CSV Options History — July 2015

In July 2015, CSV traded between $23.08 and $24.52. ATM implied volatility averaged 24.8%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 5.3% (HV 20d: 19.4%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.37.

Notable Days

  • 2015-07-23: Highest Volume — 248 contracts
  • 2015-07-15: Largest IV drop — 51.2% change
  • 2015-07-14: Highest IV Rank — 85.9%
  • 2015-07-13: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.73$23.08$24.52$23.87$23.99
Max Pain$24.55$22.50$25.00$22.50$25.00
ATM IV24.8%16.7%51.2%16.7%18.5%
Expected Move6.5%4.8%8.0%4.8%5.3%
HV 20d19.4%13.5%23.9%13.5%23.5%
HV 60d16.5%15.4%17.7%16.0%17.0%
IV Rank22.2%2.6%85.9%2.6%7.0%
IV Percentile36.4%0.4%99.6%0.4%4.0%
Term Structure2.7%-2.4%8.8%7.1%7.2%
VWIV19.4%14.4%24.1%18.7%14.9%
Skew 25d3.5%-6.5%14.8%2.2%4.1%
Skew 10d3.8%-7.4%30.6%-6.8%-3.1%
Call IV 25d21.8%14.9%28.4%17.8%15.3%
Put IV 25d25.2%17.8%43.1%20.0%19.4%
Bid-Ask Spread %93.2476.32105.0095.1095.44
Gamma HHI0.950.930.990.990.94
Net GEX80.0K63.2K94.2K89.6K87.4K
Net DEX-865.5K-1.1M-619.3K-1.0M-903.6K
Net VEX-5.3K-5.9K-4.5K-5.9K-5.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.250.590.400.25
Total Volume227.909195248209248
Total OI1,256.0911,1281,3531,3011,193

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-07-01$23.87$22.5016.7%4.8%13.5%2.6%18.7%2.2%7.1%89.6K-1.0M-5.9K0.4095.10149601,23863
2015-07-02$23.75$22.5024.4%7.0%13.5%21.3%18.7%1.4%-2.4%88.9K-958.3K-5.6K0.4094.49149601,23863
2015-07-06$24.01$0.0020.2%6.8%14.3%11.2%0.0%3.5%-0.4%94.2K-1.0M-5.6K0.4076.32149601,23863
2015-07-07$23.81$0.0024.2%7.3%14.3%20.7%0.0%1.7%-0.5%87.3K-975.3K-5.6K0.4079.58149601,23863
2015-07-08$23.08$0.0022.1%7.2%17.6%15.8%0.0%14.8%2.0%63.2K-619.3K-4.5K0.36101.92149531,23863
2015-07-09$23.41$0.0028.2%6.9%18.2%30.4%0.0%-0.2%7.3%73.9K-836.6K-5.1K0.59105.00149881,23860
2015-07-10$23.49$0.0028.1%6.5%18.3%30.1%0.0%2.3%6.5%78.5K-872.1K-5.4K0.46103.95149681,238100
2015-07-13$23.61$0.0039.9%8.0%18.4%58.6%0.0%10.4%-0.9%79.4K-792.8K-5.4K0.50102.89149741,238110
2015-07-14$23.89$0.0051.2%6.3%18.8%85.9%0.0%6.0%1.8%90.4K-935.1K-5.6K0.4796.24158741,238110
2015-07-15$23.53$0.0025.0%7.2%19.4%22.6%0.0%2.9%-1.4%76.0K-815.4K-5.2K0.47102.52158741,243110
2015-07-16$23.62$0.0024.8%7.1%19.2%22.1%0.0%2.8%-0.0%77.5K-831.0K-5.4K0.47104.51158741,243110
2015-07-17$23.72$0.0025.2%7.2%19.3%23.3%0.0%3.2%0.3%70.6K-828.3K-5.3K0.4785.78158741,243110
2015-07-20$23.59$0.0021.4%6.1%18.7%14.0%20.7%3.9%8.8%73.0K-801.8K-5.2K0.3489.66145501,04385
2015-07-21$23.63$25.0021.9%6.3%18.7%15.3%22.3%2.9%4.6%71.3K-720.2K-5.0K0.3487.75145501,04685
2015-07-22$24.52$25.0022.0%6.3%23.1%15.5%22.0%4.1%0.2%80.8K-1.1M-5.7K0.2684.65195501,04685
2015-07-23$24.27$25.0021.7%6.2%22.9%14.7%21.9%-3.9%1.4%86.4K-1.0M-5.7K0.2587.88198501,10585
2015-07-24$23.88$25.0023.3%6.7%23.6%18.5%24.1%-6.5%-0.0%82.0K-897.3K-5.4K0.2587.10198501,10885
2015-07-27$23.60$25.0020.9%6.0%23.9%12.7%23.4%1.6%7.5%79.3K-797.1K-5.2K0.2587.21198501,10885
2015-07-28$23.41$25.0023.5%6.7%22.5%19.1%16.2%5.6%0.9%74.1K-695.1K-4.8K0.2592.47198501,10885
2015-07-29$23.71$25.0024.1%6.9%22.9%20.5%14.4%11.3%1.9%79.0K-810.4K-5.2K0.2593.58198501,10885
2015-07-30$23.63$25.0017.9%5.1%22.9%5.5%15.7%1.8%7.0%78.0K-765.4K-5.0K0.2597.26198501,10885
2015-07-31$23.99$25.0018.5%5.3%23.5%7.0%14.9%4.1%7.2%87.4K-903.6K-5.2K0.2595.44198501,10885