CSV Options History — June 2015

In June 2015, CSV traded between $23.75 and $25.03. ATM implied volatility averaged 21.1%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 9.1% (HV 20d: 11.9%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.71.

Notable Days

  • 2015-06-22: Highest Volume — 211 contracts
  • 2015-06-23: Largest IV spike — 37.1% change
  • 2015-06-23: Highest IV Rank — 22.8%
  • 2015-06-23: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.48$23.75$25.03$25.00$23.89
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV21.1%15.6%26.0%23.7%15.6%
Expected Move6.0%4.5%7.4%6.8%4.5%
HV 20d11.9%9.9%15.0%15.0%13.5%
HV 60d16.3%15.3%17.1%17.1%16.1%
IV Rank10.8%0.0%22.8%17.2%0.0%
IV Percentile14.5%0.0%50.4%27.8%0.0%
Term Structure2.3%-1.2%6.5%-1.1%6.5%
VWIV21.3%17.5%24.8%22.3%17.5%
Skew 25d1.2%-8.9%40.1%-3.5%2.3%
Skew 10d0.2%-14.9%59.2%-5.6%-5.4%
Call IV 25d23.2%16.9%31.3%27.1%16.9%
Put IV 25d24.3%18.8%67.4%23.6%19.2%
Bid-Ask Spread %86.0375.40104.5890.7393.50
Gamma HHI0.990.981.000.990.99
Net GEX85.9K79.1K100.8K80.2K88.5K
Net DEX-1.2M-1.5M-1.0M-1.4M-1.0M
Net VEX-6.1K-6.6K-5.7K-6.4K-5.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.710.402.691.830.40
Total Volume125.818021185209
Total OI1,211.6821,1591,3021,1691,301

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-06-01$25.00$0.0023.7%6.8%15.0%17.2%0.0%-3.5%-1.1%80.2K-1.4M-6.4K1.8390.7330551,11455
2015-06-02$25.03$0.0022.3%6.4%15.0%13.7%0.0%-4.4%-0.2%79.3K-1.5M-6.4K0.0088.93001,10455
2015-06-03$24.98$0.0022.4%6.4%15.0%13.8%22.3%40.1%-1.2%82.5K-1.4M-6.3K2.1791.9630651,11455
2015-06-04$24.92$22.5022.7%6.6%11.8%14.6%22.1%-1.7%1.0%79.2K-1.4M-6.4K2.1787.0030651,11465
2015-06-05$24.83$22.5023.1%6.5%11.6%15.7%22.1%-2.1%1.2%79.1K-1.3M-6.3K2.1786.9530651,11465
2015-06-08$24.61$22.5021.8%6.1%12.1%12.3%20.7%-2.1%2.6%82.3K-1.3M-6.1K2.3284.8328651,11465
2015-06-09$24.65$22.5021.1%6.2%12.1%10.7%22.7%3.8%2.2%81.6K-1.3M-6.1K2.3278.1328651,11565
2015-06-10$24.33$22.5020.6%5.9%13.0%9.6%22.0%3.2%3.4%82.8K-1.2M-5.9K2.3275.4028651,11565
2015-06-11$24.24$22.5021.3%6.1%12.9%11.1%22.4%3.0%2.3%81.2K-1.1M-5.9K2.4177.0327651,11565
2015-06-12$24.30$22.5019.8%5.7%10.6%7.6%21.6%4.2%3.9%81.9K-1.1M-5.8K2.4179.2227651,11665
2015-06-15$24.09$22.5018.8%5.4%10.3%4.9%21.3%5.0%4.9%79.2K-1.0M-5.7K2.6979.7926701,11665
2015-06-16$24.21$22.5021.9%6.3%9.9%12.7%23.3%3.0%1.6%81.7K-1.1M-5.8K2.6979.3526701,11670
2015-06-17$24.38$22.5022.1%6.3%10.5%13.2%23.9%3.9%1.4%83.3K-1.1M-5.8K2.6980.0926701,11370
2015-06-18$24.34$22.5022.7%6.5%10.5%14.8%21.8%-2.9%1.2%83.8K-1.2M-5.8K2.4280.8226631,11370
2015-06-19$24.65$22.5020.9%6.0%11.4%10.2%20.7%-2.7%2.9%89.1K-1.2M-5.8K2.5089.4126651,11373
2015-06-22$24.51$22.5018.9%5.4%11.5%5.4%19.0%-2.9%3.9%93.2K-1.3M-5.7K0.4084.53151601,11363
2015-06-23$24.67$22.5026.0%7.4%10.4%22.8%24.8%-8.9%2.0%95.3K-1.4M-6.6K0.40104.58151601,23963
2015-06-24$24.37$22.5020.3%5.8%10.8%8.8%20.4%-2.1%2.8%99.7K-1.3M-6.5K0.4087.33149601,23863
2015-06-25$24.39$22.5019.0%5.4%10.7%5.4%19.5%-0.5%3.4%100.8K-1.3M-6.5K0.4090.74149601,23863
2015-06-26$24.34$22.5019.1%5.5%10.6%5.9%18.0%-2.6%2.8%99.2K-1.2M-6.3K0.4092.08149601,23863
2015-06-29$23.75$22.5019.5%5.6%13.2%6.8%19.4%-6.3%3.9%86.6K-1.0M-5.9K0.4090.25149601,23863
2015-06-30$23.89$22.5015.6%4.5%13.5%0.0%17.5%2.3%6.5%88.5K-1.0M-5.9K0.4093.50149601,23863