VWIV	32.4%	26.3%	36.7%	36.7%	26.3%
Skew 25d	3.2%	-8.1%	12.7%	-8.1%	12.7%
Skew 10d	6.2%	-14.0%	43.3%	-7.2%	43.3%
Call IV 25d	35.0%	28.9%	42.3%	36.8%	28.9%
Put IV 25d	38.2%	27.5%	44.8%	28.8%	41.6%
Bid-Ask Spread %	96.77	82.76	108.68	104.73	98.09
Gamma HHI	0.79	0.64	0.87	0.83	0.75
Net GEX	24.0K	7.2K	39.4K	28.3K	13.9K
Net DEX	-79.4K	-301.3K	102.8K	-162.0K	47.5K
Net VEX	-1.8K	-2.7K	-992	-2.3K	-1.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.27	0.15	1.00	0.25	0.25
Total Volume	185.19	0	284	193	205
Total OI	857.952	854	870	854	870

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
2015-09-01	$21.94	$25.00	32.3%	9.2%	34.6%	40.1%	36.7%	-8.1%	-3.7%	28.3K	-162.0K	-2.3K	0.25	104.73	155	38	731	123
2015-09-02	$22.16	$25.00	40.5%	11.6%	33.8%	60.1%	29.4%	3.5%	-6.1%	27.8K	-150.2K	-2.4K	0.15	108.68	246	38	731	125
2015-09-03	$22.53	$25.00	38.4%	10.1%	34.2%	55.0%	36.7%	3.1%	-1.8%	33.8K	-248.2K	-2.6K	0.15	96.75	246	38	731	125
2015-09-04	$22.69	$25.00	38.5%	9.7%	34.3%	55.1%	33.3%	3.8%	-2.4%	33.5K	-215.7K	-2.5K	0.15	93.01	246	38	731	125
2015-09-08	$23.00	$25.00	40.8%	9.9%	33.6%	60.8%	30.6%	6.3%	-3.5%	39.4K	-301.3K	-2.7K	1.00	82.76	2	2	731	125
2015-09-09	$22.66	$25.00	34.6%	9.9%	33.4%	45.9%	34.2%	4.2%	-5.1%	35.5K	-230.4K	-2.4K	0.26	90.24	147	38	731	125
2015-09-10	$22.61	$25.00	31.0%	8.9%	33.3%	37.2%	31.0%	3.8%	-2.0%	36.2K	-194.5K	-2.3K	0.26	95.34	147	38	731	125
2015-09-11	$22.78	$25.00	34.1%	9.8%	33.4%	44.6%	34.0%	6.5%	-2.9%	34.0K	-182.4K	-2.3K	0.26	102.24	147	38	731	125
2015-09-14	$22.35	$25.00	33.8%	9.7%	34.0%	43.9%	32.8%	6.3%	-6.0%	31.7K	-155.4K	-2.1K	0.24	94.90	147	35	731	125
2015-09-15	$22.27	$25.00	32.9%	9.4%	33.2%	41.8%	0.0%	-7.5%	-3.3%	29.9K	-109.7K	-2.0K	0.00	97.32	0	0	730	127
2015-09-16	$22.17	$25.00	35.9%	10.3%	33.2%	48.8%	35.6%	3.5%	-4.1%	29.8K	-139.9K	-2.1K	0.24	93.61	147	35	730	127
2015-09-17	$22.30	$25.00	35.3%	10.1%	33.3%	47.4%	35.8%	5.4%	-5.3%	32.6K	-151.0K	-2.1K	0.24	98.95	147	35	730	127
2015-09-18	$21.65	$25.00	33.2%	9.5%	34.7%	42.4%	32.9%	3.7%	-4.8%	19.1K	7.0K	-1.5K	0.24	90.20	147	35	730	127
2015-09-21	$21.77	$25.00	32.6%	9.3%	34.8%	40.9%	32.4%	4.5%	-3.8%	15.5K	42.1K	-1.3K	0.24	98.04	147	35	727	127
2015-09-22	$21.32	$25.00	30.3%	8.7%	29.1%	35.5%	29.7%	-0.1%	-3.2%	14.6K	46.1K	-1.3K	0.24	98.27	147	35	730	127
2015-09-23	$21.19	$25.00	33.1%	9.5%	28.6%	42.1%	30.2%	2.7%	9.5%	13.7K	51.7K	-1.3K	0.25	95.35	150	38	730	127
2015-09-24	$21.04	$25.00	32.8%	9.4%	28.7%	41.6%	27.4%	5.7%	10.2%	10.1K	88.8K	-1.1K	0.25	94.88	150	38	730	125
2015-09-25	$20.79	$25.00	36.2%	10.4%	25.4%	49.6%	35.0%	-7.1%	-1.3%	7.2K	102.8K	-992	0.23	100.52	164	38	730	125
2015-09-28	$20.62	$25.00	44.1%	12.6%	24.6%	68.6%	30.4%	8.3%	-8.8%	8.8K	89.3K	-1.1K	0.25	96.78	164	41	744	125
2015-09-29	$20.89	$25.00	40.6%	11.7%	25.5%	60.3%	32.9%	6.8%	-4.3%	8.1K	98.6K	-1.0K	0.25	101.60	164	41	744	126
2015-09-30	$21.65	$25.00	26.8%	7.7%	24.2%	26.9%	26.3%	12.7%	4.8%	13.9K	47.5K	-1.2K	0.25	98.09	164	41	744	126