CSV Options History — January 2018

In January 2018, CSV traded between $25.95 and $27.14. ATM implied volatility averaged 24.5%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 8.8% (HV 20d: 15.8%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.11.

Notable Days

2018-01-17: Highest Volume — 1,179 contracts
2018-01-31: Largest IV spike — 112.8% change
2018-01-31: Highest IV Rank — 39.5%
2018-01-31: Largest Expected Move — 16.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.50	$25.95	$27.14	$25.95	$26.60
Max Pain	$25.00	$25.00	$25.00	$25.00	$25.00
ATM IV	24.5%	14.3%	55.7%	18.4%	55.7%
Expected Move	7.4%	5.2%	16.0%	5.3%	16.0%
HV 20d	15.8%	14.2%	17.1%	15.2%	15.7%
HV 60d	20.3%	15.3%	22.4%	22.1%	15.3%
IV Rank	11.5%	2.3%	39.5%	6.0%	39.5%
IV Percentile	36.3%	0.4%	94.4%	4.4%	94.4%
Term Structure	-1.3%	-60.6%	7.7%	6.6%	-60.6%
VWIV	25.2%	17.3%	46.4%	17.3%	46.4%
Skew 25d	5.8%	-3.1%	11.7%	-3.1%	0.9%
Skew 10d	8.2%	-2.6%	19.8%	19.8%	9.5%
Call IV 25d	19.1%	14.6%	34.8%	24.6%	34.8%
Put IV 25d	25.0%	16.4%	35.7%	21.5%	35.7%
Bid-Ask Spread %	68.23	23.82	100.25	76.28	97.85
Gamma HHI	0.60	0.42	0.99	0.99	0.44
Net GEX	55.3K	33.8K	102.6K	102.6K	37.3K
Net DEX	-2.8M	-5.0M	-1.4M	-1.6M	-1.5M
Net VEX	-3.7K	-7.3K	-1.7K	-1.8K	-3.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.11	0.02	0.42	0.42	0.02
Total Volume	876.286	418	1,179	418	988
Total OI	1,496.429	759	2,573	1,173	784

Daily Data (21 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
2018-01-02	$25.95	$25.00	18.4%	5.3%	15.2%	6.0%	17.3%	-3.1%	6.6%	102.6K	-1.6M	-1.8K	0.42	76.28	294	124	917	256
2018-01-03	$26.21	$25.00	26.1%	7.5%	14.9%	12.9%	25.8%	-0.6%	-2.2%	78.2K	-1.7M	-1.7K	0.12	100.25	998	124	917	256
2018-01-04	$26.49	$25.00	17.9%	6.5%	15.1%	5.6%	22.3%	7.8%	3.8%	63.3K	-3.2M	-2.5K	0.12	74.96	998	124	1,432	256
2018-01-05	$26.38	$25.00	14.3%	6.5%	14.2%	2.3%	22.7%	8.0%	2.8%	47.0K	-3.2M	-2.3K	0.13	28.88	948	125	1,432	256
2018-01-08	$26.70	$25.00	16.7%	6.6%	14.8%	4.5%	22.9%	7.4%	3.0%	50.3K	-3.9M	-3.5K	0.13	64.56	948	126	1,732	257
2018-01-09	$26.16	$25.00	14.7%	6.4%	16.5%	2.6%	22.6%	6.6%	3.7%	74.8K	-3.7M	-3.8K	0.13	53.37	948	126	1,732	259
2018-01-10	$26.22	$25.00	24.8%	7.1%	16.1%	11.7%	24.7%	7.9%	0.9%	61.2K	-3.8M	-3.6K	0.13	71.12	948	126	1,732	259
2018-01-11	$26.37	$25.00	25.8%	7.4%	16.2%	12.6%	24.8%	10.7%	1.0%	65.9K	-3.8M	-3.6K	0.12	47.53	1,016	126	1,732	259
2018-01-12	$26.54	$25.00	23.7%	6.8%	16.4%	10.8%	23.8%	1.3%	2.7%	71.7K	-4.6M	-6.0K	0.12	59.59	1,021	126	2,114	259
2018-01-16	$26.71	$25.00	25.0%	7.2%	15.0%	12.0%	28.1%	3.5%	-1.5%	77.2K	-5.0M	-7.2K	0.16	77.89	766	126	2,314	259
2018-01-17	$26.42	$25.00	25.9%	7.4%	15.2%	12.8%	26.4%	7.8%	-1.6%	81.1K	-4.9M	-7.3K	0.12	68.35	1,051	128	2,314	259
2018-01-18	$26.13	$25.00	24.3%	7.0%	15.7%	11.3%	24.3%	6.4%	0.5%	55.8K	-3.8M	-4.9K	0.24	43.14	542	128	1,815	261
2018-01-19	$26.10	$25.00	24.1%	6.9%	15.7%	11.1%	23.9%	6.3%	0.7%	44.8K	-3.6M	-4.1K	0.19	84.53	692	131	1,674	261
2018-01-22	$26.35	$25.00	25.2%	7.2%	15.7%	12.1%	25.2%	6.7%	-2.2%	37.7K	-1.4M	-3.3K	0.03	23.82	666	20	736	23
2018-01-23	$26.61	$25.00	27.1%	7.8%	15.9%	13.8%	26.3%	9.5%	0.1%	37.1K	-1.5M	-3.3K	0.03	71.47	666	20	751	23
2018-01-24	$27.14	$25.00	30.2%	8.7%	17.0%	16.6%	32.5%	6.0%	-5.4%	33.8K	-1.6M	-3.2K	0.03	94.08	666	20	751	23
2018-01-25	$26.94	$25.00	23.7%	6.8%	17.1%	10.7%	20.7%	8.8%	6.5%	34.8K	-1.5M	-3.2K	0.03	75.45	666	20	751	23
2018-01-26	$26.94	$25.00	18.2%	5.2%	17.1%	5.8%	19.8%	0.5%	7.7%	34.4K	-1.5M	-3.2K	0.03	70.17	666	20	759	23
2018-01-29	$26.80	$25.00	27.4%	7.9%	16.5%	14.1%	26.7%	8.5%	1.4%	36.8K	-1.5M	-3.2K	0.03	62.36	666	20	759	23
2018-01-30	$26.83	$25.00	26.2%	7.5%	15.4%	13.0%	23.1%	11.7%	4.9%	36.1K	-1.5M	-3.1K	0.04	87.16	468	20	759	23
2018-01-31	$26.60	$25.00	55.7%	16.0%	15.7%	39.5%	46.4%	0.9%	-60.6%	37.3K	-1.5M	-3.2K	0.02	97.85	968	20	761	23