CSV Options History — November 2015

In November 2015, CSV traded between $21.50 and $24.93. ATM implied volatility averaged 33.5%, placing in the 33.7% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 0.5% (HV 20d: 33.9%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 2.99.

Notable Days

2015-11-02: Highest Volume — 841 contracts
2015-11-06: Largest IV spike — 185.0% change
2015-11-06: Highest IV Rank — 100.0%
2015-11-06: Largest Expected Move — 14.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.71	$21.50	$24.93	$21.50	$24.69
Max Pain	$22.50	$22.50	$22.50	$22.50	$22.50
ATM IV	33.5%	23.0%	77.9%	43.5%	35.8%
Expected Move	8.8%	6.6%	14.1%	12.5%	10.3%
HV 20d	33.9%	22.6%	39.9%	24.8%	35.0%
HV 60d	30.0%	27.3%	31.5%	27.8%	28.7%
IV Rank	33.7%	11.9%	100.0%	78.4%	32.4%
IV Percentile	71.3%	32.5%	100.0%	98.8%	91.3%
Term Structure	-0.2%	-13.9%	33.7%	-6.0%	-10.7%
VWIV	40.1%	28.0%	46.5%	45.6%	28.0%
Skew 25d	-0.7%	-29.3%	18.0%	1.2%	-4.3%
Skew 10d	-0.8%	-71.7%	41.6%	8.0%	-4.8%
Call IV 25d	32.6%	19.6%	73.4%	42.4%	39.9%
Put IV 25d	31.9%	20.5%	47.0%	43.7%	35.6%
Bid-Ask Spread %	118.77	100.11	151.10	120.03	122.28
Gamma HHI	0.74	0.50	0.96	0.51	0.72
Net GEX	-37.9K	-218.6K	21.7K	4.6K	20.8K
Net DEX	-10.8K	-500.1K	1.4M	22.3K	-488.5K
Net VEX	-2.3K	-3.2K	-1.2K	-1.2K	-2.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.99	0.00	7.00	3.38	1.03
Total Volume	369.2	0	841	841	0
Total OI	965	343	1,442	343	555

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
2015-11-02	$21.50	$22.50	43.5%	12.5%	24.8%	78.4%	45.6%	1.2%	-6.0%	4.6K	22.3K	-1.2K	3.38	120.03	192	649	228	115
2015-11-03	$21.50	$22.50	46.1%	13.2%	22.6%	85.6%	46.5%	3.0%	-13.9%	-43.9K	935.0K	-2.3K	2.29	100.11	192	440	253	744
2015-11-04	$22.03	$22.50	28.2%	8.1%	24.0%	35.5%	28.0%	-29.3%	-0.5%	-142.3K	1.4M	-3.2K	2.08	126.70	202	420	278	1,164
2015-11-05	$22.90	$0.00	27.3%	7.9%	27.3%	33.0%	0.0%	18.0%	8.8%	-218.6K	451.8K	-2.5K	2.07	117.98	203	420	288	785
2015-11-06	$24.13	$0.00	77.9%	14.1%	32.1%	100.0%	0.0%	1.7%	5.5%	-39.3K	57.1K	-2.7K	0.00	151.10	0	0	300	785
2015-11-09	$23.35	$0.00	58.1%	9.0%	34.9%	68.2%	0.0%	-9.7%	-2.6%	-48.2K	310.1K	-2.6K	0.00	130.27	0	8	300	785
2015-11-10	$23.44	$0.00	25.0%	7.4%	34.7%	15.2%	0.0%	-0.1%	-0.2%	-76.9K	40.2K	-2.2K	2.04	104.38	203	415	300	793
2015-11-11	$23.50	$0.00	24.7%	7.1%	34.6%	14.7%	0.0%	0.0%	33.7%	-68.7K	20.5K	-2.3K	2.04	130.95	203	415	300	796
2015-11-12	$23.20	$0.00	29.9%	8.6%	34.9%	23.0%	0.0%	-0.7%	-2.5%	-86.0K	168.6K	-2.4K	3.63	106.10	117	425	350	796
2015-11-13	$23.64	$0.00	27.4%	7.8%	34.9%	18.9%	0.0%	8.9%	-5.2%	-51.4K	116.9K	-2.4K	3.72	122.03	115	428	350	806
2015-11-16	$23.72	$0.00	26.4%	7.6%	34.9%	17.3%	0.0%	9.2%	2.7%	-50.4K	54.4K	-2.2K	0.00	117.46	75	0	350	809
2015-11-17	$24.51	$0.00	24.1%	6.9%	36.4%	13.6%	0.0%	-2.3%	5.5%	-12.8K	-371.9K	-2.3K	3.93	120.97	109	428	415	809
2015-11-18	$24.93	$0.00	27.1%	7.8%	36.5%	18.5%	0.0%	7.9%	-2.3%	-5.1K	-478.8K	-2.2K	3.93	107.38	109	428	417	809
2015-11-19	$23.90	$0.00	24.2%	6.9%	39.8%	13.8%	0.0%	-3.4%	-0.3%	-41.3K	-176.2K	-2.3K	4.81	120.47	89	428	417	809
2015-11-20	$24.11	$0.00	23.0%	6.6%	39.8%	11.9%	0.0%	3.7%	-3.2%	20.8K	-435.2K	-2.1K	4.81	118.27	89	428	417	809
2015-11-23	$24.50	$0.00	28.6%	8.2%	39.9%	21.0%	0.0%	-5.5%	0.7%	19.0K	-409.4K	-2.1K	7.00	121.51	1	7	394	139
2015-11-24	$24.87	$0.00	32.6%	9.3%	38.9%	27.3%	0.0%	-2.1%	-4.2%	21.7K	-500.1K	-2.1K	0.00	126.47	0	0	394	146
2015-11-25	$24.89	$0.00	29.4%	8.4%	37.3%	22.1%	0.0%	-4.6%	-4.1%	20.5K	-487.3K	-2.1K	1.03	101.95	36	37	394	146
2015-11-27	$24.79	$0.00	30.2%	8.6%	35.0%	23.4%	0.0%	-6.0%	-4.9%	20.0K	-448.4K	-2.2K	1.03	108.95	36	37	394	161
2015-11-30	$24.69	$0.00	35.8%	10.3%	35.0%	32.4%	0.0%	-4.3%	-10.7%	20.8K	-488.5K	-2.0K	0.00	122.28	0	0	394	161