CSV Options History — June 2016

In June 2016, CSV traded between $22.04 and $23.75. ATM implied volatility averaged 35.6%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 20.1% (HV 20d: 15.5%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 7.51.

Notable Days

2016-06-27: Highest Volume — 140 contracts
2016-06-30: Largest IV spike — 111.0% change
2016-06-07: Highest IV Rank — 57.1%
2016-06-24: Largest Expected Move — 16.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.92	$22.04	$23.75	$23.57	$23.59
Max Pain	$22.50	$22.50	$22.50	$22.50	$22.50
ATM IV	35.6%	21.8%	86.3%	36.1%	50.6%
Expected Move	8.7%	6.2%	16.4%	10.3%	14.5%
HV 20d	15.5%	13.1%	23.1%	13.1%	23.1%
HV 60d	19.6%	18.9%	21.6%	19.6%	21.6%
IV Rank	16.1%	5.0%	57.1%	16.6%	27.6%
IV Percentile	48.8%	8.7%	97.6%	74.6%	91.3%
Term Structure	3.9%	-14.9%	44.9%	-10.9%	-2.5%
VWIV	32.4%	20.7%	74.3%	38.3%	74.3%
Skew 25d	-5.3%	-95.1%	35.6%	-95.1%	32.5%
Skew 10d	-4.7%	-88.9%	75.3%	-43.6%	21.2%
Call IV 25d	45.8%	23.9%	128.9%	128.9%	99.4%
Put IV 25d	40.5%	22.8%	131.9%	33.8%	131.9%
Bid-Ask Spread %	128.14	108.28	140.71	130.31	138.07
Gamma HHI	0.89	0.78	0.96	0.78	0.82
Net GEX	-7.1K	-12.3K	-1.5K	-1.5K	-12.3K
Net DEX	93.0K	-7.1K	154.7K	-1.6K	81.1K
Net VEX	-599	-906	-121	-127	-799
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	7.51	3.12	11.78	3.56	3.12
Total Volume	105.045	41	140	41	140
Total OI	140.091	46	200	46	200

Daily Data (22 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
2016-06-01	$23.57	$22.50	36.1%	10.3%	13.1%	16.6%	38.3%	-95.1%	-10.9%	-1.5K	-1.6K	-127	3.56	130.31	9	32	14	32
2016-06-02	$23.75	$22.50	25.2%	7.6%	13.4%	7.8%	26.4%	2.1%	3.4%	-1.7K	-7.1K	-128	3.56	111.22	9	32	14	32
2016-06-03	$23.41	$22.50	37.6%	8.2%	14.1%	17.8%	20.7%	-9.2%	-7.1%	-2.3K	-2.1K	-131	3.56	121.36	9	32	14	32
2016-06-06	$23.46	$22.50	69.1%	7.5%	13.7%	43.2%	27.4%	1.1%	4.4%	-2.0K	-4.2K	-122	3.56	119.55	9	32	14	32
2016-06-07	$23.40	$22.50	86.3%	6.8%	13.5%	57.1%	22.7%	-2.2%	2.3%	-2.5K	-4.1K	-121	9.11	124.96	9	82	14	32
2016-06-08	$23.40	$22.50	23.4%	6.7%	13.4%	6.3%	22.7%	1.6%	5.1%	-5.1K	42.9K	-392	9.11	115.35	9	82	14	82
2016-06-09	$23.32	$22.50	21.8%	6.2%	13.1%	5.0%	32.2%	-8.6%	17.9%	-3.9K	38.0K	-384	11.78	112.83	9	106	14	82
2016-06-10	$23.02	$22.50	29.6%	8.5%	13.8%	11.3%	31.0%	35.6%	0.5%	-8.0K	119.6K	-796	11.78	131.18	9	106	14	156
2016-06-13	$22.64	$22.50	35.5%	10.2%	14.8%	16.1%	35.1%	2.7%	-4.5%	-7.2K	139.6K	-787	11.78	123.53	9	106	14	156
2016-06-14	$22.63	$22.50	24.8%	7.1%	14.8%	7.5%	25.4%	-4.5%	4.9%	-8.7K	135.6K	-779	11.78	130.75	9	106	14	156
2016-06-15	$22.72	$22.50	35.1%	10.1%	14.9%	15.8%	31.4%	-41.8%	5.0%	-7.2K	143.1K	-725	11.78	139.94	9	106	14	156
2016-06-16	$22.79	$22.50	26.8%	7.7%	14.6%	9.0%	27.1%	-59.6%	4.1%	-9.3K	142.4K	-761	11.78	136.22	9	106	14	156
2016-06-17	$22.32	$22.50	26.6%	7.6%	16.2%	8.9%	25.7%	-6.2%	0.4%	-10.3K	137.2K	-752	7.57	129.63	14	106	14	156
2016-06-20	$22.51	$22.50	23.5%	6.7%	16.3%	6.4%	24.2%	35.2%	44.9%	-10.1K	132.8K	-760	11.78	129.65	9	106	14	156
2016-06-21	$22.72	$22.50	33.0%	9.5%	16.2%	14.1%	37.7%	9.4%	7.2%	-11.0K	141.2K	-751	7.57	138.41	14	106	14	156
2016-06-22	$22.55	$22.50	28.5%	8.2%	15.9%	10.4%	28.5%	-24.6%	3.4%	-8.3K	141.7K	-779	7.57	134.00	14	106	19	156
2016-06-23	$22.82	$22.50	31.3%	9.0%	16.1%	12.7%	31.5%	-0.8%	3.0%	-9.2K	131.9K	-784	7.57	131.66	14	106	19	156
2016-06-24	$22.60	$22.50	57.1%	16.4%	16.4%	33.6%	69.1%	10.0%	-14.9%	-9.0K	154.7K	-750	7.57	140.71	14	106	19	156
2016-06-27	$22.04	$22.50	25.8%	7.4%	17.9%	8.3%	24.3%	-1.7%	13.8%	-9.5K	145.1K	-747	3.12	133.31	34	106	19	156
2016-06-28	$22.28	$22.50	31.0%	8.9%	17.2%	12.5%	31.9%	4.7%	0.3%	-8.2K	133.3K	-903	3.12	138.24	34	106	44	156
2016-06-29	$22.80	$22.50	24.0%	6.9%	19.5%	6.8%	24.1%	2.3%	4.5%	-9.8K	104.2K	-906	3.12	108.28	34	106	44	156
2016-06-30	$23.59	$22.50	50.6%	14.5%	23.1%	27.6%	74.3%	32.5%	-2.5%	-12.3K	81.1K	-799	3.12	138.07	34	106	44	156