CSV Options History — October 2015

In October 2015, CSV traded between $21.15 and $22.26. ATM implied volatility averaged 34.9%, placing in the 50.4% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 10.4% (HV 20d: 24.5%). 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 1 of 22 days. Put/call ratio averaged 0.18.

Notable Days

  • 2015-10-13: Highest Volume — 206 contracts
  • 2015-10-12: Largest IV spike — 41.9% change
  • 2015-10-12: Highest IV Rank — 74.3%
  • 2015-10-28: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.74$21.15$22.26$21.30$21.50
Max Pain$22.73$22.50$25.00$25.00$22.50
ATM IV34.9%29.9%46.5%34.4%37.8%
Expected Move9.7%8.6%11.2%9.9%10.8%
HV 20d24.5%22.5%26.2%24.4%25.3%
HV 60d27.4%26.5%28.0%27.3%27.8%
IV Rank50.4%36.1%74.3%45.4%62.2%
IV Percentile89.8%77.8%99.2%92.5%95.2%
Term Structure-4.7%-11.4%0.6%-5.4%-7.3%
VWIV34.1%30.7%38.6%32.2%38.6%
Skew 25d9.3%-4.2%76.3%0.1%0.6%
Skew 10d18.3%1.6%61.9%15.3%6.0%
Call IV 25d30.2%25.5%37.1%35.6%37.1%
Put IV 25d39.5%23.8%111.4%35.7%37.8%
Bid-Ask Spread %109.9195.81140.15101.89111.51
Gamma HHI0.550.450.760.740.50
Net GEX3.8K42915.9K13.1K3.3K
Net DEX79.1K6.6K121.2K62.8K71.9K
Net VEX-994-1.3K-774-1.2K-1.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.180.110.250.250.11
Total Volume188.2270206205199
Total OI612.955270872870343

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-10-01$21.30$25.0034.4%9.9%24.4%45.4%32.2%0.1%-5.4%13.1K62.8K-1.2K0.25101.8916441744126
2015-10-02$21.57$25.0035.2%10.1%24.1%47.3%36.0%6.9%-0.1%11.9K76.7K-1.1K0.25104.5116441744126
2015-10-05$21.85$22.5036.7%9.7%24.4%51.0%0.0%-4.2%-5.3%15.9K45.6K-1.1K0.00101.6600744126
2015-10-06$21.24$22.5030.6%9.7%25.4%36.1%33.2%0.3%-2.9%9.3K87.5K-1.0K0.2595.8116441744126
2015-10-07$21.15$22.5040.9%10.4%25.1%61.1%34.9%8.2%-2.7%3.0K117.3K-8860.24101.5816440744126
2015-10-08$21.19$22.5032.3%10.3%25.2%40.2%33.2%3.8%-3.8%861113.0K-9200.2496.8116440744126
2015-10-09$21.50$22.5032.7%9.5%25.7%41.3%32.4%10.0%-3.8%787121.2K-8860.24103.4016440744126
2015-10-12$21.63$22.5046.5%9.4%25.1%74.3%33.4%7.8%-5.3%1.4K117.6K-8540.24104.1416440744126
2015-10-13$21.98$22.5038.2%9.1%25.9%54.4%31.7%12.4%-1.6%46897.7K-9430.24101.8716640744126
2015-10-14$21.93$22.5034.2%9.8%25.9%44.7%33.8%7.1%-6.3%587100.2K-9480.24102.1116640746126
2015-10-15$22.21$22.5033.6%9.6%26.2%50.5%33.6%5.1%-6.9%42992.6K-9300.24102.7716640746126
2015-10-16$21.94$22.5033.3%9.5%24.3%49.6%34.4%7.2%-7.7%1.2K92.3K-9890.24101.0416640746126
2015-10-19$22.08$22.5035.1%10.1%24.3%54.6%35.0%8.0%0.6%87588.3K-9000.13110.1715320155115
2015-10-20$22.11$22.5032.4%9.3%22.9%47.3%32.4%6.5%-5.2%1.2K78.3K-9250.13103.9315320156115
2015-10-21$22.08$22.5030.1%8.6%22.7%40.8%30.7%0.1%-1.2%1.5K62.7K-9570.13134.2215320156115
2015-10-22$21.78$22.5030.8%8.8%23.2%42.6%35.0%-0.5%-6.9%565101.0K-7920.13118.1615320156115
2015-10-23$21.96$22.5031.6%9.1%22.7%44.9%31.9%11.5%-4.9%466108.4K-7740.11116.3917920156115
2015-10-26$21.89$22.5037.0%10.6%22.5%60.2%37.3%5.4%-11.4%2.9K63.8K-1.0K0.11118.5717920198115
2015-10-27$21.46$22.5029.9%8.6%23.5%40.1%32.6%4.9%-4.7%4.5K22.4K-1.3K0.11119.1517920228115
2015-10-28$22.26$22.5039.2%11.2%23.7%66.2%38.3%26.6%-7.3%4.6K11.4K-1.2K0.11140.1517920228115
2015-10-29$21.58$22.5034.7%10.0%25.7%53.6%34.7%76.3%-3.8%4.7K6.6K-1.3K0.11128.1317920228115
2015-10-30$21.50$22.5037.8%10.8%25.3%62.2%38.6%0.6%-7.3%3.3K71.9K-1.0K0.11111.5117920228115