CSV Options History — February 2016

In February 2016, CSV traded between $20.04 and $22.58. ATM implied volatility averaged 42.5%, placing in the 30.7% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 17.3% (HV 20d: 25.2%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.64.

Notable Days

2016-02-17: Highest Volume — 340 contracts
2016-02-05: Largest IV spike — 254.3% change
2016-02-05: Highest IV Rank — 100.0%
2016-02-22: Largest Expected Move — 14.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.92	$20.04	$22.58	$22.58	$20.64
Max Pain	$22.50	$22.50	$22.50	$22.50	$22.50
ATM IV	42.5%	30.2%	109.6%	42.7%	48.9%
Expected Move	10.9%	8.7%	14.9%	12.3%	14.0%
HV 20d	25.2%	21.6%	32.3%	23.8%	32.3%
HV 60d	26.4%	24.2%	29.5%	29.4%	27.1%
IV Rank	30.7%	15.6%	100.0%	43.6%	35.5%
IV Percentile	86.9%	67.5%	100.0%	95.2%	96.4%
Term Structure	-4.5%	-32.0%	8.0%	-5.7%	-8.0%
VWIV	34.2%	24.7%	42.3%	42.3%	34.1%
Skew 25d	4.6%	-4.0%	17.1%	5.7%	10.9%
Skew 10d	5.1%	-6.8%	35.6%	-4.7%	-3.0%
Call IV 25d	33.1%	25.0%	41.5%	31.1%	35.4%
Put IV 25d	37.8%	27.2%	46.3%	36.7%	46.3%
Bid-Ask Spread %	120.71	97.59	148.42	133.72	148.42
Gamma HHI	0.43	0.32	0.65	0.35	0.45
Net GEX	-1.3K	-4.8K	1.0K	-6	-1.6K
Net DEX	84.4K	13.4K	162.5K	13.4K	107.5K
Net VEX	-654	-846	-420	-809	-547
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.64	0.48	0.79	0.79	0.51
Total Volume	285.9	245	340	245	320
Total OI	377.8	370	383	370	379

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
2016-02-01	$22.58	$22.50	42.7%	12.3%	23.8%	43.6%	42.3%	5.7%	-5.7%	-6	13.4K	-809	0.79	133.72	137	108	232	138
2016-02-02	$22.03	$22.50	30.2%	8.7%	22.8%	23.5%	33.9%	-3.4%	-2.3%	1.0K	20.9K	-846	0.79	116.96	137	108	232	138
2016-02-03	$22.03	$22.50	32.8%	9.4%	22.7%	27.7%	34.1%	-2.9%	-4.0%	-1.1K	52.1K	-749	0.79	110.72	137	108	232	138
2016-02-04	$21.30	$0.00	30.9%	9.2%	25.1%	24.7%	31.1%	3.4%	0.6%	-857	71.5K	-757	0.73	99.20	147	108	232	138
2016-02-05	$20.95	$22.50	109.6%	9.6%	24.6%	100.0%	33.0%	6.4%	-8.2%	26	51.0K	-804	0.73	111.31	147	108	242	138
2016-02-08	$20.94	$22.50	51.3%	11.4%	24.4%	38.0%	34.1%	2.8%	-3.9%	-1.4K	93.1K	-706	0.73	111.51	147	108	242	138
2016-02-09	$20.62	$22.50	37.5%	10.1%	24.8%	23.3%	35.9%	-4.0%	-3.3%	-1.6K	98.2K	-673	0.73	106.76	147	108	242	138
2016-02-10	$20.42	$22.50	38.7%	11.1%	24.4%	24.5%	32.6%	12.1%	-2.0%	-1.6K	97.3K	-682	0.73	108.14	147	108	242	138
2016-02-11	$20.66	$22.50	37.1%	10.6%	23.5%	22.9%	34.1%	7.2%	-1.8%	-1.9K	105.4K	-646	0.73	97.59	147	108	242	138
2016-02-12	$20.38	$22.50	40.4%	11.6%	21.6%	26.4%	40.2%	-1.5%	-3.3%	-1.9K	102.3K	-635	0.73	140.18	147	108	242	138
2016-02-16	$20.70	$22.50	38.9%	11.1%	22.5%	24.8%	36.9%	5.8%	-3.0%	-2.5K	114.1K	-614	0.74	112.28	148	110	242	138
2016-02-17	$20.94	$22.50	42.8%	12.3%	22.9%	28.9%	35.1%	10.5%	-10.4%	-787	77.1K	-682	0.48	133.13	230	110	243	140
2016-02-18	$20.56	$22.50	30.7%	8.8%	22.3%	16.1%	37.7%	-3.9%	8.0%	-913	94.6K	-667	0.48	131.09	230	110	242	140
2016-02-19	$21.04	$22.50	30.3%	8.7%	24.1%	15.6%	24.8%	13.3%	5.8%	-2.1K	98.5K	-590	0.48	116.96	230	110	242	140
2016-02-22	$20.78	$22.50	52.0%	14.9%	24.4%	38.7%	32.9%	9.0%	-32.0%	93	49.9K	-612	0.51	132.57	212	108	236	138
2016-02-23	$20.07	$22.50	44.6%	12.8%	26.8%	30.9%	41.0%	-3.1%	-13.6%	-1.6K	105.6K	-570	0.51	131.07	212	108	241	138
2016-02-24	$20.04	$22.50	33.1%	9.5%	26.8%	18.7%	30.6%	2.4%	3.2%	-4.8K	162.5K	-420	0.51	126.60	212	108	241	138
2016-02-25	$20.99	$22.50	33.7%	9.6%	32.3%	19.2%	34.6%	4.5%	5.2%	-835	82.3K	-556	0.51	105.86	212	108	241	138
2016-02-26	$20.67	$22.50	44.3%	12.7%	32.3%	30.6%	24.7%	17.1%	-11.8%	-2.1K	90.3K	-507	0.51	140.19	212	108	241	138
2016-02-29	$20.64	$22.50	48.9%	14.0%	32.3%	35.5%	34.1%	10.9%	-8.0%	-1.6K	107.5K	-547	0.51	148.42	212	108	241	138