CSV Options History — October 2014

In October 2014, CSV traded between $17.31 and $19.94. ATM implied volatility averaged 33.3%, placing in the 47.5% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 13.6% (HV 20d: 19.8%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 0.96.

Notable Days

  • 2014-10-31: Highest Volume — 1,108 contracts
  • 2014-10-14: Largest IV spike — 47.9% change
  • 2014-10-14: Highest IV Rank — 100.0%
  • 2014-10-03: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.39$17.31$19.94$17.31$19.94
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV33.3%22.2%57.1%32.1%24.4%
Expected Move8.5%7.0%9.7%9.6%7.9%
HV 20d19.8%15.1%23.9%15.1%22.8%
HV 60d27.4%19.4%29.2%27.6%19.8%
IV Rank47.5%9.9%100.0%55.9%15.5%
IV Percentile46.6%2.4%100.0%35.3%6.7%
Term Structure-1.2%-9.2%6.2%1.1%0.4%
VWIV33.3%25.9%40.0%36.6%31.7%
Skew 25d8.0%-2.1%56.9%-0.8%-2.1%
Skew 10d11.0%-3.5%119.5%-1.2%-3.5%
Call IV 25d30.0%20.4%38.4%32.1%26.5%
Put IV 25d37.9%24.4%89.9%31.3%24.4%
Bid-Ask Spread %82.1866.9996.0169.8687.84
Gamma HHI0.590.430.720.720.43
Net GEX36.7K-4.3K52.1K52.1K-4.3K
Net DEX-3.7M-4.3M-3.1M-3.2M-3.9M
Net VEX-7.3K-9.5K-4.0K-9.3K-4.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.002.620.000.45
Total Volume512.21701,108721,108
Total OI3,204.2612,7053,5763,3872,705

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-10-01$17.31$15.0032.1%9.6%15.1%55.9%36.6%-0.8%1.1%52.1K-3.2M-9.3K0.0069.867202,925462
2014-10-02$17.66$15.0031.2%9.7%15.8%52.3%38.1%14.8%2.1%49.4K-3.5M-9.5K0.0067.5012002,994462
2014-10-03$17.97$15.0034.0%9.7%17.1%63.6%0.0%13.6%-0.8%47.4K-3.9M-9.5K0.0068.52003,114462
2014-10-06$17.95$15.0032.7%9.2%17.0%58.1%40.0%0.7%-3.5%48.3K-3.9M-9.3K0.0068.455003,114462
2014-10-07$17.84$15.0033.9%9.4%17.1%63.0%0.0%7.4%-1.5%47.5K-3.8M-9.2K0.0067.31003,064462
2014-10-08$18.05$15.0031.2%9.3%17.6%52.1%34.2%7.0%-1.9%46.0K-3.8M-9.1K0.7966.994523573,064462
2014-10-09$18.02$15.0034.0%9.4%17.6%63.7%32.4%7.8%-2.4%45.6K-3.7M-8.7K0.9468.123783572,989462
2014-10-10$18.00$15.0034.8%9.3%17.6%66.9%35.7%-0.2%-2.7%45.5K-3.7M-8.8K0.8169.264433573,005462
2014-10-13$18.08$15.0038.6%9.3%17.6%82.4%37.4%2.5%-2.9%43.9K-3.7M-8.4K0.8167.874433572,939454
2014-10-14$18.33$15.0057.1%8.0%18.2%100.0%35.9%3.1%3.2%41.4K-3.9M-7.4K0.7491.634853572,939454
2014-10-15$18.16$15.0043.2%8.9%18.4%64.2%36.3%56.9%-2.4%45.6K-3.7M-7.4K0.8288.774353572,865454
2014-10-16$18.45$15.0029.6%8.6%19.4%28.9%0.0%12.7%4.7%41.2K-4.0M-6.8K0.0491.355022,890454
2014-10-17$18.06$15.0034.2%8.8%19.7%40.8%0.0%4.5%-2.1%38.1K-3.7M-7.3K0.0086.091102,846454
2014-10-20$17.89$15.0034.0%8.2%20.0%40.2%31.4%-0.4%1.6%38.0K-3.1M-7.1K1.5189.552203332,461372
2014-10-21$18.61$15.0028.2%8.3%23.6%25.3%31.4%11.4%-2.2%43.4K-3.5M-6.7K1.5987.742103332,563372
2014-10-22$18.41$15.0039.6%7.7%23.9%54.7%31.8%14.8%-9.2%33.0K-3.4M-6.8K2.5695.141343432,524398
2014-10-23$18.69$15.0033.2%7.8%23.4%38.3%27.9%5.7%6.2%31.8K-3.5M-7.2K2.6291.751313432,532398
2014-10-24$18.85$15.0026.8%7.5%23.4%21.7%27.7%5.3%4.8%27.7K-3.7M-5.7K2.6293.061313432,516398
2014-10-27$18.94$15.0031.5%7.2%23.3%34.0%29.0%2.6%-8.5%26.9K-3.7M-5.8K1.2793.672713432,516398
2014-10-28$19.19$15.0030.9%7.0%21.9%32.3%36.1%6.2%-7.7%29.9K-4.3M-5.1K0.8691.843993432,733398
2014-10-29$19.08$15.0029.2%7.5%22.2%27.9%25.9%9.1%-6.4%21.5K-3.7M-5.2K1.2591.822743432,452398
2014-10-30$19.48$15.0022.2%7.4%22.2%9.9%34.0%0.5%2.2%5.2K-3.9M-4.7K0.4696.017533432,452398
2014-10-31$19.94$15.0024.4%7.9%22.8%15.5%31.7%-2.1%0.4%-4.3K-3.9M-4.0K0.4587.847653432,307398