CSV Options History — March 2016

In March 2016, CSV traded between $20.35 and $21.66. ATM implied volatility averaged 40.0%, placing in the 26.0% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 15.0% (HV 20d: 25.0%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.34.

Notable Days

  • 2016-03-17: Highest Volume — 390 contracts
  • 2016-03-04: Largest IV spike — 172.7% change
  • 2016-03-04: Highest IV Rank — 88.4%
  • 2016-03-16: Largest Expected Move — 21.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.77$20.35$21.66$20.66$21.66
Max Pain$21.48$20.00$22.50$22.50$20.00
ATM IV40.0%18.7%98.7%45.2%53.6%
Expected Move11.2%5.4%21.7%13.0%15.4%
HV 20d25.0%15.6%31.1%31.1%17.3%
HV 60d24.4%23.9%26.2%26.2%24.0%
IV Rank26.0%3.3%88.4%31.5%40.5%
IV Percentile71.4%3.6%99.6%94.4%97.2%
Term Structure-3.8%-61.2%25.8%-11.1%-16.0%
VWIV34.0%20.2%62.9%36.5%36.4%
Skew 25d3.3%-16.5%33.1%3.8%-8.9%
Skew 10d8.1%-4.9%34.5%-1.3%30.9%
Call IV 25d32.9%21.1%49.1%38.1%49.1%
Put IV 25d36.2%20.0%54.7%41.9%40.1%
Bid-Ask Spread %118.2097.71150.15135.40129.33
Gamma HHI0.540.290.790.470.43
Net GEX1.4K-5.1K9.0K-1.8K6.6K
Net DEX37.6K-115.6K134.5K109.2K-115.6K
Net VEX-377-740-151-514-320
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.170.510.510.26
Total Volume314.636265390320302
Total OI383.591334437379405

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-03-01$20.66$22.5045.2%13.0%31.1%31.5%36.5%3.8%-11.1%-1.8K109.2K-5140.51135.40212108241138
2016-03-02$20.78$22.5045.0%12.9%30.3%31.2%25.7%26.2%-5.2%-5.1K118.5K-4230.51117.19212108241138
2016-03-03$20.77$22.5036.2%21.2%30.3%21.9%62.9%12.8%-9.6%2.1K57.0K-7400.48126.60227108241138
2016-03-04$20.78$22.5098.7%18.2%28.0%88.4%39.5%8.3%-61.2%-1.7K88.3K-5370.48136.19227108241138
2016-03-07$20.54$22.5031.4%9.2%27.7%16.8%31.5%-4.3%-0.4%-3.7K130.1K-3890.4897.71227108241138
2016-03-08$20.35$22.5063.5%11.1%27.9%51.0%38.0%-2.9%3.6%-2.4K126.1K-4350.48122.50227108241138
2016-03-09$20.52$22.5034.4%9.9%27.6%20.1%32.8%0.9%-2.0%-3.6K134.5K-3800.48105.01227108241138
2016-03-10$20.41$22.5035.6%10.2%27.4%21.3%35.0%1.5%-4.0%-2.9K124.4K-3950.48117.14227108241138
2016-03-11$20.80$22.5033.0%9.5%27.9%18.6%31.9%1.4%-1.4%-3.5K126.7K-3680.48100.95227108241138
2016-03-14$20.77$22.5026.5%7.6%27.5%11.6%30.1%-0.5%6.4%-4.4K122.0K-3220.17109.3822738241138
2016-03-15$20.39$22.5032.1%9.2%27.7%17.6%34.0%-0.8%25.8%-1.9K111.4K-2010.26115.472276024193
2016-03-16$20.53$22.5075.7%21.7%27.5%63.9%40.8%33.1%-43.4%1.7K28.2K-4100.26150.152276024193
2016-03-17$20.46$22.5024.0%6.9%26.7%9.0%23.8%15.1%5.3%-4.6K118.9K-1510.19103.173286224193
2016-03-18$20.96$20.0029.9%8.6%26.9%15.3%30.8%3.4%-4.2%7.0K-45.9K-3860.24112.352556234295
2016-03-21$20.85$20.0035.1%10.1%26.6%20.8%35.4%5.6%-2.0%6.2K-42.7K-4080.26113.912356230595
2016-03-22$20.89$20.0034.8%10.0%23.1%20.5%35.9%-3.0%0.8%6.0K-50.8K-4130.26130.442356230595
2016-03-23$20.78$20.0018.7%5.4%23.2%3.3%20.2%-16.5%15.7%9.0K-49.5K-2710.26125.722356230595
2016-03-24$20.67$20.0025.4%7.3%16.3%10.5%25.6%-4.5%18.8%6.8K-35.1K-3450.26105.652356230595
2016-03-28$20.81$20.0038.1%10.9%15.6%23.9%39.6%-5.2%-1.3%6.4K-58.4K-3100.26119.222356230595
2016-03-29$21.13$20.0031.2%8.9%16.4%16.6%30.8%1.9%5.4%6.8K-71.1K-2920.26117.762406230595
2016-03-30$21.40$20.0031.8%9.1%16.9%17.3%31.4%5.2%-3.8%6.9K-99.9K-2940.26109.172406231095
2016-03-31$21.66$20.0053.6%15.4%17.3%40.5%36.4%-8.9%-16.0%6.6K-115.6K-3200.26129.332406231095