CSV Options History — August 2015

In August 2015, CSV traded between $21.96 and $23.79. ATM implied volatility averaged 28.4%, placing in the 30.9% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 2.7% (HV 20d: 25.7%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.22.

Notable Days

  • 2015-08-27: Highest Volume — 849 contracts
  • 2015-08-17: Largest IV drop — 32.5% change
  • 2015-08-31: Highest IV Rank — 52.8%
  • 2015-08-31: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.12$21.96$23.79$23.42$23.00
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV28.4%19.1%37.5%25.7%37.5%
Expected Move7.9%5.5%10.7%7.4%10.7%
HV 20d25.7%20.9%31.7%24.7%30.5%
HV 60d19.9%17.6%23.7%17.6%23.7%
IV Rank30.9%8.5%52.8%24.3%52.8%
IV Percentile68.4%6.0%97.6%54.0%97.6%
Term Structure-1.0%-15.8%6.3%1.9%-3.5%
VWIV26.5%18.6%35.0%35.0%32.0%
Skew 25d5.8%-4.1%24.2%0.9%3.5%
Skew 10d6.8%-8.6%41.0%-2.2%-7.2%
Call IV 25d25.8%15.6%32.8%28.8%32.8%
Put IV 25d31.6%19.9%54.5%29.7%36.3%
Bid-Ask Spread %104.8980.20140.67102.02106.76
Gamma HHI0.910.860.940.930.87
Net GEX64.0K38.7K80.8K75.4K39.9K
Net DEX-560.6K-774.5K-261.0K-667.3K-363.5K
Net VEX-3.8K-4.6K-2.9K-4.6K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.220.060.310.250.30
Total Volume316.85708490201
Total OI1,120.7628541,1931,193854

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-08-03$23.42$25.0025.7%7.4%24.7%24.3%0.0%0.9%1.9%75.4K-667.3K-4.6K0.00102.02001,10885
2015-08-04$23.25$25.0025.3%7.3%24.7%23.5%35.0%-1.6%4.2%73.3K-622.0K-4.4K0.2586.26198501,10885
2015-08-05$22.65$25.0028.1%8.1%23.9%30.2%32.4%12.0%-3.9%58.7K-430.7K-3.8K0.1582.29350521,10885
2015-08-06$22.83$25.0025.9%7.3%23.5%24.9%23.8%-0.5%0.2%57.2K-565.2K-3.8K0.1880.20350621,08187
2015-08-07$22.78$25.0026.7%7.5%23.4%26.7%28.6%-4.1%-0.2%57.6K-555.6K-3.8K0.1887.48350621,08187
2015-08-10$23.32$25.0031.4%6.3%25.0%38.1%20.3%18.3%4.3%67.1K-624.4K-4.0K0.18108.03350621,08187
2015-08-11$23.68$25.0029.8%5.6%25.2%34.2%0.0%6.2%5.3%77.1K-774.5K-4.3K0.00109.86001,08087
2015-08-12$23.47$25.0025.7%7.4%24.8%24.4%22.6%2.5%-0.2%74.8K-685.5K-4.2K0.18103.09350621,03487
2015-08-13$23.50$25.0026.0%7.4%24.8%25.0%23.6%4.6%2.3%73.2K-668.7K-4.1K0.25105.98252621,03487
2015-08-14$23.38$25.0028.3%8.1%24.8%30.6%21.7%6.9%-2.6%67.4K-687.3K-4.3K0.25120.24252621,03287
2015-08-17$23.79$25.0019.1%5.5%25.5%8.5%20.8%5.8%5.1%78.2K-741.8K-4.3K0.25107.99252621,03287
2015-08-18$23.67$25.0023.7%6.8%25.6%19.6%24.4%1.2%5.3%78.7K-739.4K-4.2K0.25106.11252621,03287
2015-08-19$23.54$25.0025.8%7.4%21.6%24.6%0.0%-0.3%-15.8%80.7K-734.2K-4.1K0.00124.45001,03287
2015-08-20$23.49$25.0027.9%8.0%21.4%29.7%18.6%9.2%-5.8%80.8K-687.4K-4.1K0.25108.01252621,03287
2015-08-21$23.27$25.0030.1%8.6%20.9%34.9%24.0%6.3%-6.7%71.8K-566.8K-4.0K0.25106.47252621,032117
2015-08-24$21.96$25.0030.2%8.7%28.9%35.3%30.0%-1.7%-4.0%46.2K-361.4K-3.2K0.29140.67147431,022115
2015-08-25$22.23$25.0032.4%9.3%29.4%40.6%31.4%10.3%-5.7%48.0K-309.7K-3.3K0.29100.92147431,032118
2015-08-26$22.17$25.0035.5%10.2%28.8%48.0%28.0%-2.3%-3.9%43.7K-261.0K-3.0K0.31105.68147461,032118
2015-08-27$22.93$25.0032.6%9.3%31.7%40.9%29.4%24.2%-3.0%54.9K-401.3K-3.6K0.06105.37803461,032123
2015-08-28$23.21$25.0028.8%8.3%31.5%31.8%30.6%20.1%6.3%38.7K-324.4K-2.9K0.06104.8880346731123
2015-08-31$23.00$25.0037.5%10.7%30.5%52.8%32.0%3.5%-3.5%39.9K-363.5K-2.9K0.30106.7615546731123