CSV Options History — May 2016

In May 2016, CSV traded between $22.92 and $24.18. ATM implied volatility averaged 44.3%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 22.5% (HV 20d: 21.8%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.01.

Notable Days

2016-05-24: Highest Volume — 41 contracts
2016-05-04: Largest IV spike — 305.6% change
2016-05-05: Highest IV Rank — 100.0%
2016-05-27: Largest Expected Move — 34.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.47	$22.92	$24.18	$24.18	$23.56
Max Pain	$22.50	$22.50	$22.50	$22.50	$22.50
ATM IV	44.3%	23.4%	139.4%	33.7%	86.6%
Expected Move	11.7%	6.4%	34.2%	9.7%	24.8%
HV 20d	21.8%	12.5%	26.3%	25.7%	14.3%
HV 60d	22.0%	19.3%	24.1%	24.1%	19.8%
IV Rank	24.5%	6.6%	100.0%	19.2%	57.3%
IV Percentile	53.9%	18.3%	100.0%	68.7%	98.0%
Term Structure	-2.8%	-42.6%	12.6%	-2.6%	-33.1%
VWIV	40.6%	22.8%	113.0%	54.6%	103.5%
Skew 25d	-5.4%	-76.0%	23.5%	1.0%	-76.0%
Skew 10d	4.9%	-56.7%	61.6%	1.0%	7.2%
Call IV 25d	52.3%	19.3%	167.4%	38.0%	150.4%
Put IV 25d	46.9%	23.1%	165.1%	39.0%	74.4%
Bid-Ask Spread %	130.10	108.21	153.58	129.40	153.58
Gamma HHI	0.79	0.50	0.91	0.80	0.68
Net GEX	1.3K	-1.8K	3.5K	1.6K	-995
Net DEX	-38.7K	-61.2K	5.6K	-57.1K	924
Net VEX	-78	-150	-42	-64	-136
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.01	0.14	3.56	0.25	3.56
Total Volume	19.143	10	41	10	41
Total OI	31.714	16	46	30	46

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
2016-05-02	$24.18	$22.50	33.7%	9.7%	25.7%	19.2%	54.6%	1.0%	-2.6%	1.6K	-57.1K	-64	0.25	129.40	8	2	28	2
2016-05-03	$23.79	$22.50	23.4%	6.7%	26.3%	8.3%	27.7%	10.2%	7.3%	2.4K	-52.6K	-73	0.25	118.97	8	2	28	2
2016-05-04	$23.72	$22.50	94.9%	27.2%	26.3%	84.4%	0.0%	-56.8%	-1.9%	344	-61.2K	-42	0.25	135.91	8	2	28	2
2016-05-05	$23.52	$0.00	139.4%	20.2%	26.2%	100.0%	0.0%	-25.9%	-11.5%	899	-40.6K	-86	0.25	134.72	8	2	28	2
2016-05-06	$23.72	$0.00	30.3%	9.5%	26.2%	11.9%	0.0%	2.1%	12.6%	2.5K	-52.5K	-68	0.25	130.98	8	2	28	2
2016-05-09	$23.87	$0.00	31.3%	6.4%	26.2%	12.7%	0.0%	2.5%	-1.5%	2.1K	-56.2K	-58	0.25	116.81	8	2	28	2
2016-05-10	$23.75	$0.00	33.3%	10.6%	25.6%	14.3%	0.0%	-22.8%	8.1%	2.1K	-51.3K	-66	0.25	134.89	8	2	28	2
2016-05-11	$23.53	$0.00	30.8%	8.8%	25.9%	12.3%	0.0%	-1.7%	4.1%	2.3K	-49.3K	-67	0.25	126.60	8	2	28	2
2016-05-12	$23.54	$0.00	28.3%	8.1%	25.9%	10.3%	0.0%	-0.9%	4.0%	2.6K	-51.9K	-61	0.25	126.34	8	2	28	2
2016-05-13	$23.53	$0.00	26.1%	7.5%	24.6%	8.5%	22.8%	-0.6%	6.9%	2.4K	-49.7K	-62	0.14	132.19	14	2	28	2
2016-05-16	$23.59	$22.50	27.8%	8.0%	23.9%	9.8%	25.9%	5.5%	6.4%	2.1K	-48.8K	-66	0.14	123.16	14	2	28	2
2016-05-17	$23.48	$22.50	26.5%	7.6%	24.1%	8.8%	23.6%	0.5%	5.7%	2.6K	-52.0K	-64	0.14	108.21	14	2	28	2
2016-05-18	$23.24	$22.50	29.5%	8.5%	24.4%	11.3%	31.6%	-2.3%	-0.4%	2.8K	-47.4K	-65	0.14	137.10	14	2	28	2
2016-05-19	$23.15	$22.50	28.6%	8.2%	24.5%	10.5%	28.7%	-4.6%	2.0%	3.5K	-48.7K	-60	0.14	125.14	14	2	28	2
2016-05-20	$23.33	$22.50	27.6%	7.9%	17.7%	9.7%	25.3%	13.3%	0.1%	949	-56.0K	-55	0.14	138.18	14	2	28	2
2016-05-23	$23.03	$22.50	28.4%	8.1%	16.9%	10.3%	28.4%	5.3%	-2.4%	843	-22.6K	-56	0.22	108.43	9	2	14	2
2016-05-24	$23.25	$22.50	25.2%	7.2%	13.7%	7.7%	23.0%	23.5%	-5.7%	1.0K	-23.1K	-52	3.56	130.64	9	32	14	2
2016-05-25	$22.98	$22.50	23.8%	6.8%	12.7%	6.6%	24.9%	3.8%	1.0%	-1.8K	1.6K	-150	3.56	137.22	9	32	14	32
2016-05-26	$22.92	$22.50	35.7%	10.2%	12.5%	16.2%	35.7%	4.7%	-14.7%	-1.8K	658	-144	3.56	131.70	9	32	14	32
2016-05-27	$23.18	$22.50	119.2%	34.2%	13.2%	83.7%	113.0%	5.3%	-42.6%	-72	5.6K	-136	3.56	151.87	9	32	14	32
2016-05-31	$23.56	$22.50	86.6%	24.8%	14.3%	57.3%	103.5%	-76.0%	-33.1%	-995	924	-136	3.56	153.58	9	32	14	32