CSV Options History — September 2017

In September 2017, CSV traded between $23.30 and $25.90. ATM implied volatility averaged 25.2%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 11.2% (HV 20d: 13.9%). 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 8 of 20 days. Put/call ratio averaged 4.55.

Notable Days

2017-09-20: Highest Volume — 192 contracts
2017-09-18: Largest IV spike — 54.8% change
2017-09-12: Highest IV Rank — 21.9%
2017-09-18: Largest Expected Move — 9.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.46	$23.30	$25.90	$24.32	$25.58
Max Pain	$25.00	$25.00	$25.00	$25.00	$25.00
ATM IV	25.2%	20.7%	38.7%	20.7%	25.7%
Expected Move	7.1%	5.9%	9.7%	5.9%	7.4%
HV 20d	13.9%	9.5%	16.9%	10.2%	16.9%
HV 60d	23.7%	22.9%	24.5%	22.9%	24.3%
IV Rank	8.8%	3.7%	21.9%	3.7%	9.8%
IV Percentile	27.7%	5.2%	77.4%	5.2%	33.3%
Term Structure	-0.4%	-8.4%	5.5%	1.4%	0.6%
VWIV	24.5%	15.8%	33.9%	23.0%	25.6%
Skew 25d	1.7%	-7.5%	6.8%	-7.5%	-1.3%
Skew 10d	1.9%	-12.2%	18.5%	-12.2%	-2.1%
Call IV 25d	25.4%	20.4%	33.1%	25.9%	26.7%
Put IV 25d	27.0%	18.5%	34.5%	18.5%	25.4%
Bid-Ask Spread %	73.91	33.97	107.08	33.97	82.02
Gamma HHI	0.98	0.97	0.99	0.98	0.98
Net GEX	245.3K	172.1K	316.7K	215.3K	308.7K
Net DEX	-2.5M	-4.5M	-1.0M	-2.4M	-4.3M
Net VEX	-12.0K	-14.1K	-10.9K	-14.1K	-10.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.55	2.00	6.94	3.37	4.92
Total Volume	157.6	143	192	153	154
Total OI	3,396.4	3,389	3,399	3,389	3,398

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
2017-09-01	$24.32	$25.00	20.7%	5.9%	10.2%	3.7%	23.0%	-7.5%	1.4%	215.3K	-2.4M	-14.1K	3.37	33.97	35	118	2,978	411
2017-09-05	$24.21	$25.00	23.4%	7.4%	9.5%	5.5%	26.0%	3.8%	-1.9%	213.8K	-2.2M	-13.6K	3.37	41.17	35	118	2,978	411
2017-09-06	$23.96	$25.00	26.3%	7.2%	10.1%	7.5%	25.0%	1.0%	-0.9%	211.8K	-1.8M	-12.5K	3.37	64.10	35	118	2,978	411
2017-09-07	$23.54	$25.00	24.2%	8.0%	11.7%	6.1%	15.8%	5.9%	-1.1%	198.2K	-1.4M	-11.7K	6.94	74.77	18	125	2,978	411
2017-09-08	$23.30	$25.00	22.1%	8.0%	11.9%	4.7%	27.5%	-2.3%	-1.4%	172.1K	-1.0M	-10.9K	5.21	42.65	24	125	2,978	418
2017-09-11	$23.50	$25.00	27.4%	8.3%	12.3%	11.3%	27.8%	0.0%	-1.5%	187.1K	-1.3M	-11.1K	5.33	38.55	24	128	2,978	418
2017-09-12	$23.89	$25.00	38.7%	5.9%	13.7%	21.9%	21.5%	4.7%	0.1%	211.7K	-1.4M	-11.6K	5.33	105.19	24	128	2,978	421
2017-09-13	$24.14	$25.00	22.4%	6.4%	14.0%	6.7%	23.1%	6.8%	-2.7%	215.5K	-1.9M	-12.5K	5.33	105.29	24	128	2,978	421
2017-09-14	$23.95	$25.00	21.4%	6.1%	14.3%	5.8%	21.5%	3.6%	-1.8%	228.5K	-2.0M	-12.2K	5.33	107.08	24	128	2,978	421
2017-09-15	$23.92	$25.00	22.0%	6.3%	13.9%	6.3%	22.3%	3.7%	-2.8%	229.2K	-1.9M	-12.1K	5.33	105.28	24	128	2,978	421
2017-09-18	$24.23	$25.00	34.0%	9.7%	14.4%	17.5%	33.9%	1.5%	-8.4%	205.6K	-2.2M	-12.1K	5.57	97.71	23	128	2,977	421
2017-09-19	$24.14	$25.00	27.7%	7.9%	14.4%	11.7%	27.2%	2.0%	-2.1%	227.2K	-1.9M	-11.7K	2.21	44.67	58	128	2,977	421
2017-09-20	$24.50	$25.00	24.9%	7.2%	14.8%	9.1%	25.3%	5.0%	-1.5%	279.8K	-2.3M	-12.1K	2.00	88.11	64	128	2,977	421
2017-09-21	$24.88	$25.00	24.0%	6.9%	15.7%	8.2%	25.1%	4.3%	2.1%	292.8K	-2.9M	-12.4K	2.00	59.70	64	128	2,977	421
2017-09-22	$24.97	$25.00	22.4%	6.4%	15.7%	6.8%	22.4%	1.9%	4.8%	308.4K	-3.2M	-12.3K	5.12	90.54	25	128	2,977	421
2017-09-25	$25.22	$25.00	22.9%	6.6%	16.0%	7.2%	22.8%	-1.7%	2.8%	316.7K	-3.5M	-11.9K	5.12	53.78	25	128	2,978	421
2017-09-26	$25.41	$25.00	23.5%	6.7%	16.2%	7.8%	23.5%	-0.1%	1.0%	308.3K	-3.9M	-11.6K	5.12	74.62	25	128	2,978	421
2017-09-27	$25.74	$25.00	22.4%	6.4%	16.4%	6.8%	22.7%	-1.1%	5.5%	306.2K	-4.4M	-10.9K	5.12	89.40	25	128	2,978	421
2017-09-28	$25.90	$25.00	27.2%	7.8%	16.2%	11.2%	27.3%	2.8%	-0.7%	268.4K	-4.5M	-10.9K	4.92	79.67	26	128	2,978	421
2017-09-29	$25.58	$25.00	25.7%	7.4%	16.9%	9.8%	25.6%	-1.3%	0.6%	308.7K	-4.3M	-10.9K	4.92	82.02	26	128	2,977	421