CSV Options History — July 2016

In July 2016, CSV traded between $23.07 and $24.93. ATM implied volatility averaged 53.2%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 30.7% (HV 20d: 22.4%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 7.03.

Notable Days

2016-07-01: Highest Volume — 140 contracts
2016-07-12: Largest IV spike — 667.7% change
2016-07-12: Highest IV Rank — 100.0%
2016-07-01: Largest Expected Move — 22.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.17	$23.07	$24.93	$23.27	$24.33
Max Pain	$24.72	$22.50	$25.00	$22.50	$25.00
ATM IV	53.2%	21.2%	162.5%	77.3%	26.1%
Expected Move	10.3%	7.0%	22.2%	22.2%	7.5%
HV 20d	22.4%	16.4%	24.8%	23.0%	16.4%
HV 60d	20.0%	17.8%	22.0%	21.7%	17.8%
IV Rank	27.0%	2.7%	100.0%	48.9%	5.7%
IV Percentile	56.9%	2.0%	100.0%	96.8%	17.1%
Term Structure	-11.0%	-97.5%	12.2%	-97.5%	2.6%
VWIV	32.7%	25.1%	45.5%	45.5%	27.2%
Skew 25d	13.6%	-46.5%	73.4%	-41.2%	73.4%
Skew 10d	26.1%	-4.7%	90.6%	4.8%	90.6%
Call IV 25d	44.5%	25.8%	172.6%	172.6%	32.3%
Put IV 25d	58.2%	25.0%	131.4%	131.4%	105.8%
Bid-Ask Spread %	126.25	102.06	138.24	135.64	135.68
Gamma HHI	0.66	0.55	0.76	0.73	0.69
Net GEX	-5.7K	-10.5K	-3.4K	-6.9K	-10.5K
Net DEX	38.4K	-1.6K	96.8K	92.8K	71.8K
Net VEX	-828	-1.1K	-725	-905	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	7.03	3.12	9.64	3.12	6.71
Total Volume	107.75	83	140	140	108
Total OI	198.05	170	274	200	274

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
2016-07-01	$23.27	$22.50	77.3%	22.2%	23.0%	48.9%	45.5%	-41.2%	-97.5%	-6.9K	92.8K	-905	3.12	135.64	34	106	44	156
2016-07-05	$23.07	$0.00	99.8%	9.0%	23.2%	67.4%	0.0%	-16.4%	12.2%	-8.0K	96.8K	-879	3.12	129.92	34	106	44	156
2016-07-06	$23.47	$0.00	109.5%	9.4%	24.1%	75.4%	0.0%	8.1%	-3.7%	-6.8K	91.7K	-863	9.64	136.22	11	106	44	156
2016-07-07	$23.60	$0.00	100.6%	17.7%	24.1%	68.0%	0.0%	-46.5%	10.7%	-5.0K	95.7K	-880	9.64	138.24	11	106	46	156
2016-07-08	$24.02	$0.00	95.1%	8.0%	24.8%	63.5%	0.0%	4.3%	0.4%	-7.2K	54.1K	-840	9.64	121.95	11	106	46	156
2016-07-11	$24.29	$0.00	21.2%	15.3%	24.4%	2.7%	0.0%	-9.5%	-63.9%	-5.5K	28.7K	-801	9.64	126.34	11	106	46	156
2016-07-12	$24.20	$0.00	162.5%	10.3%	23.5%	100.0%	0.0%	3.0%	-10.4%	-5.0K	21.6K	-798	9.64	128.95	11	106	46	156
2016-07-13	$24.37	$0.00	40.8%	11.7%	23.5%	15.9%	0.0%	65.0%	-23.3%	-7.1K	12.8K	-731	9.64	131.40	11	106	46	156
2016-07-14	$24.30	$0.00	25.8%	7.4%	23.6%	5.5%	0.0%	3.3%	-1.3%	-4.8K	13.0K	-762	7.57	102.06	14	106	46	156
2016-07-15	$24.29	$0.00	30.1%	8.6%	23.6%	8.5%	0.0%	65.9%	-11.1%	-5.0K	12.5K	-785	7.57	125.15	14	106	51	156
2016-07-18	$24.36	$0.00	31.0%	8.9%	21.9%	9.1%	0.0%	4.1%	5.2%	-4.9K	22.2K	-772	8.22	128.03	9	74	46	124
2016-07-19	$24.12	$0.00	30.8%	8.8%	22.4%	8.9%	31.9%	7.7%	-5.0%	-4.5K	23.0K	-784	5.29	118.95	14	74	46	124
2016-07-20	$24.19	$25.00	33.0%	9.5%	22.3%	10.5%	31.5%	15.1%	-7.0%	-4.7K	19.7K	-794	5.29	123.14	14	74	51	124
2016-07-21	$24.43	$25.00	28.6%	8.2%	22.0%	7.4%	35.0%	60.4%	-6.3%	-4.6K	19.3K	-768	5.29	137.33	14	74	51	124
2016-07-22	$24.93	$25.00	34.7%	10.0%	22.6%	11.7%	39.3%	52.4%	-13.6%	-4.3K	-3	-725	5.69	134.03	13	74	51	124
2016-07-25	$24.65	$25.00	27.9%	8.0%	22.8%	6.9%	27.9%	4.2%	0.0%	-3.4K	-1.6K	-747	5.69	110.82	13	74	50	124
2016-07-26	$24.65	$25.00	33.5%	9.6%	20.0%	10.8%	33.5%	14.9%	-5.2%	-3.8K	3.8K	-732	5.77	121.95	13	75	50	124
2016-07-27	$24.35	$25.00	24.4%	7.0%	20.9%	4.5%	25.1%	3.5%	0.7%	-3.6K	10.1K	-766	6.71	104.41	14	94	56	125
2016-07-28	$24.49	$25.00	30.9%	8.8%	19.7%	9.0%	30.2%	1.1%	-2.6%	-8.3K	80.0K	-1.1K	6.71	134.77	14	94	56	218
2016-07-29	$24.33	$25.00	26.1%	7.5%	16.4%	5.7%	27.2%	73.4%	2.6%	-10.5K	71.8K	-1.1K	6.71	135.68	14	94	56	218