CSV Options History — September 2016

In September 2016, CSV traded between $22.70 and $24.15. ATM implied volatility averaged 47.5%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 30.2% (HV 20d: 17.2%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.60.

Notable Days

2016-09-22: Highest Volume — 369 contracts
2016-09-07: Largest IV spike — 534.1% change
2016-09-08: Highest IV Rank — 99.1%
2016-09-30: Largest Expected Move — 16.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.44	$22.70	$24.15	$23.34	$23.78
Max Pain	$22.50	$22.50	$22.50	$22.50	$22.50
ATM IV	47.5%	23.0%	164.6%	41.5%	58.8%
Expected Move	8.9%	5.5%	16.9%	11.9%	16.9%
HV 20d	17.2%	14.0%	20.7%	14.2%	20.5%
HV 60d	19.2%	17.8%	20.1%	19.2%	17.8%
IV Rank	19.5%	2.9%	99.1%	15.5%	27.3%
IV Percentile	51.7%	4.4%	99.6%	77.0%	87.3%
Term Structure	1.8%	-16.0%	47.0%	-11.0%	-1.6%
VWIV	30.5%	21.8%	48.3%	25.5%	37.5%
Skew 25d	14.4%	1.0%	72.5%	5.8%	11.4%
Skew 10d	21.7%	-77.1%	109.3%	-65.7%	51.6%
Call IV 25d	24.4%	14.6%	44.8%	44.8%	26.7%
Put IV 25d	38.8%	23.0%	89.2%	50.7%	38.1%
Bid-Ask Spread %	117.83	85.98	145.30	143.20	123.60
Gamma HHI	0.59	0.50	0.68	0.65	0.56
Net GEX	-21.4K	-35.8K	-4.5K	-23.2K	-23.2K
Net DEX	-55.8K	-400.8K	191.8K	191.8K	-322.4K
Net VEX	-3.1K	-4.0K	-1.9K	-2.1K	-3.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.60	0.18	1.20	0.91	1.20
Total Volume	204.667	69	369	107	156
Total OI	817.619	558	1,026	558	1,026

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
2016-09-01	$23.34	$0.00	41.5%	11.9%	14.2%	15.5%	0.0%	5.8%	-11.0%	-23.2K	191.8K	-2.1K	0.91	143.20	56	51	170	388
2016-09-02	$23.84	$0.00	34.4%	9.9%	15.1%	10.7%	0.0%	4.1%	-3.9%	-24.0K	105.5K	-2.0K	0.91	145.30	56	51	170	388
2016-09-06	$23.67	$22.50	25.9%	7.5%	14.9%	4.9%	25.5%	4.9%	-0.1%	-23.0K	94.2K	-2.0K	0.91	85.98	56	51	170	388
2016-09-07	$23.87	$22.50	164.4%	5.5%	14.0%	99.0%	25.8%	5.9%	1.0%	-22.1K	52.6K	-1.9K	0.91	105.96	56	51	170	388
2016-09-08	$23.58	$22.50	164.6%	7.9%	14.5%	99.1%	27.7%	7.4%	3.1%	-20.5K	81.9K	-1.9K	0.21	96.84	57	12	170	388
2016-09-09	$23.06	$22.50	37.5%	7.7%	16.6%	12.8%	29.2%	5.2%	6.1%	-25.0K	173.8K	-2.0K	0.24	109.71	157	37	171	425
2016-09-12	$22.86	$22.50	40.1%	8.1%	15.8%	14.6%	27.6%	1.6%	-1.0%	-27.1K	156.1K	-2.7K	0.24	105.05	157	37	271	425
2016-09-13	$22.80	$22.50	62.0%	5.9%	15.5%	29.4%	21.8%	8.4%	9.5%	-35.8K	105.5K	-2.6K	0.18	111.84	207	37	271	425
2016-09-14	$22.70	$22.50	28.3%	8.1%	15.5%	6.5%	28.4%	1.0%	-1.0%	-21.5K	39.8K	-3.7K	0.19	101.75	207	40	421	425
2016-09-15	$23.05	$22.50	28.6%	8.2%	16.6%	6.7%	30.8%	6.9%	2.5%	-17.4K	62.9K	-3.6K	0.19	127.12	207	40	421	428
2016-09-16	$23.19	$22.50	30.2%	8.7%	16.7%	7.8%	32.2%	28.6%	3.1%	-24.3K	3.7K	-3.7K	0.19	125.60	207	40	421	428
2016-09-19	$23.12	$22.50	24.3%	7.0%	16.7%	3.8%	25.2%	31.4%	47.0%	-22.5K	-26.4K	-3.6K	0.19	127.18	207	40	421	428
2016-09-20	$23.14	$22.50	32.8%	9.4%	16.6%	9.6%	32.8%	41.2%	-9.0%	-22.6K	-12.6K	-3.7K	0.30	110.95	283	85	421	428
2016-09-21	$23.39	$22.50	48.4%	13.9%	16.4%	20.1%	48.3%	72.5%	-16.0%	-8.1K	-67.1K	-4.0K	0.30	142.22	283	85	502	510
2016-09-22	$24.15	$22.50	26.3%	7.5%	19.8%	5.2%	31.3%	18.5%	10.4%	-4.5K	-289.3K	-3.9K	0.30	134.64	284	85	502	510
2016-09-23	$24.08	$22.50	23.7%	6.8%	19.9%	3.4%	30.4%	6.9%	4.3%	-22.3K	-400.8K	-3.6K	0.41	115.93	207	85	501	510
2016-09-26	$23.70	$22.50	36.1%	10.3%	20.4%	11.8%	32.6%	8.3%	-4.6%	-20.7K	-254.2K	-3.7K	1.18	119.04	72	85	501	510
2016-09-27	$23.56	$22.50	37.7%	10.8%	20.5%	12.9%	39.0%	26.2%	-2.3%	-11.9K	-222.1K	-3.9K	1.18	132.69	72	85	516	510
2016-09-28	$23.79	$22.50	23.0%	6.6%	20.7%	2.9%	26.2%	2.3%	1.1%	-25.0K	-334.9K	-3.7K	1.18	104.22	72	85	516	510
2016-09-29	$23.65	$22.50	27.9%	8.0%	20.6%	6.2%	27.4%	2.8%	1.2%	-24.3K	-308.9K	-3.7K	1.18	105.62	72	85	516	510
2016-09-30	$23.78	$22.50	58.8%	16.9%	20.5%	27.3%	37.5%	11.4%	-1.6%	-23.2K	-322.4K	-3.7K	1.20	123.60	71	85	516	510