CSV Options History — January 2017

In January 2017, CSV traded between $26.08 and $28.60. ATM implied volatility averaged 36.4%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 24.6% (HV 20d: 11.8%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.10.

Notable Days

2017-01-03: Highest Volume — 311 contracts
2017-01-19: Largest IV spike — 95.1% change
2017-01-27: Highest IV Rank — 29.2%
2017-01-27: Largest Expected Move — 17.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.27	$26.08	$28.60	$28.45	$26.08
Max Pain	$22.50	$22.50	$22.50	$22.50	$22.50
ATM IV	36.4%	21.3%	61.7%	26.8%	28.8%
Expected Move	9.9%	5.6%	17.7%	7.7%	8.3%
HV 20d	11.8%	8.3%	13.4%	11.0%	12.7%
HV 60d	17.9%	17.6%	18.5%	17.8%	17.7%
IV Rank	12.1%	1.8%	29.2%	5.5%	6.9%
IV Percentile	50.0%	2.8%	85.3%	20.2%	31.7%
Term Structure	-7.8%	-38.9%	32.7%	2.6%	-2.4%
VWIV	47.6%	44.8%	50.3%	50.3%	44.8%
Skew 25d	-0.7%	-12.4%	11.6%	-0.1%	7.8%
Skew 10d	-0.1%	-11.3%	45.9%	1.3%	45.9%
Call IV 25d	28.7%	18.7%	42.2%	28.5%	29.4%
Put IV 25d	28.0%	19.2%	39.8%	28.4%	37.2%
Bid-Ask Spread %	129.79	105.28	143.06	116.20	119.93
Gamma HHI	0.50	0.47	0.59	0.47	0.53
Net GEX	55.3K	49.0K	66.7K	49.6K	49.0K
Net DEX	-1.4M	-1.8M	-961.0K	-1.8M	-961.0K
Net VEX	-4.3K	-4.8K	-3.6K	-4.8K	-4.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.10	0.02	0.43	0.06	0.43
Total Volume	262.65	92	311	311	301
Total OI	1,050.85	916	1,111	1,111	1,001

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
2017-01-03	$28.45	$22.50	26.8%	7.7%	11.0%	5.5%	50.3%	-0.1%	2.6%	49.6K	-1.8M	-4.8K	0.06	116.20	293	18	980	131
2017-01-04	$28.60	$22.50	27.7%	7.9%	10.8%	6.1%	44.8%	1.1%	16.6%	66.7K	-1.7M	-4.0K	0.06	118.04	293	18	980	131
2017-01-05	$28.30	$0.00	21.3%	7.1%	10.5%	1.8%	0.0%	-3.3%	-0.0%	53.0K	-1.7M	-4.6K	0.06	105.28	293	18	980	131
2017-01-06	$28.22	$0.00	30.9%	5.6%	8.3%	8.3%	0.0%	1.8%	2.3%	56.0K	-1.7M	-4.5K	0.06	123.42	293	18	980	131
2017-01-09	$27.63	$0.00	45.7%	8.3%	10.7%	18.4%	0.0%	-3.7%	-6.1%	57.7K	-1.6M	-4.4K	0.06	133.59	293	18	980	131
2017-01-10	$27.50	$0.00	47.5%	10.6%	10.7%	19.6%	0.0%	-7.0%	-14.1%	58.1K	-1.6M	-4.5K	0.06	142.52	293	18	980	131
2017-01-11	$27.67	$0.00	46.1%	13.2%	11.1%	18.6%	0.0%	-7.8%	-18.3%	56.6K	-1.5M	-4.6K	0.06	141.55	293	18	980	129
2017-01-12	$27.22	$0.00	38.3%	11.0%	12.3%	13.3%	0.0%	-12.4%	-37.0%	57.3K	-1.5M	-4.4K	0.06	143.06	293	18	980	130
2017-01-13	$27.41	$0.00	38.8%	11.1%	12.7%	13.6%	0.0%	4.3%	-18.9%	51.5K	-1.5M	-4.6K	0.06	133.95	293	18	980	130
2017-01-17	$27.32	$0.00	37.2%	10.7%	12.6%	12.6%	0.0%	0.6%	-7.6%	50.1K	-1.5M	-4.6K	0.09	135.21	206	18	980	130
2017-01-18	$27.22	$0.00	22.4%	6.4%	12.1%	2.5%	0.0%	1.9%	-2.9%	59.2K	-1.5M	-4.1K	0.09	129.29	206	18	980	130
2017-01-19	$26.96	$0.00	43.6%	12.5%	12.4%	16.9%	0.0%	-5.2%	-38.9%	52.8K	-1.5M	-4.2K	0.09	138.77	206	18	980	130
2017-01-20	$26.97	$0.00	29.7%	8.5%	11.9%	7.5%	0.0%	1.8%	1.6%	52.8K	-1.5M	-4.2K	0.09	129.46	206	18	980	130
2017-01-23	$26.61	$0.00	27.8%	8.0%	12.4%	6.2%	0.0%	2.6%	32.7%	56.2K	-1.2M	-3.7K	0.06	126.23	87	5	911	5
2017-01-24	$26.89	$0.00	34.4%	9.9%	13.4%	10.7%	0.0%	11.6%	21.3%	65.3K	-1.2M	-3.6K	0.02	137.45	211	5	911	5
2017-01-25	$26.85	$0.00	40.0%	11.5%	13.4%	14.5%	0.0%	5.4%	-11.2%	55.1K	-1.3M	-3.9K	0.02	134.00	211	5	911	5
2017-01-26	$26.66	$0.00	54.0%	15.5%	12.7%	24.0%	0.0%	-7.2%	-33.1%	54.9K	-1.2M	-4.0K	0.02	126.49	211	5	911	5
2017-01-27	$26.56	$0.00	61.7%	17.7%	12.6%	29.2%	0.0%	1.7%	-37.8%	54.3K	-1.3M	-4.0K	0.02	135.11	211	5	911	5
2017-01-30	$26.29	$0.00	26.2%	7.5%	12.6%	5.1%	0.0%	-8.1%	-4.9%	50.5K	-995.1K	-4.3K	0.43	126.29	211	90	911	90
2017-01-31	$26.08	$0.00	28.8%	8.3%	12.7%	6.9%	0.0%	7.8%	-2.4%	49.0K	-961.0K	-4.2K	0.43	119.93	211	90	911	90