CSV Options History — October 2012

In October 2012, CSV traded between $9.97 and $10.97. ATM implied volatility averaged 95.2%. The 30-day expected move averaged 27.3%. Net GEX was positive for 0 of 9 trading days. Term structure was in contango for 1 of 9 days.

Notable Days

  • 2012-10-31: Largest IV spike — 203.2% change
  • 2012-10-17: Largest Expected Move — 42.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.45$9.97$10.97$10.32$10.63
ATM IV95.2%37.3%148.1%148.1%134.9%
Expected Move27.3%10.7%42.5%42.5%38.7%
Term Structure-31.5%-56.7%5.3%-56.7%-50.3%
Skew 25d26.8%7.6%46.7%20.5%43.0%
Skew 10d46.0%18.2%74.3%31.3%67.5%
Call IV 25d80.5%27.6%121.6%54.8%104.3%
Put IV 25d107.3%36.0%167.5%75.3%147.3%
Bid-Ask Spread %147.17114.85186.07186.07156.35
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI00000

Daily Data (9 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-10-17$10.32$0.00148.1%42.5%0.0%0.0%0.0%0.0%-56.7%0000.00186.070000
2012-10-18$10.27$0.00107.1%30.7%0.0%0.0%0.0%20.5%-41.6%0000.00159.480000
2012-10-19$9.97$0.00109.6%31.4%0.0%0.0%0.0%10.3%-42.5%0000.00158.560000
2012-10-22$10.43$0.00114.0%32.7%0.0%0.0%0.0%45.9%-34.7%0000.00155.110000
2012-10-23$10.13$0.00117.1%33.6%0.0%0.0%0.0%7.6%-37.8%0000.00156.640000
2012-10-24$10.78$0.0037.3%10.7%0.0%0.0%0.0%46.7%5.3%0000.00114.850000
2012-10-25$10.97$0.0044.1%12.6%0.0%0.0%0.0%8.4%-15.4%0000.00118.530000
2012-10-26$10.59$0.0044.5%12.8%0.0%0.0%0.0%32.3%-10.3%0000.00118.920000
2012-10-31$10.63$0.00134.9%38.7%0.0%0.0%0.0%43.0%-50.3%0000.00156.350000