CSV Options History — April 2013

In April 2013, CSV traded between $16.74 and $21.63. ATM implied volatility averaged 43.2%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded below realized volatility by 11.5% (HV 20d: 54.7%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.66.

Notable Days

  • 2013-04-12: Highest Volume — 193 contracts
  • 2013-04-09: Largest IV drop — 38.4% change
  • 2013-04-30: Highest IV Rank — 28.2%
  • 2013-04-30: Largest Expected Move — 16.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.05$16.74$21.63$21.42$17.49
Max Pain$18.98$17.50$20.00$17.50$20.00
ATM IV43.2%22.5%58.0%31.6%58.0%
Expected Move12.6%8.2%16.6%9.1%16.6%
HV 20d54.7%23.4%72.5%23.8%72.2%
HV 60d44.5%32.9%51.8%34.5%51.6%
IV Rank23.8%19.3%28.2%20.3%28.2%
IV Percentile83.1%79.5%87.0%80.2%87.0%
Term Structure-2.9%-16.0%7.7%3.1%-12.0%
VWIV39.1%22.4%61.6%26.2%51.4%
Skew 25d5.4%-7.0%26.0%-7.0%18.4%
Skew 10d9.7%-8.6%58.1%58.1%14.5%
Call IV 25d38.0%27.9%55.8%31.0%41.4%
Put IV 25d43.3%24.0%64.3%24.0%59.8%
Bid-Ask Spread %91.5246.26117.7683.46117.76
Gamma HHI0.280.240.390.340.29
Net GEX12.9K8.6K16.0K12.2K11.3K
Net DEX-696.6K-1.1M-323.7K-985.4K-426.3K
Net VEX-2.0K-2.3K-1.4K-1.5K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.004.750.220.00
Total Volume41.4551193288
Total OI824.045647954647954

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-04-01$21.42$17.5031.6%9.1%23.8%0.0%26.2%-7.0%3.1%12.2K-985.4K-1.5K0.2283.4623556087
2013-04-02$21.49$17.5028.5%8.2%23.4%0.0%22.4%-3.3%7.7%11.6K-1.0M-1.4K0.0082.7424057592
2013-04-03$20.35$17.5035.8%10.3%30.8%0.0%35.9%6.7%0.7%15.4K-871.1K-1.8K1.1068.51313459292
2013-04-04$21.44$17.5030.3%8.7%35.3%0.0%23.8%-5.6%3.1%12.9K-1.0M-1.6K0.0465.0054260089
2013-04-05$20.79$20.0036.8%10.1%37.4%0.0%32.3%-2.5%1.3%16.0K-941.0K-1.8K0.3579.09431561489
2013-04-08$21.01$17.5036.5%10.2%37.4%0.0%0.0%-0.0%0.7%15.7K-1.0M-1.9K0.0080.3610653104
2013-04-09$21.50$17.5022.5%10.0%38.0%0.0%34.3%4.9%0.2%12.4K-1.1M-1.7K0.0376.95732652104
2013-04-10$21.63$17.5030.1%9.8%37.9%0.0%35.8%6.5%0.4%12.6K-1.1M-1.8K0.0080.90220652106
2013-04-11$21.48$17.5033.7%9.7%38.1%0.0%0.0%6.2%1.1%14.0K-1.1M-1.8K0.3879.5783665106
2013-04-12$20.05$17.5036.3%10.4%46.1%0.0%36.1%3.1%-0.7%16.0K-840.1K-1.9K0.2178.4516033662109
2013-04-15$17.21$20.0043.5%12.5%71.3%0.0%45.6%0.0%-2.0%14.3K-394.8K-2.0K0.3146.268827680131
2013-04-16$17.49$20.0052.0%14.9%71.6%0.0%0.0%7.1%0.3%15.7K-494.8K-2.3K0.00104.58110755130
2013-04-17$17.07$20.0057.5%16.5%71.7%0.0%45.3%0.1%-5.0%13.6K-455.4K-2.3K0.25108.26164761130
2013-04-18$16.78$20.0056.5%16.2%69.0%0.0%61.6%26.0%-5.1%13.7K-416.6K-2.2K2.44109.761844777132
2013-04-19$16.84$20.0048.8%14.0%69.2%0.0%48.9%5.9%3.0%12.7K-398.2K-2.2K2.40111.781536767176
2013-04-22$16.74$20.0055.5%15.9%69.2%0.0%0.0%-6.4%-10.2%8.6K-323.7K-2.2K0.00115.32170697183
2013-04-23$17.80$20.0048.0%13.8%72.4%20.3%0.0%16.1%-9.8%11.9K-493.5K-2.2K0.5997.833420708183
2013-04-24$17.59$20.0046.8%13.4%72.1%19.3%45.0%14.5%-4.1%11.2K-500.1K-2.3K4.75105.19419720203
2013-04-25$17.91$20.0049.3%14.1%72.5%21.3%41.6%3.8%-9.8%11.0K-522.7K-2.3K0.80105.8654724220
2013-04-26$17.50$20.0055.3%15.8%72.5%26.1%51.4%2.4%-16.0%10.6K-473.2K-2.3K0.00102.4550725220
2013-04-29$17.45$20.0057.3%16.4%72.2%27.7%0.0%20.9%-9.9%11.0K-453.6K-2.3K0.00113.2604730220
2013-04-30$17.49$20.0058.0%16.6%72.2%28.2%0.0%18.4%-12.0%11.3K-426.3K-2.1K0.00117.7680730224