CSV Options History — January 2016

In January 2016, CSV traded between $21.88 and $23.52. ATM implied volatility averaged 35.6%, placing in the 32.1% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 13.6% (HV 20d: 22.0%). 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 13 of 19 days. Put/call ratio averaged 0.46.

Notable Days

2016-01-20: Highest Volume — 246 contracts
2016-01-26: Largest IV spike — 150.5% change
2016-01-26: Highest IV Rank — 91.1%
2016-01-26: Largest Expected Move — 20.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.43	$21.88	$23.52	$23.43	$22.12
Max Pain	$22.50	$22.50	$22.50	$22.50	$22.50
ATM IV	35.6%	26.8%	72.3%	29.9%	45.7%
Expected Move	9.1%	6.2%	20.7%	8.1%	13.1%
HV 20d	22.0%	19.4%	24.3%	23.7%	22.1%
HV 60d	30.1%	29.1%	31.0%	29.6%	29.2%
IV Rank	32.1%	18.0%	91.1%	23.0%	48.4%
IV Percentile	77.7%	59.9%	99.6%	73.4%	96.8%
Term Structure	1.5%	-12.3%	17.8%	1.4%	-10.6%
VWIV	31.5%	20.9%	54.5%	27.9%	52.9%
Skew 25d	4.3%	-10.3%	18.7%	2.1%	18.7%
Skew 10d	4.0%	-25.1%	14.5%	-2.8%	7.6%
Call IV 25d	27.8%	20.3%	52.1%	25.2%	28.5%
Put IV 25d	32.1%	24.1%	47.2%	27.2%	47.2%
Bid-Ask Spread %	112.80	100.08	140.78	104.63	130.33
Gamma HHI	0.40	0.27	0.62	0.51	0.32
Net GEX	8.8K	160	22.1K	21.4K	790
Net DEX	-32.4K	-208.9K	135.3K	-208.9K	21.4K
Net VEX	-979	-1.4K	-639	-1.4K	-912
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.46	0.11	0.79	0.21	0.79
Total Volume	206.632	153	246	181	245
Total OI	508.632	275	667	667	370

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
2016-01-04	$23.43	$0.00	29.9%	8.1%	23.7%	23.0%	27.9%	2.1%	1.4%	21.4K	-208.9K	-1.4K	0.21	104.63	150	31	504	163
2016-01-05	$23.52	$22.50	32.4%	8.2%	19.6%	27.0%	28.4%	3.0%	-0.6%	22.1K	-195.8K	-1.3K	0.21	102.63	150	31	504	163
2016-01-06	$23.34	$22.50	45.6%	8.7%	19.4%	48.3%	31.4%	2.0%	-1.3%	20.3K	-168.0K	-1.3K	0.21	112.98	150	31	504	163
2016-01-07	$22.80	$22.50	29.7%	8.3%	20.1%	22.7%	28.2%	-3.7%	6.8%	15.0K	-78.5K	-1.2K	0.21	100.08	150	31	504	163
2016-01-08	$22.53	$22.50	53.4%	6.2%	19.8%	60.7%	20.9%	3.0%	6.1%	14.8K	-25.6K	-1.1K	0.21	113.75	150	31	504	163
2016-01-11	$22.46	$22.50	40.2%	7.1%	19.8%	39.5%	26.3%	9.1%	0.8%	13.1K	-27.8K	-945	0.21	105.68	150	31	504	163
2016-01-12	$22.64	$22.50	32.6%	8.3%	19.7%	27.4%	28.8%	5.5%	-1.7%	16.2K	-58.6K	-836	0.21	103.43	150	32	504	131
2016-01-13	$22.00	$22.50	26.8%	7.7%	20.7%	18.0%	29.4%	10.4%	-0.3%	12.0K	-53.1K	-944	0.23	115.50	142	32	504	141
2016-01-14	$22.51	$22.50	27.4%	7.8%	22.8%	18.9%	27.4%	10.0%	1.2%	10.8K	-3.2K	-703	0.23	100.98	142	32	482	141
2016-01-15	$22.19	$22.50	27.4%	7.9%	22.8%	19.0%	30.3%	6.7%	2.9%	4.9K	135.3K	-730	0.37	116.26	142	53	482	141
2016-01-19	$21.97	$22.50	31.7%	9.1%	22.8%	25.8%	30.7%	2.7%	17.8%	5.5K	-48.0K	-750	0.11	126.10	138	15	230	45
2016-01-20	$22.36	$22.50	29.4%	8.4%	24.2%	22.2%	29.8%	7.5%	3.0%	4.9K	-17.5K	-639	0.78	116.37	138	108	230	45
2016-01-21	$22.11	$22.50	27.7%	7.9%	24.3%	19.4%	27.8%	8.3%	3.6%	1.0K	18.2K	-960	0.78	102.48	138	108	230	138
2016-01-22	$22.09	$22.50	27.9%	8.0%	24.1%	19.7%	27.8%	5.9%	1.5%	160	38.1K	-911	0.79	105.11	137	108	230	138
2016-01-25	$22.02	$22.50	28.9%	8.3%	23.0%	21.3%	29.0%	-2.5%	1.9%	783	30.7K	-921	0.79	104.51	137	108	232	138
2016-01-26	$22.06	$22.50	72.3%	20.7%	23.1%	91.1%	54.5%	-10.3%	-12.3%	2.6K	-51.1K	-1.3K	0.79	129.37	137	108	232	138
2016-01-27	$21.88	$22.50	39.6%	11.4%	23.1%	38.5%	39.1%	4.6%	4.7%	378	38.7K	-933	0.79	140.78	137	108	232	138
2016-01-28	$22.08	$22.50	27.8%	8.0%	22.5%	19.6%	28.4%	-0.8%	2.6%	399	37.4K	-860	0.79	112.28	137	108	232	138
2016-01-29	$22.12	$22.50	45.7%	13.1%	22.1%	48.4%	52.9%	18.7%	-10.6%	790	21.4K	-912	0.79	130.33	137	108	232	138