CSV Options History — November 2012

In November 2012, CSV traded between $10.66 and $11.43. ATM implied volatility averaged 54.5%. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 10.3% (HV 20d: 44.2%). Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2012-11-02: Highest Volume — 20 contracts
  • 2012-11-15: Largest IV drop — 76.3% change
  • 2012-11-02: Largest Expected Move — 17.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.02$10.66$11.43$11.22$11.11
ATM IV54.5%29.6%125.8%54.3%33.3%
Expected Move9.7%7.7%17.0%15.6%9.5%
HV 20d44.2%30.4%54.1%54.1%30.4%
Term Structure-4.9%-29.8%6.5%-26.9%-4.8%
Skew 25d10.7%-6.7%60.0%60.0%1.9%
Skew 10d20.5%-0.2%89.2%89.2%0.2%
Call IV 25d43.0%26.0%105.1%105.1%34.4%
Put IV 25d53.8%25.9%165.1%165.1%36.3%
Bid-Ask Spread %113.97111.28117.77116.90112.94
Gamma HHI0.980.621.001.000.62
Net GEX33104730473
Net DEX-15.1K-36.2K00-36.2K
Net VEX-45-7100-71
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume1.90502000
Total OI19.048040040

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-11-01$11.22$0.0054.3%15.6%0.0%0.0%0.0%60.0%-26.9%0000.00116.900000
2012-11-02$10.85$0.0059.2%17.0%0.0%0.0%0.0%-6.3%-29.8%0000.00117.7720000
2012-11-05$11.27$0.0060.0%7.7%0.0%0.0%0.0%25.7%-0.2%348-17.0K-480.00113.1600200
2012-11-06$11.43$0.0064.1%8.8%0.0%0.0%0.0%5.1%-0.4%372-17.4K-460.00112.5500200
2012-11-07$11.03$0.0073.7%8.4%0.0%0.0%0.0%23.2%0.6%360-16.2K-490.00113.2000200
2012-11-08$10.85$0.0069.8%9.5%0.0%0.0%0.0%-6.7%-1.6%370-15.6K-500.00111.2800200
2012-11-09$10.84$0.0072.1%8.1%54.1%0.0%0.0%27.3%1.5%413-14.8K-500.00113.4100200
2012-11-12$10.88$0.0095.9%8.3%52.3%0.0%0.0%38.0%0.9%396-15.2K-500.00113.2600200
2012-11-13$10.92$0.00106.3%8.6%50.6%0.0%0.0%28.5%0.6%386-15.5K-490.00113.4700200
2012-11-14$10.80$0.00125.8%8.7%49.4%0.0%0.0%23.4%6.1%382-15.4K-490.00113.9700200
2012-11-15$10.66$0.0029.8%8.5%48.4%0.0%0.0%-2.3%6.5%406-14.5K-490.00114.1300200
2012-11-16$10.92$0.0030.2%8.7%47.7%0.0%0.0%0.2%-4.5%341-14.5K-510.00114.2900200
2012-11-19$11.20$0.0029.6%8.5%48.3%0.0%0.0%3.1%-2.0%378-16.1K-460.00112.4900200
2012-11-20$11.08$0.0032.7%9.4%47.0%0.0%0.0%2.2%-5.3%339-15.6K-490.00115.1900200
2012-11-21$11.16$0.0031.1%8.9%44.6%0.0%0.0%4.1%-4.6%332-15.8K-490.00112.8700200
2012-11-23$11.21$0.0036.5%10.5%42.9%0.0%0.0%2.0%-7.7%325-16.2K-480.00116.8900200
2012-11-26$11.06$0.0036.5%10.5%37.6%0.0%0.0%-0.6%-10.2%320-15.9K-470.00113.0500200
2012-11-27$10.86$0.0035.6%10.2%37.7%0.0%0.0%-5.2%-8.9%327-15.2K-470.00114.7700200
2012-11-28$10.88$0.0032.1%9.2%35.4%0.0%0.0%1.9%-2.0%345-14.6K-490.00114.3300200
2012-11-29$11.11$0.0035.4%10.1%36.1%0.0%0.0%0.1%-10.1%342-15.6K-470.00113.54200200
2012-11-30$11.11$0.0033.3%9.5%30.4%0.0%0.0%1.9%-4.8%473-36.2K-710.00112.9400400