CSV Options History — August 2016

In August 2016, CSV traded between $23.36 and $23.96. ATM implied volatility averaged 64.6%, placing in the 31.4% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded above realized volatility by 46.1% (HV 20d: 18.5%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 1.42.

Notable Days

  • 2016-08-01: Highest Volume — 156 contracts
  • 2016-08-09: Largest IV spike — 369.4% change
  • 2016-08-09: Highest IV Rank — 100.0%
  • 2016-08-26: Largest Expected Move — 32.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.63$23.36$23.96$23.58$23.47
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV64.6%20.7%165.9%112.4%93.4%
Expected Move15.4%5.9%32.9%32.2%26.8%
HV 20d18.5%14.4%20.2%19.5%14.4%
HV 60d19.3%18.9%19.7%18.9%19.2%
IV Rank31.4%1.4%100.0%65.2%50.7%
IV Percentile65.4%0.4%100.0%98.8%93.7%
Term Structure-26.5%-77.3%6.5%-48.7%-13.8%
VWIV34.7%26.3%40.1%37.7%40.1%
Skew 25d2.6%-103.8%78.0%53.8%11.9%
Skew 10d-9.8%-72.6%44.8%-6.2%8.0%
Call IV 25d53.9%17.5%167.5%48.0%167.5%
Put IV 25d56.5%17.1%179.4%101.8%179.4%
Bid-Ask Spread %135.10116.87150.33139.81146.91
Gamma HHI0.590.510.750.750.65
Net GEX-11.5K-21.3K-3.8K-11.1K-21.3K
Net DEX32.4K-69.3K173.7K78.4K173.7K
Net VEX-1.7K-2.1K-1.1K-1.1K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.202.541.520.91
Total Volume117.6520156156107
Total OI406.478274558274558

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-08-01$23.58$25.00112.4%32.2%19.5%65.2%37.7%53.8%-48.7%-11.1K78.4K-1.1K1.52139.81629456218
2016-08-02$23.36$25.0045.4%13.0%19.5%18.6%26.3%40.5%-16.8%-10.2K73.5K-1.4K1.52135.126294106218
2016-08-03$23.58$25.0043.9%12.6%18.8%17.5%40.1%14.1%-26.2%-11.2K78.7K-1.4K1.52138.376294106218
2016-08-04$23.36$0.00105.0%7.5%19.0%60.1%0.0%3.5%0.1%-11.8K85.1K-1.4K1.52134.466294106218
2016-08-05$23.72$0.0089.0%6.4%18.7%48.9%0.0%-1.3%6.2%-10.9K57.3K-1.4K2.54124.903794106218
2016-08-08$23.96$0.0035.3%6.5%18.6%11.6%0.0%0.0%-1.6%-8.7K7.1K-1.5K2.54122.973794131218
2016-08-09$23.58$0.00165.9%21.6%19.4%100.0%0.0%28.0%-29.6%-9.5K11.9K-1.5K2.54133.183794131218
2016-08-10$23.42$0.0024.4%7.0%19.2%3.9%0.0%3.9%6.5%-7.9K47.5K-1.5K1.52134.816294131218
2016-08-11$23.41$0.0029.7%8.5%19.2%7.5%0.0%0.1%1.2%-3.8K13.2K-1.8K1.52129.976294181218
2016-08-12$23.75$0.0092.5%26.5%20.1%50.1%0.0%7.2%-52.7%-7.9K-19.8K-1.7K1.52147.486294181218
2016-08-15$23.90$0.0022.6%6.5%20.2%2.7%0.0%-10.5%-5.7%-5.6K-40.0K-1.7K1.52122.816294181218
2016-08-16$23.78$0.0032.6%9.3%20.0%9.4%0.0%-9.6%-14.9%-5.8K-35.9K-1.7K1.52116.876294181218
2016-08-17$23.63$0.0058.8%16.9%20.0%27.2%0.0%-10.8%-60.8%-8.4K-20.4K-1.7K0.00143.4700181218
2016-08-18$23.74$0.0096.9%27.8%19.7%53.1%0.0%78.0%-63.7%-7.6K-69.3K-1.5K0.00147.5900181218
2016-08-19$23.73$0.0022.0%6.3%18.0%2.2%0.0%-2.2%4.5%-7.8K-20.2K-1.7K1.52124.426294181218
2016-08-22$23.56$0.0059.6%17.1%17.8%27.8%0.0%-22.7%-66.7%-7.9K-6.0K-1.7K1.16134.175665170217
2016-08-23$23.86$0.0029.4%8.4%18.6%7.3%0.0%-28.2%-9.4%-11.5K18.2K-1.8K0.20127.415611170282
2016-08-24$23.65$0.0059.1%17.0%18.4%27.5%0.0%2.1%-69.5%-20.8K19.3K-1.9K0.00150.33044170293
2016-08-25$23.73$0.00111.3%31.9%18.2%62.9%0.0%7.8%-73.8%-19.7K66.4K-2.0K0.79147.255644170337
2016-08-26$23.51$0.00114.6%32.9%18.4%65.1%0.0%-103.8%-77.3%-16.4K52.6K-2.0K0.79144.585644170337
2016-08-29$23.47$0.0021.8%6.2%14.7%2.1%0.0%-3.4%-1.7%-17.5K89.8K-1.9K0.91130.365651170337
2016-08-30$23.65$0.0020.7%5.9%14.5%1.4%0.0%1.8%4.3%-20.2K83.5K-2.0K0.91130.095651170388
2016-08-31$23.47$0.0093.4%26.8%14.4%50.7%0.0%11.9%-13.8%-21.3K173.7K-2.1K0.91146.915651170388