CSV Options History — December 2014

In December 2014, CSV traded between $19.25 and $21.19. ATM implied volatility averaged 25.3%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 4.9% (HV 20d: 20.4%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.21.

Notable Days

  • 2014-12-08: Highest Volume — 449 contracts
  • 2014-12-24: Largest IV drop — 33.7% change
  • 2014-12-22: Highest IV Rank — 33.4%
  • 2014-12-30: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.08$19.25$21.19$19.40$20.95
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV25.3%19.9%31.3%26.1%25.3%
Expected Move7.6%6.5%8.3%7.5%8.1%
HV 20d20.4%15.3%23.3%16.5%22.3%
HV 60d20.8%19.3%22.0%19.3%20.8%
IV Rank17.9%3.8%33.4%19.8%17.7%
IV Percentile13.7%0.4%38.9%13.1%13.9%
Term Structure0.3%-6.5%10.5%-1.1%-0.4%
VWIV26.7%23.5%29.8%24.6%26.4%
Skew 25d0.9%-8.1%9.2%1.0%-2.0%
Skew 10d0.2%-17.0%13.5%-1.7%6.2%
Call IV 25d27.4%19.3%31.2%31.2%24.0%
Put IV 25d28.2%20.3%37.0%32.2%22.0%
Bid-Ask Spread %99.6390.85111.6695.9194.48
Gamma HHI0.390.300.680.370.34
Net GEX19.9K13.5K25.8K24.9K15.8K
Net DEX-3.2M-3.5M-2.9M-2.9M-3.4M
Net VEX-1.4K-2.3K-611-2.3K-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.000.280.180.00
Total Volume272.504494091
Total OI1,877.6821,8681,9111,8711,882

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-12-01$19.40$15.0026.1%7.5%16.5%19.8%24.6%1.0%-1.1%24.9K-2.9M-2.3K0.1895.91348611,755116
2014-12-02$19.39$15.0024.3%7.8%15.4%15.2%29.8%2.3%-0.6%24.9K-3.0M-2.2K0.1897.02348611,755116
2014-12-03$19.49$15.0023.6%7.1%15.3%13.4%25.3%-8.1%0.6%22.7K-3.0M-2.0K0.1892.99348611,755116
2014-12-04$19.43$15.0023.3%7.3%15.4%12.6%0.0%0.1%-2.2%19.9K-3.0M-1.4K0.00102.27001,755116
2014-12-05$19.52$15.0026.8%7.5%15.4%21.7%27.5%-2.8%0.4%22.4K-3.0M-1.9K0.1793.42358611,755116
2014-12-08$19.25$15.0024.0%8.0%15.6%14.4%27.5%-3.3%-0.8%25.2K-2.9M-2.1K0.1698.29388611,765116
2014-12-09$19.94$15.0026.2%7.0%19.9%20.2%23.5%2.3%0.1%15.2K-3.3M-7010.2899.32233661,795116
2014-12-10$19.35$15.0030.2%7.4%22.1%30.4%25.3%6.0%0.7%23.5K-3.0M-1.9K0.28101.33233661,754121
2014-12-11$19.32$15.0021.9%7.9%21.2%8.9%27.6%0.6%3.9%24.2K-2.9M-1.9K0.2898.27233661,754121
2014-12-12$19.35$15.0021.6%7.3%21.1%8.3%27.0%8.1%0.4%24.4K-2.9M-2.1K0.2494.54243591,754121
2014-12-15$19.39$15.0025.9%7.5%21.1%19.4%27.3%6.0%-4.6%23.8K-2.9M-2.0K0.2497.68247591,764124
2014-12-16$19.87$15.0026.5%8.0%22.8%21.0%28.0%9.2%1.6%25.8K-3.1M-1.8K0.2490.85247591,765124
2014-12-17$20.08$15.0021.8%7.7%23.0%8.8%26.6%-6.7%3.7%14.6K-3.2M-7380.24100.98247591,765124
2014-12-18$20.56$15.0021.8%8.0%23.3%8.7%26.4%6.5%10.5%13.9K-3.4M-7490.2699.81230591,765124
2014-12-19$20.78$15.0028.0%8.3%23.2%24.8%0.0%2.6%-2.3%19.0K-3.4M-1.3K0.00101.722301,765123
2014-12-22$20.80$0.0031.3%7.7%23.2%33.4%0.0%5.4%-6.4%16.2K-3.4M-1.1K0.25101.54235591,744124
2014-12-23$20.80$0.0030.0%7.7%23.0%30.0%0.0%0.1%-3.1%15.4K-3.4M-1.0K0.25108.76235591,744124
2014-12-24$20.86$0.0019.9%7.8%23.0%3.8%0.0%-5.4%9.6%20.4K-3.4M-8160.25111.66235591,744124
2014-12-26$20.94$0.0025.8%6.5%22.8%19.2%0.0%-2.2%-1.8%17.6K-3.4M-9010.25107.87235591,744124
2014-12-29$21.19$0.0029.8%7.4%21.7%29.3%0.0%-0.2%-6.5%13.5K-3.5M-6110.26105.79225591,744124
2014-12-30$21.00$0.0022.9%8.3%22.2%11.6%0.0%-0.4%5.4%15.1K-3.4M-9770.0097.441001,749123
2014-12-31$20.95$0.0025.3%8.1%22.3%17.7%0.0%-2.0%-0.4%15.8K-3.4M-1.1K0.0094.48011,759123