CSV Options History — August 2013

In August 2013, CSV traded between $17.36 and $18.96. ATM implied volatility averaged 40.8%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 8.4% (HV 20d: 32.5%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.06.

Notable Days

  • 2013-08-12: Highest Volume — 296 contracts
  • 2013-08-14: Largest IV spike — 16.9% change
  • 2013-08-07: Highest IV Rank — 20.4%
  • 2013-08-02: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.12$17.36$18.96$18.78$17.62
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV40.8%31.8%48.1%38.6%37.7%
Expected Move11.6%10.6%12.4%11.1%10.8%
HV 20d32.5%25.6%35.7%28.9%25.6%
HV 60d40.0%34.1%42.8%41.0%34.1%
IV Rank14.6%7.4%20.4%12.8%12.1%
IV Percentile66.6%26.0%83.0%63.3%53.9%
Term Structure0.9%-3.9%4.4%2.5%2.7%
VWIV40.9%37.7%42.9%41.3%39.4%
Skew 25d5.6%-2.7%15.6%2.7%4.5%
Skew 10d11.1%-3.0%85.9%85.9%5.9%
Call IV 25d33.5%21.5%40.6%37.6%28.8%
Put IV 25d39.0%33.3%46.8%40.3%33.3%
Bid-Ask Spread %57.9314.71102.9957.1914.71
Gamma HHI0.470.400.630.410.50
Net GEX21.9K10.1K48.1K28.3K11.4K
Net DEX-1.0M-1.7M-613.0K-1.0M-899.8K
Net VEX-6.0K-6.5K-5.6K-5.6K-6.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.060.000.500.000.00
Total Volume65.5029690
Total OI2,234.7732,0492,4702,0492,359

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-08-01$18.78$17.5038.6%11.1%28.9%12.8%0.0%2.7%2.5%28.3K-1.0M-5.6K0.0057.19901,200849
2013-08-02$17.90$17.5043.2%12.4%34.0%16.5%0.0%7.6%-3.5%28.7K-674.9K-5.7K0.0028.162001,207849
2013-08-05$18.01$17.5047.3%11.8%32.4%19.7%41.3%11.7%-0.4%29.4K-717.4K-5.6K0.0089.962001,217849
2013-08-06$17.70$17.5047.1%12.3%32.7%19.6%42.9%10.3%-3.9%31.0K-613.0K-5.6K0.0060.97041,237849
2013-08-07$18.02$17.5048.1%12.3%33.0%20.4%42.9%7.3%-2.2%31.9K-725.7K-5.6K0.0417.9814261,237853
2013-08-08$17.99$17.5042.3%11.3%32.7%15.7%40.2%1.2%1.7%40.8K-908.1K-5.8K0.0830.45170141,369859
2013-08-09$18.01$17.5042.6%11.3%32.7%16.0%0.0%-2.7%2.8%48.1K-944.8K-5.9K0.0247.9915031,453856
2013-08-12$18.60$17.5037.0%12.1%34.7%11.5%0.0%5.4%-0.1%30.4K-1.5M-5.8K0.0092.1029601,542856
2013-08-13$18.96$17.5031.8%10.6%35.3%7.4%0.0%10.1%4.4%26.6K-1.7M-5.9K0.0020.184501,576856
2013-08-14$18.89$17.5037.1%10.6%35.1%11.6%37.7%5.0%2.1%23.0K-1.7M-5.9K0.0842.467561,582856
2013-08-15$18.48$17.5036.9%10.6%35.2%11.5%0.0%-0.1%4.1%24.7K-1.6M-5.9K0.0045.83201,614856
2013-08-16$18.66$17.5041.4%11.9%34.9%15.0%41.2%6.6%1.3%27.8K-1.6M-5.9K0.5093.6050251,614856
2013-08-19$18.25$17.5039.9%11.4%35.7%13.8%0.0%-0.2%-0.1%10.8K-971.0K-6.1K0.0097.26001,247867
2013-08-20$18.19$17.5042.8%12.3%35.7%16.1%0.0%5.3%0.9%10.7K-925.0K-6.1K0.0096.33001,247867
2013-08-21$18.00$17.5042.0%12.0%35.1%15.5%0.0%-1.5%0.3%10.7K-883.9K-5.9K0.0036.912201,247867
2013-08-22$18.29$17.5039.9%11.4%31.0%13.9%0.0%15.6%3.1%11.5K-946.3K-6.0K0.0036.665001,256867
2013-08-23$17.87$17.5037.9%10.9%29.5%12.3%0.0%7.1%4.0%11.0K-944.4K-6.0K0.0033.224001,306867
2013-08-26$17.86$17.5041.1%11.8%29.4%14.8%41.1%7.4%-1.0%12.3K-921.5K-6.1K0.02102.9911021,346867
2013-08-27$17.44$17.5039.4%11.3%30.4%13.4%39.4%5.3%3.9%10.1K-777.1K-6.2K0.2998.6885251,351869
2013-08-28$17.36$17.5042.6%12.2%29.7%16.0%0.0%4.0%-1.5%10.5K-717.4K-6.3K0.0030.195501,400894
2013-08-29$17.65$17.5041.8%12.0%30.6%15.3%0.0%10.0%-0.3%11.9K-877.8K-6.5K0.00100.641501,455894
2013-08-30$17.62$17.5037.7%10.8%25.6%12.1%0.0%4.5%2.7%11.4K-899.8K-6.5K0.0014.71001,465894