CSV Options History — February 2017

In February 2017, CSV traded between $25.77 and $27.55. ATM implied volatility averaged 53.0%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 36.2% (HV 20d: 16.9%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.20.

Notable Days

2017-02-06: Highest Volume — 1,531 contracts
2017-02-24: Largest IV spike — 301.0% change
2017-02-28: Highest IV Rank — 70.9%
2017-02-28: Largest Expected Move — 35.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.60	$25.77	$27.55	$25.99	$25.77
Max Pain	$28.67	$25.00	$30.00	$30.00	$25.00
ATM IV	53.0%	24.2%	123.0%	50.0%	123.0%
Expected Move	13.3%	6.9%	35.3%	14.3%	35.3%
HV 20d	16.9%	11.2%	23.0%	12.7%	23.0%
HV 60d	16.0%	13.3%	17.9%	17.8%	16.8%
IV Rank	23.3%	3.8%	70.9%	21.3%	70.9%
IV Percentile	61.5%	11.1%	98.0%	79.8%	98.0%
Term Structure	-15.4%	-71.6%	9.4%	-23.3%	-71.6%
VWIV	45.9%	28.5%	86.3%	45.8%	86.3%
Skew 25d	6.3%	-6.3%	26.9%	26.9%	5.0%
Skew 10d	10.5%	-26.3%	97.6%	97.6%	12.8%
Call IV 25d	46.1%	20.7%	157.8%	51.0%	157.8%
Put IV 25d	52.4%	22.6%	162.9%	77.9%	162.9%
Bid-Ask Spread %	122.95	100.99	144.04	137.47	139.59
Gamma HHI	0.53	0.49	0.57	0.57	0.50
Net GEX	123.7K	48.6K	157.9K	48.6K	105.3K
Net DEX	-2.6M	-3.8M	-878.7K	-878.7K	-2.6M
Net VEX	-13.0K	-16.9K	-4.2K	-4.2K	-14.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.20	0.06	0.42	0.42	0.09
Total Volume	445.211	303	1,531	303	322
Total OI	2,542.053	1,001	3,049	1,001	2,976

Daily Data (19 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
2017-02-01	$25.99	$0.00	50.0%	14.3%	12.7%	21.3%	0.0%	26.9%	-23.3%	48.6K	-878.7K	-4.2K	0.42	137.47	213	90	911	90
2017-02-02	$26.03	$0.00	25.6%	7.4%	12.4%	4.7%	0.0%	2.9%	1.0%	49.2K	-895.2K	-4.2K	0.42	121.80	213	90	913	90
2017-02-03	$26.46	$0.00	90.0%	6.9%	14.2%	48.4%	0.0%	8.1%	8.4%	51.8K	-975.7K	-4.2K	0.20	124.51	461	90	913	90
2017-02-06	$26.57	$0.00	102.6%	13.8%	14.5%	57.0%	0.0%	6.4%	-33.6%	65.5K	-1.2M	-5.6K	0.06	129.62	1,441	90	1,163	90
2017-02-07	$26.45	$30.00	39.3%	9.9%	12.8%	14.0%	45.8%	-1.3%	-12.7%	124.0K	-2.4M	-13.2K	0.27	125.49	419	115	2,420	115
2017-02-08	$26.40	$30.00	30.1%	8.6%	12.8%	7.8%	46.4%	5.9%	0.7%	133.3K	-2.6M	-14.5K	0.23	116.97	498	115	2,653	115
2017-02-09	$26.40	$30.00	35.0%	10.0%	12.5%	11.1%	28.5%	6.8%	-6.9%	141.1K	-2.9M	-16.0K	0.16	122.30	336	55	2,800	115
2017-02-10	$26.54	$30.00	28.7%	8.2%	11.6%	6.8%	32.1%	7.5%	0.8%	145.7K	-2.8M	-15.5K	0.16	106.91	338	55	2,804	140
2017-02-13	$26.48	$30.00	32.0%	9.2%	11.2%	9.0%	30.6%	-1.8%	-7.1%	141.0K	-2.9M	-15.9K	0.16	120.08	338	55	2,804	140
2017-02-14	$27.45	$30.00	41.7%	12.0%	17.4%	15.6%	41.5%	16.8%	-11.3%	143.9K	-3.6M	-16.9K	0.18	124.89	298	55	2,804	140
2017-02-15	$27.55	$30.00	29.8%	8.5%	17.4%	7.5%	29.4%	2.2%	-7.3%	149.9K	-3.8M	-16.8K	0.18	102.68	298	55	2,909	140
2017-02-16	$26.82	$30.00	41.4%	11.9%	19.6%	15.4%	45.9%	14.6%	-19.7%	148.6K	-3.3M	-16.5K	0.19	100.99	293	55	2,909	140
2017-02-17	$26.55	$30.00	24.2%	6.9%	20.0%	3.8%	31.1%	6.6%	9.4%	145.5K	-3.1M	-16.1K	0.19	114.06	293	55	2,859	140
2017-02-21	$27.24	$30.00	45.7%	13.1%	21.4%	18.4%	51.4%	20.8%	-14.6%	157.9K	-3.3M	-15.8K	0.17	120.26	293	50	2,859	135
2017-02-22	$26.95	$30.00	53.4%	15.3%	21.5%	23.6%	67.2%	-6.3%	-41.4%	153.8K	-3.1M	-14.8K	0.17	142.27	295	50	2,859	135
2017-02-23	$26.77	$25.00	26.2%	7.5%	21.7%	5.1%	41.2%	-4.8%	-1.9%	152.2K	-3.2M	-15.6K	0.17	121.52	295	50	2,861	115
2017-02-24	$26.56	$25.00	105.2%	30.2%	21.7%	58.8%	63.7%	-2.8%	-42.4%	149.1K	-2.5M	-11.7K	0.17	144.04	295	50	2,861	115
2017-02-27	$26.36	$25.00	83.7%	24.0%	21.8%	44.2%	46.9%	7.1%	-19.6%	144.2K	-2.9M	-14.7K	0.17	120.51	295	50	2,861	115
2017-02-28	$25.77	$25.00	123.0%	35.3%	23.0%	70.9%	86.3%	5.0%	-71.6%	105.3K	-2.6M	-14.6K	0.09	139.59	295	27	2,861	115