CSV Options History — December 2016

In December 2016, CSV traded between $27.17 and $28.95. ATM implied volatility averaged 34.7%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 19.5% (HV 20d: 15.2%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.08.

Notable Days

2016-12-29: Highest Volume — 311 contracts
2016-12-14: Largest IV drop — 72.1% change
2016-12-13: Highest IV Rank — 33.0%
2016-12-02: Largest Expected Move — 18.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.54	$27.17	$28.95	$27.17	$28.62
Max Pain	$22.74	$22.50	$25.00	$25.00	$22.50
ATM IV	34.7%	18.8%	67.2%	61.7%	32.9%
Expected Move	7.8%	5.1%	18.7%	17.7%	9.4%
HV 20d	15.2%	11.0%	22.3%	22.3%	11.2%
HV 60d	18.6%	17.7%	20.0%	20.0%	17.7%
IV Rank	10.9%	0.0%	33.0%	29.2%	9.6%
IV Percentile	38.7%	0.4%	86.9%	86.1%	51.6%
Term Structure	1.6%	-72.7%	47.1%	-72.7%	4.3%
VWIV	35.4%	16.8%	90.9%	90.9%	74.2%
Skew 25d	29.9%	-3.2%	106.0%	-3.2%	-2.7%
Skew 10d	36.7%	-12.7%	146.4%	-0.1%	-4.4%
Call IV 25d	27.5%	18.7%	42.0%	37.5%	31.5%
Put IV 25d	57.5%	19.6%	136.6%	34.4%	28.8%
Bid-Ask Spread %	121.08	111.94	133.62	131.04	133.62
Gamma HHI	0.50	0.47	0.57	0.57	0.47
Net GEX	49.1K	41.6K	57.5K	57.5K	49.9K
Net DEX	-1.8M	-1.9M	-1.5M	-1.5M	-1.8M
Net VEX	-4.9K	-5.2K	-4.4K	-5.2K	-5.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.08	0.06	0.15	0.15	0.06
Total Volume	251.476	110	311	110	311
Total OI	1,067.143	1,060	1,111	1,085	1,111

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
2016-12-01	$27.17	$25.00	61.7%	17.7%	22.3%	29.2%	90.9%	-3.2%	-72.7%	57.5K	-1.5M	-5.2K	0.15	131.04	96	14	959	126
2016-12-02	$27.51	$25.00	65.4%	18.7%	22.1%	31.7%	56.9%	10.0%	-15.6%	52.7K	-1.5M	-5.1K	0.15	132.96	96	14	953	126
2016-12-05	$27.74	$22.50	42.1%	6.4%	22.0%	15.9%	16.8%	15.0%	2.1%	56.5K	-1.7M	-4.9K	0.06	115.50	239	14	953	126
2016-12-06	$28.14	$22.50	39.4%	6.7%	22.1%	14.1%	0.0%	36.3%	2.7%	50.0K	-1.7M	-5.1K	0.06	118.88	239	14	934	126
2016-12-07	$28.64	$22.50	29.5%	5.5%	21.7%	7.3%	19.7%	-1.9%	2.4%	49.7K	-1.8M	-5.1K	0.07	111.94	239	16	934	126
2016-12-08	$28.79	$22.50	26.5%	5.8%	21.2%	5.3%	19.8%	-0.0%	4.5%	48.6K	-1.9M	-5.0K	0.07	114.18	247	17	934	128
2016-12-09	$28.79	$22.50	45.1%	6.4%	19.2%	17.9%	21.2%	44.2%	4.1%	44.0K	-1.8M	-5.1K	0.07	118.77	247	17	934	130
2016-12-12	$28.74	$22.50	50.8%	5.1%	12.5%	21.8%	17.8%	1.0%	8.1%	47.1K	-1.9M	-5.0K	0.07	119.89	247	17	934	130
2016-12-13	$28.65	$22.50	67.2%	5.4%	12.3%	33.0%	17.0%	-1.2%	2.3%	51.6K	-1.8M	-4.9K	0.07	116.00	247	17	934	130
2016-12-14	$28.57	$22.50	18.8%	5.4%	12.7%	0.0%	17.7%	45.3%	6.1%	46.8K	-1.8M	-5.0K	0.07	115.81	247	18	934	130
2016-12-15	$28.65	$22.50	25.5%	7.3%	12.6%	4.6%	27.6%	50.2%	3.1%	46.9K	-1.8M	-5.0K	0.07	121.85	247	18	934	131
2016-12-16	$28.84	$22.50	19.9%	5.7%	12.3%	0.8%	18.5%	41.7%	3.4%	49.4K	-1.9M	-4.8K	0.07	115.16	247	18	934	131
2016-12-19	$28.73	$22.50	19.2%	5.5%	12.4%	0.3%	22.7%	38.2%	47.1%	48.6K	-1.9M	-4.5K	0.07	124.85	243	18	930	131
2016-12-20	$28.92	$22.50	20.3%	5.8%	12.4%	1.1%	28.1%	4.3%	6.5%	50.1K	-1.9M	-4.6K	0.07	118.83	243	18	930	131
2016-12-21	$28.90	$22.50	25.9%	7.4%	12.4%	4.9%	27.6%	57.6%	14.3%	44.6K	-1.9M	-4.7K	0.07	120.83	243	18	930	131
2016-12-22	$28.78	$22.50	41.8%	12.0%	12.2%	15.7%	61.2%	60.7%	8.8%	41.6K	-1.8M	-4.9K	0.07	121.60	243	18	930	131
2016-12-23	$28.70	$22.50	22.4%	6.4%	12.1%	2.5%	22.9%	106.0%	4.6%	45.2K	-1.8M	-4.8K	0.07	129.49	243	18	930	131
2016-12-27	$28.95	$22.50	22.9%	6.5%	11.1%	2.8%	43.8%	64.2%	-1.9%	49.1K	-1.9M	-4.5K	0.07	119.14	243	18	930	131
2016-12-28	$28.70	$22.50	27.0%	7.7%	11.5%	5.6%	60.4%	62.2%	-4.9%	49.7K	-1.9M	-4.5K	0.07	123.59	243	18	930	131
2016-12-29	$28.72	$22.50	24.1%	6.9%	11.0%	3.7%	43.2%	0.3%	4.0%	50.7K	-1.9M	-4.4K	0.06	118.79	293	18	930	131
2016-12-30	$28.62	$22.50	32.9%	9.4%	11.2%	9.6%	74.2%	-2.7%	4.3%	49.9K	-1.8M	-5.0K	0.06	133.62	293	18	980	131