CSV Options History — October 2016

In October 2016, CSV traded between $23.19 and $24.55. ATM implied volatility averaged 41.3%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 24.4% (HV 20d: 16.9%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.48.

Notable Days

  • 2016-10-19: Highest Volume — 443 contracts
  • 2016-10-27: Largest IV spike — 249.3% change
  • 2016-10-27: Highest IV Rank — 59.8%
  • 2016-10-27: Largest Expected Move — 30.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.80$23.19$24.55$23.70$23.71
Max Pain$24.25$22.50$25.00$22.50$25.00
ATM IV41.3%25.2%106.8%38.5%48.7%
Expected Move10.9%7.2%30.6%11.0%14.0%
HV 20d16.9%14.7%19.3%19.1%16.6%
HV 60d17.3%16.6%18.0%17.5%16.7%
IV Rank15.4%4.4%59.8%13.4%20.4%
IV Percentile51.4%13.5%95.6%71.0%81.0%
Term Structure-8.8%-86.8%27.2%27.2%-11.2%
VWIV50.1%23.7%107.6%37.6%71.0%
Skew 25d8.0%-67.6%93.4%21.5%-0.1%
Skew 10d23.6%-7.9%107.9%53.2%30.7%
Call IV 25d43.5%17.8%141.3%17.8%46.8%
Put IV 25d51.5%18.8%132.0%39.3%46.7%
Bid-Ask Spread %133.37114.44150.32138.50143.21
Gamma HHI0.620.430.950.560.43
Net GEX-3.0K-84.2K38.6K-22.4K27.1K
Net DEX-403.2K-766.9K-87.9K-266.1K-402.1K
Net VEX-3.3K-4.0K-2.6K-3.6K-4.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.041.231.200.21
Total Volume276.571156443156267
Total OI970.3336431,2381,026954

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$23.70$22.5038.5%11.0%19.1%13.4%37.6%21.5%27.2%-22.4K-266.1K-3.6K1.20138.507185516510
2016-10-04$23.63$22.5027.0%7.8%19.0%5.7%28.1%9.8%8.1%-27.3K-330.3K-3.4K1.23125.797187516510
2016-10-05$23.50$22.5047.6%13.7%18.8%19.7%58.0%-67.6%-10.1%-28.4K-125.9K-3.5K1.23144.277187516512
2016-10-06$23.44$0.0030.6%8.7%18.3%8.1%0.0%-9.1%-2.4%-84.2K-370.2K-3.1K1.23131.187187516512
2016-10-07$23.19$0.0031.9%10.7%16.9%9.0%0.0%-32.3%-11.7%-38.7K-158.0K-3.4K1.23150.327187516512
2016-10-10$23.46$0.0044.6%8.7%17.0%17.6%0.0%4.2%0.0%-19.5K-229.6K-3.4K0.34141.6825687516512
2016-10-11$23.30$0.0094.0%9.2%17.2%51.1%0.0%-15.1%-2.3%-3.9K-97.8K-3.4K0.34145.0625687516512
2016-10-12$23.44$0.0032.1%9.2%17.1%9.1%0.0%6.0%-6.6%-7.5K-87.9K-3.2K0.34138.2925687516512
2016-10-13$23.41$0.0030.8%8.8%16.4%8.2%0.0%6.3%-0.7%-68.2K-309.6K-3.0K0.34135.2525687516512
2016-10-14$23.58$0.0027.0%7.7%16.4%5.6%0.0%9.4%1.0%-23.6K-319.9K-3.1K0.34121.1025687516512
2016-10-17$23.97$0.0025.2%7.2%17.2%4.4%0.0%0.3%-4.8%-5.1K-549.0K-2.7K0.34114.4425687516512
2016-10-18$23.90$0.0026.9%7.7%17.3%5.6%0.0%18.4%-4.5%-14.5K-461.9K-2.9K0.34121.9225687516512
2016-10-19$24.55$0.0027.9%8.0%19.3%6.3%0.0%-5.8%-3.0%25.2K-703.6K-2.6K0.24122.7035687516512
2016-10-20$24.32$0.0027.8%8.0%16.2%6.2%27.7%65.9%-2.7%28.3K-735.9K-3.0K0.29120.4831291616512
2016-10-21$24.20$25.0027.5%7.9%16.3%6.0%23.7%-11.4%-6.4%29.4K-766.9K-3.4K0.29115.4831891722516
2016-10-24$24.31$25.0031.0%8.9%15.2%8.3%24.8%93.4%8.8%32.7K-547.5K-3.3K0.05128.7116596349
2016-10-25$24.28$25.0036.2%10.4%15.0%11.9%35.8%-11.5%-10.9%33.6K-518.2K-3.2K0.07125.39165116349
2016-10-26$24.31$25.0030.6%8.8%14.7%8.1%30.5%0.6%-8.3%35.1K-524.4K-3.2K0.04142.34214863414
2016-10-27$23.99$25.00106.8%30.6%15.3%59.8%106.5%80.3%-86.8%38.6K-500.2K-3.6K0.31147.862166783416
2016-10-28$23.58$25.0074.6%21.4%16.5%38.0%107.6%4.2%-58.4%30.6K-462.8K-3.8K0.12146.722162683677
2016-10-31$23.71$25.0048.7%14.0%16.6%20.4%71.0%-0.1%-11.2%27.1K-402.1K-4.0K0.21143.2122047836118