CSV Options History — December 2015

In December 2015, CSV traded between $23.90 and $25.60. ATM implied volatility averaged 28.7%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 2.0% (HV 20d: 30.7%). 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 9 of 22 days. Put/call ratio averaged 0.35.

Notable Days

  • 2015-12-15: Highest Volume — 358 contracts
  • 2015-12-16: Largest IV spike — 103.2% change
  • 2015-12-16: Highest IV Rank — 59.6%
  • 2015-12-16: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.53$23.90$25.60$24.84$24.18
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV28.7%21.5%52.7%31.6%24.5%
Expected Move7.9%6.2%15.1%9.1%7.0%
HV 20d30.7%24.5%38.6%34.9%24.5%
HV 60d30.1%28.7%31.2%28.7%28.8%
IV Rank21.1%9.5%59.6%25.8%14.3%
IV Percentile59.2%18.7%99.2%81.0%41.3%
Term Structure3.8%-11.0%64.0%-11.0%-1.7%
VWIV29.3%21.6%64.3%24.2%23.7%
Skew 25d5.1%-8.6%42.4%-1.3%-7.7%
Skew 10d8.7%-13.7%59.1%-1.2%-13.7%
Call IV 25d29.0%23.3%38.7%38.7%32.3%
Put IV 25d34.1%18.6%80.6%37.4%24.6%
Bid-Ask Spread %114.2898.19142.97112.09108.10
Gamma HHI0.610.510.770.770.65
Net GEX26.4K19.8K33.4K24.3K31.0K
Net DEX-445.8K-629.9K-187.0K-505.5K-428.3K
Net VEX-2.0K-2.5K-1.5K-1.9K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.210.510.250.21
Total Volume235.36403580178
Total OI722.182555847555667

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$24.84$0.0031.6%9.1%34.9%25.8%0.0%-1.3%-11.0%24.3K-505.5K-1.9K0.00112.0900394161
2015-12-02$25.60$0.0024.2%6.9%35.7%13.8%0.0%17.6%4.5%19.8K-610.0K-1.9K0.25111.8714637394161
2015-12-03$24.69$22.5036.6%6.8%38.6%33.8%24.2%-5.6%-0.5%22.5K-610.3K-2.4K0.21124.3214631504161
2015-12-04$25.54$22.5029.8%8.4%38.0%22.9%31.4%7.1%-4.7%24.1K-629.9K-2.3K0.21104.6414631504163
2015-12-07$25.23$22.5030.3%7.4%34.2%23.6%0.0%-1.9%-0.0%25.9K-604.6K-2.3K0.00105.2900504163
2015-12-08$24.81$22.5032.4%7.8%32.4%27.0%25.4%-3.3%-0.4%24.6K-539.7K-2.3K0.51106.23236121504163
2015-12-09$24.39$22.5025.3%7.2%33.2%15.6%24.8%-8.6%2.1%25.2K-449.9K-2.5K0.51110.68236121594253
2015-12-10$24.29$22.5026.2%7.5%33.3%17.0%25.8%2.1%1.3%24.7K-399.7K-2.4K0.5198.19236121594253
2015-12-11$23.90$22.5029.6%8.5%33.5%22.5%29.1%-2.6%-0.3%21.7K-187.0K-2.3K0.51103.70236121594253
2015-12-14$24.22$22.5029.4%8.4%33.2%22.1%28.3%-2.2%2.9%23.4K-285.5K-2.3K0.51110.04236121594253
2015-12-15$24.29$22.5025.9%7.4%33.2%16.6%27.4%1.9%-1.3%24.7K-353.0K-2.2K0.51109.78237121594253
2015-12-16$24.45$22.5052.7%15.1%31.1%59.6%64.3%42.4%-8.7%27.8K-292.6K-1.7K0.51142.97237121594253
2015-12-17$24.37$22.5025.1%7.2%30.4%15.3%25.7%1.0%2.8%26.7K-293.9K-2.1K0.51104.18237121594253
2015-12-18$24.38$22.5026.9%7.7%26.3%18.1%26.0%0.9%-1.1%26.3K-206.1K-2.0K0.5199.35237121594253
2015-12-21$24.19$22.5021.8%6.2%26.3%10.0%22.7%-4.2%64.0%30.0K-450.6K-1.8K0.21120.7714731504163
2015-12-22$24.31$22.5039.0%11.2%25.7%37.6%40.7%13.5%-10.6%22.0K-483.0K-1.9K0.21119.9314731504163
2015-12-23$24.65$22.5021.5%6.2%25.6%9.5%21.6%3.5%3.9%32.0K-464.4K-1.6K0.21115.8714731504163
2015-12-24$24.40$22.5022.4%6.4%25.8%10.9%24.2%-2.0%-0.5%32.5K-556.0K-1.7K0.21120.3414731504163
2015-12-28$24.25$22.5023.7%6.8%25.9%13.0%29.2%39.2%2.0%33.4K-439.7K-1.6K0.21131.1314731504163
2015-12-29$24.62$22.5024.3%7.0%26.5%14.1%30.0%23.7%44.2%28.8K-510.5K-1.9K0.21128.8814731504163
2015-12-30$24.17$22.5028.9%8.3%27.1%21.4%32.4%-1.4%-3.4%30.4K-506.8K-1.6K0.21125.8414731504163
2015-12-31$24.18$22.5024.5%7.0%24.5%14.3%23.7%-7.7%-1.7%31.0K-428.3K-1.5K0.21108.1014731504163