CSV Options History — December 2017

In December 2017, CSV traded between $25.57 and $26.63. ATM implied volatility averaged 24.6%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 8.5% (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 15 of 20 days. Put/call ratio averaged 0.73.

Notable Days

2017-12-20: Highest Volume — 514 contracts
2017-12-13: Largest IV drop — 71.9% change
2017-12-12: Highest IV Rank — 44.5%
2017-12-28: Largest Expected Move — 7.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.08	$25.57	$26.63	$25.57	$25.75
Max Pain	$25.00	$25.00	$25.00	$25.00	$25.00
ATM IV	24.6%	11.7%	63.1%	22.0%	16.1%
Expected Move	5.3%	3.4%	7.5%	6.3%	4.6%
HV 20d	16.1%	14.3%	17.4%	15.7%	15.0%
HV 60d	21.9%	21.6%	22.1%	22.1%	22.0%
IV Rank	9.9%	0.0%	44.5%	6.4%	4.0%
IV Percentile	27.8%	0.0%	96.0%	18.3%	2.0%
Term Structure	3.5%	-4.0%	8.7%	-0.9%	7.3%
VWIV	18.4%	11.8%	26.4%	22.3%	15.2%
Skew 25d	0.7%	-7.4%	7.5%	5.5%	-3.4%
Skew 10d	6.3%	-7.9%	44.3%	44.3%	-6.2%
Call IV 25d	19.3%	14.5%	32.8%	32.8%	22.2%
Put IV 25d	20.0%	11.7%	38.2%	38.2%	18.8%
Bid-Ask Spread %	65.75	38.61	110.60	64.16	64.34
Gamma HHI	0.97	0.93	1.00	0.97	0.99
Net GEX	64.1K	42.8K	100.9K	50.7K	97.2K
Net DEX	-1.5M	-1.8M	-971.3K	-971.3K	-1.5M
Net VEX	-2.8K	-4.3K	-1.6K	-4.3K	-2.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.73	0.41	0.88	0.88	0.42
Total Volume	468.95	414	514	490	418
Total OI	1,277.7	1,207	1,307	1,306	1,211

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
2017-12-01	$25.57	$25.00	22.0%	6.3%	15.7%	6.4%	22.3%	5.5%	-0.9%	50.7K	-971.3K	-4.3K	0.88	64.16	261	229	884	422
2017-12-04	$25.92	$25.00	15.7%	5.4%	16.3%	0.5%	18.8%	2.8%	4.7%	54.3K	-1.3M	-3.7K	0.88	48.30	261	229	884	422
2017-12-05	$26.11	$25.00	25.8%	6.6%	16.5%	9.9%	23.0%	4.0%	0.4%	49.5K	-1.2M	-3.8K	0.88	48.24	261	229	884	422
2017-12-06	$26.51	$25.00	32.6%	6.5%	16.5%	16.2%	22.5%	5.1%	-0.6%	49.8K	-1.5M	-3.3K	0.88	92.92	261	229	884	422
2017-12-07	$26.55	$25.00	27.9%	4.9%	15.9%	11.8%	16.8%	4.7%	8.5%	45.5K	-1.7M	-2.5K	0.88	67.31	261	229	884	422
2017-12-08	$26.63	$25.00	33.1%	5.2%	15.6%	16.6%	17.7%	6.8%	8.7%	42.8K	-1.6M	-2.9K	0.88	103.01	261	229	884	422
2017-12-11	$26.34	$25.00	55.9%	4.5%	16.1%	37.8%	16.4%	-5.3%	0.2%	48.1K	-1.5M	-3.0K	0.88	66.56	261	229	884	422
2017-12-12	$26.34	$25.00	63.1%	4.9%	15.5%	44.5%	16.7%	4.3%	7.7%	47.6K	-1.6M	-2.7K	0.88	63.81	261	229	884	422
2017-12-13	$26.30	$25.00	17.8%	5.1%	15.4%	2.5%	17.6%	4.3%	7.1%	48.6K	-1.5M	-2.7K	0.88	64.72	261	229	884	422
2017-12-14	$25.83	$25.00	17.9%	5.1%	17.2%	2.5%	17.9%	-0.1%	5.6%	61.9K	-1.4M	-3.1K	0.88	44.51	261	229	884	422
2017-12-15	$26.12	$25.00	15.6%	4.5%	17.4%	0.5%	15.4%	2.0%	7.5%	55.4K	-1.6M	-2.6K	0.88	78.97	261	229	884	422
2017-12-18	$26.19	$25.00	16.5%	4.7%	16.9%	1.3%	17.1%	-5.8%	-0.6%	56.1K	-1.5M	-2.7K	0.85	38.61	260	220	883	390
2017-12-19	$26.24	$25.00	11.7%	3.4%	16.3%	0.0%	11.8%	-2.3%	8.7%	53.4K	-1.8M	-1.6K	0.81	57.09	271	220	883	390
2017-12-20	$26.00	$25.00	14.5%	4.2%	16.4%	2.5%	14.9%	-7.4%	3.7%	66.9K	-1.5M	-2.7K	0.75	71.96	294	220	894	390
2017-12-21	$25.91	$25.00	19.2%	5.5%	16.4%	6.7%	19.1%	1.1%	1.9%	70.1K	-1.4M	-2.8K	0.41	40.35	294	120	917	390
2017-12-22	$25.77	$25.00	22.0%	6.3%	16.1%	9.2%	21.9%	7.5%	-2.7%	90.4K	-1.3M	-2.8K	0.42	110.60	294	124	917	290
2017-12-26	$25.64	$25.00	19.5%	5.6%	16.1%	7.0%	19.5%	-2.3%	3.2%	97.1K	-1.4M	-2.5K	0.42	45.90	294	124	917	294
2017-12-27	$25.71	$25.00	17.8%	5.1%	15.8%	5.5%	17.8%	-6.9%	4.4%	100.9K	-1.5M	-2.3K	0.42	65.37	294	124	917	294
2017-12-28	$26.13	$25.00	26.2%	7.5%	14.3%	13.0%	26.4%	0.1%	-4.0%	95.9K	-1.5M	-2.2K	0.42	78.25	294	124	917	294
2017-12-29	$25.75	$25.00	16.1%	4.6%	15.0%	4.0%	15.2%	-3.4%	7.3%	97.2K	-1.5M	-2.1K	0.42	64.34	294	124	917	294