CSV Options History — July 2017

In July 2017, CSV traded between $24.15 and $27.22. ATM implied volatility averaged 29.4%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 13.3% (HV 20d: 16.1%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.72.

Notable Days

2017-07-03: Highest Volume — 797 contracts
2017-07-27: Largest IV drop — 28.1% change
2017-07-03: Highest IV Rank — 13.7%
2017-07-03: Largest Expected Move — 10.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.29	$24.15	$27.22	$27.22	$24.45
Max Pain	$25.00	$25.00	$25.00	$25.00	$25.00
ATM IV	29.4%	19.4%	35.8%	35.8%	23.5%
Expected Move	8.3%	5.6%	10.3%	10.3%	6.7%
HV 20d	16.1%	9.1%	37.5%	9.1%	37.5%
HV 60d	17.8%	13.3%	24.0%	18.1%	24.0%
IV Rank	9.5%	2.9%	13.7%	13.7%	5.6%
IV Percentile	44.3%	1.6%	64.3%	64.3%	11.9%
Term Structure	-3.4%	-12.7%	1.1%	-12.7%	-0.6%
VWIV	29.1%	16.9%	38.2%	38.2%	23.4%
Skew 25d	8.0%	-5.8%	18.4%	18.3%	-5.8%
Skew 10d	15.1%	-12.2%	40.5%	38.3%	-12.2%
Call IV 25d	22.9%	18.9%	31.3%	20.0%	26.7%
Put IV 25d	30.9%	20.9%	44.7%	38.3%	20.9%
Bid-Ask Spread %	82.93	45.84	101.11	98.72	76.90
Gamma HHI	0.82	0.59	0.93	0.59	0.93
Net GEX	186.5K	129.4K	244.7K	239.3K	139.4K
Net DEX	-5.6M	-7.0M	-2.0M	-7.0M	-2.3M
Net VEX	-16.7K	-18.4K	-15.2K	-18.4K	-17.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.72	0.31	1.67	0.93	0.98
Total Volume	623.4	566	797	797	571
Total OI	4,553.65	3,237	5,052	5,003	3,566

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
2017-07-03	$27.22	$25.00	35.8%	10.3%	9.1%	13.7%	38.2%	18.3%	-12.7%	239.3K	-7.0M	-18.4K	0.93	98.72	413	384	4,403	600
2017-07-05	$26.95	$25.00	30.3%	8.7%	9.8%	10.0%	24.3%	16.1%	-7.1%	244.7K	-6.7M	-17.8K	0.31	78.83	571	175	4,403	600
2017-07-06	$26.51	$25.00	30.3%	9.1%	10.4%	10.1%	32.0%	3.2%	-6.0%	229.5K	-6.3M	-18.1K	0.48	93.89	385	185	4,445	600
2017-07-07	$26.89	$25.00	29.6%	8.2%	11.2%	9.6%	28.7%	3.3%	-2.1%	213.9K	-6.8M	-17.4K	0.48	45.84	385	185	4,436	610
2017-07-10	$26.50	$25.00	32.7%	8.0%	12.4%	11.7%	29.9%	-1.5%	0.3%	219.2K	-6.2M	-17.5K	0.48	92.06	385	185	4,436	610
2017-07-11	$26.42	$25.00	32.7%	8.1%	12.2%	11.7%	28.4%	9.7%	-1.9%	226.5K	-6.2M	-17.5K	0.48	75.56	385	185	4,436	610
2017-07-12	$26.57	$25.00	29.1%	8.3%	12.1%	9.3%	29.9%	10.3%	-2.6%	224.3K	-6.4M	-16.9K	0.48	97.99	385	185	4,436	610
2017-07-13	$26.80	$25.00	30.0%	8.6%	12.5%	9.9%	30.1%	10.3%	-3.2%	214.3K	-6.6M	-16.7K	0.48	95.54	385	185	4,436	610
2017-07-14	$26.75	$25.00	31.4%	9.0%	12.4%	10.8%	31.1%	8.9%	-4.4%	208.2K	-6.6M	-16.4K	0.49	101.11	381	185	4,436	610
2017-07-17	$26.70	$25.00	29.8%	8.5%	12.3%	9.7%	30.5%	6.5%	-3.5%	197.8K	-6.8M	-15.7K	0.49	95.32	381	185	4,442	610
2017-07-18	$26.23	$25.00	32.2%	9.2%	13.8%	11.3%	32.4%	6.4%	-5.1%	211.1K	-6.2M	-16.1K	0.49	93.76	381	185	4,442	610
2017-07-19	$26.33	$25.00	30.3%	8.7%	13.8%	10.1%	30.2%	8.4%	-4.3%	175.7K	-6.5M	-15.8K	0.49	88.84	381	185	4,442	610
2017-07-20	$26.38	$25.00	30.4%	8.7%	13.6%	10.2%	30.5%	8.4%	-3.4%	163.8K	-6.4M	-15.6K	0.49	74.07	381	185	4,442	610
2017-07-21	$26.37	$25.00	30.4%	8.7%	13.6%	10.1%	30.5%	10.1%	-2.7%	159.9K	-6.5M	-15.7K	1.01	79.26	381	384	4,442	610
2017-07-24	$26.47	$25.00	29.1%	8.4%	13.7%	9.3%	29.8%	7.6%	1.1%	133.4K	-4.3M	-15.9K	1.20	70.02	318	381	2,738	499
2017-07-25	$26.85	$25.00	31.1%	8.9%	14.3%	10.6%	31.5%	9.9%	-4.9%	135.8K	-4.7M	-15.2K	1.19	76.33	320	381	2,738	499
2017-07-26	$26.44	$25.00	27.0%	7.7%	15.3%	7.9%	29.6%	9.2%	-5.0%	130.3K	-4.4M	-15.5K	0.88	82.41	320	281	2,740	499
2017-07-27	$24.15	$25.00	19.4%	5.6%	35.4%	2.9%	16.9%	1.8%	-0.1%	129.4K	-2.0M	-17.3K	1.67	76.10	288	480	2,990	599
2017-07-28	$24.88	$25.00	23.7%	6.8%	37.4%	5.7%	23.6%	18.4%	-0.2%	134.6K	-2.6M	-18.0K	0.98	66.03	288	282	2,985	633
2017-07-31	$24.45	$25.00	23.5%	6.7%	37.5%	5.6%	23.4%	-5.8%	-0.6%	139.4K	-2.3M	-17.1K	0.98	76.90	289	282	2,985	581