CSV Options History — April 2016

In April 2016, CSV traded between $21.39 and $24.78. ATM implied volatility averaged 36.2%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 17.4% (HV 20d: 18.8%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.24.

Notable Days

2016-04-11: Highest Volume — 304 contracts
2016-04-26: Largest IV spike — 97.6% change
2016-04-26: Highest IV Rank — 41.4%
2016-04-26: Largest Expected Move — 15.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.57	$21.39	$24.78	$21.70	$24.48
Max Pain	$22.38	$20.00	$22.50	$20.00	$22.50
ATM IV	36.2%	22.1%	54.5%	46.3%	29.5%
Expected Move	9.7%	6.3%	15.6%	13.3%	8.5%
HV 20d	18.8%	15.6%	24.9%	17.2%	24.9%
HV 60d	23.7%	22.6%	25.6%	24.0%	25.0%
IV Rank	21.9%	6.9%	41.4%	32.6%	14.9%
IV Percentile	68.3%	13.1%	97.2%	94.0%	47.2%
Term Structure	-3.8%	-29.2%	49.4%	-13.1%	-4.0%
VWIV	33.2%	13.8%	45.8%	45.1%	21.0%
Skew 25d	18.5%	-4.5%	79.9%	12.7%	-4.5%
Skew 10d	18.5%	-4.6%	103.3%	16.1%	-4.6%
Call IV 25d	30.1%	19.2%	39.8%	39.8%	36.8%
Put IV 25d	48.6%	31.2%	116.3%	52.4%	32.3%
Bid-Ask Spread %	123.38	98.16	140.54	123.15	123.89
Gamma HHI	0.70	0.45	0.98	0.51	0.78
Net GEX	3.9K	297	8.8K	8.8K	1.3K
Net DEX	-101.3K	-201.6K	-9.5K	-137.8K	-59.9K
Net VEX	-98	-204	-37	-204	-60
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.24	0.11	0.33	0.26	0.33
Total Volume	164.571	8	304	302	8
Total OI	221.905	13	405	405	30

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
2016-04-01	$21.70	$20.00	46.3%	13.3%	17.2%	32.6%	45.1%	12.7%	-13.1%	8.8K	-137.8K	-204	0.26	123.15	240	62	310	95
2016-04-04	$21.87	$22.50	35.7%	9.6%	17.3%	21.4%	34.9%	6.7%	-10.2%	6.1K	-147.1K	-190	0.26	113.13	240	62	310	95
2016-04-05	$21.65	$22.50	29.3%	8.5%	17.2%	14.6%	29.7%	6.6%	-1.9%	5.6K	-156.8K	-139	0.26	100.36	240	62	310	95
2016-04-06	$21.61	$22.50	43.3%	10.0%	16.7%	29.5%	39.6%	7.8%	-8.0%	6.5K	-121.8K	-198	0.26	120.72	240	62	310	95
2016-04-07	$21.39	$22.50	38.3%	9.2%	17.2%	24.1%	30.2%	8.0%	5.4%	6.7K	-129.1K	-170	0.26	125.12	240	62	310	85
2016-04-08	$21.52	$22.50	33.9%	8.8%	17.0%	19.5%	29.6%	3.7%	-1.4%	6.1K	-143.7K	-126	0.26	100.65	240	62	310	85
2016-04-11	$21.56	$22.50	54.0%	8.6%	15.9%	40.8%	30.3%	4.7%	-3.6%	6.4K	-144.6K	-113	0.26	112.76	242	62	310	85
2016-04-12	$22.05	$22.50	48.1%	13.1%	17.5%	34.6%	45.8%	21.9%	-22.2%	5.6K	-189.4K	-87	0.26	137.92	242	62	312	85
2016-04-13	$22.26	$22.50	36.3%	10.4%	15.6%	22.0%	36.4%	8.8%	-10.1%	6.0K	-201.6K	-93	0.26	140.50	241	62	312	85
2016-04-14	$22.25	$22.50	28.5%	8.2%	15.7%	13.8%	28.6%	7.3%	-1.3%	8.4K	-199.3K	-69	0.26	98.16	241	62	316	85
2016-04-15	$21.82	$22.50	38.0%	10.9%	17.6%	23.8%	45.6%	79.9%	-23.0%	667	-153.4K	-43	0.26	125.23	241	62	316	85
2016-04-18	$22.24	$22.50	29.5%	8.5%	16.9%	14.8%	28.7%	7.8%	49.4%	936	-9.5K	-41	0.17	102.62	12	2	11	2
2016-04-19	$22.30	$22.50	32.7%	9.4%	16.6%	18.2%	32.6%	79.2%	-5.7%	1.8K	-21.1K	-67	0.17	131.60	12	2	21	2
2016-04-20	$22.23	$22.50	37.8%	10.8%	16.8%	23.6%	37.8%	-1.1%	-5.0%	1.6K	-21.5K	-67	0.17	131.74	12	2	21	2
2016-04-21	$22.19	$22.50	32.9%	9.4%	16.6%	18.4%	32.9%	8.8%	-7.6%	1.8K	-22.3K	-66	0.17	136.38	12	2	21	2
2016-04-22	$23.28	$22.50	35.4%	10.2%	22.6%	21.1%	34.7%	15.9%	-0.8%	1.9K	-29.4K	-63	0.11	137.12	19	2	21	2
2016-04-25	$23.71	$22.50	27.6%	7.9%	23.0%	12.8%	25.6%	6.4%	3.3%	2.5K	-49.9K	-83	0.18	123.32	11	2	28	2
2016-04-26	$24.37	$22.50	54.5%	15.6%	24.0%	41.4%	13.8%	69.1%	-29.2%	1.3K	-55.6K	-83	0.18	134.08	11	2	30	2
2016-04-27	$24.71	$22.50	26.3%	7.6%	24.1%	11.4%	41.1%	1.7%	5.1%	1.3K	-67.4K	-49	0.33	140.54	6	2	30	2
2016-04-28	$24.78	$22.50	22.1%	6.3%	24.0%	6.9%	0.0%	36.2%	5.0%	297	-65.5K	-37	0.33	131.91	6	2	28	2
2016-04-29	$24.48	$22.50	29.5%	8.5%	24.9%	14.9%	21.0%	-4.5%	-4.0%	1.3K	-59.9K	-60	0.33	123.89	6	2	28	2