CSV Options History — November 2016

In November 2016, CSV traded between $23.43 and $27.46. ATM implied volatility averaged 37.3%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 15.8% (HV 20d: 21.6%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.17.

Notable Days

  • 2016-11-16: Highest Volume — 406 contracts
  • 2016-11-08: Largest IV spike — 108.3% change
  • 2016-11-02: Highest IV Rank — 49.6%
  • 2016-11-02: Largest Expected Move — 26.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.48$23.43$27.46$23.50$27.14
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV37.3%21.8%91.7%72.2%40.0%
Expected Move10.2%6.3%26.3%20.7%11.5%
HV 20d21.6%16.1%26.0%16.8%22.4%
HV 60d18.8%16.2%20.3%16.7%20.0%
IV Rank12.7%2.1%49.6%36.3%14.5%
IV Percentile42.5%2.8%91.3%88.1%71.4%
Term Structure-16.2%-52.0%8.0%-46.5%-40.4%
VWIV36.3%22.6%111.7%36.0%54.6%
Skew 25d4.1%-19.0%28.3%-1.5%-4.6%
Skew 10d5.4%-15.8%51.1%-2.7%3.0%
Call IV 25d29.5%22.6%52.4%39.9%31.6%
Put IV 25d33.6%19.3%65.9%38.5%27.1%
Bid-Ask Spread %131.66101.91149.86134.76115.83
Gamma HHI0.510.420.610.440.52
Net GEX44.8K26.5K69.2K27.2K53.8K
Net DEX-903.2K-1.6M-371.4K-410.5K-1.6M
Net VEX-4.4K-5.6K-3.4K-4.1K-5.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.170.050.670.210.15
Total Volume192.14335406267110
Total OI995.818951,0859581,085

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$23.50$25.0072.2%20.7%16.8%36.3%36.0%-1.5%-46.5%27.2K-410.5K-4.1K0.21134.7622047840118
2016-11-02$23.48$25.0091.7%26.3%16.7%49.6%111.7%13.4%-42.4%26.5K-492.9K-4.3K0.21149.8622047840118
2016-11-03$23.43$25.0032.6%6.7%16.7%9.4%23.6%2.9%8.0%28.5K-396.4K-3.8K0.21118.0322047840118
2016-11-04$23.51$25.0024.9%8.4%16.3%4.2%25.7%2.0%-2.4%27.3K-371.4K-3.8K0.21101.9122047840118
2016-11-07$23.72$25.0039.2%14.0%16.1%13.9%37.8%-14.7%-52.0%27.8K-382.2K-3.8K0.08145.9522018840118
2016-11-08$24.29$25.0081.6%11.9%17.8%42.7%36.0%9.4%-15.8%27.8K-385.5K-3.4K0.08142.3722018840130
2016-11-09$24.80$25.0021.8%6.3%18.9%2.1%22.6%2.3%-3.7%36.6K-540.7K-3.6K0.08134.3522018840130
2016-11-10$24.36$25.0023.3%6.7%20.3%3.1%25.0%-8.3%-5.5%38.2K-621.7K-4.2K0.26134.467018840130
2016-11-11$25.56$25.0030.0%8.6%26.0%7.7%27.8%-0.9%-9.2%65.3K-840.5K-4.4K0.26138.207018890130
2016-11-14$25.44$25.0024.9%7.1%25.8%4.2%24.8%28.3%-5.1%69.2K-896.9K-4.7K0.07142.3627018940130
2016-11-15$25.49$25.0025.6%7.3%25.7%4.7%25.9%26.1%-2.1%50.4K-781.8K-3.9K0.07141.8227018765130
2016-11-16$25.74$25.0031.7%9.1%24.3%8.8%31.5%2.7%-8.1%47.9K-858.7K-4.0K0.05137.5738818765130
2016-11-17$26.06$25.0027.5%7.9%24.1%6.0%25.2%15.2%-7.6%48.0K-1.1M-4.8K0.13131.2113918885130
2016-11-18$26.40$25.0031.2%8.9%24.1%8.5%24.4%13.0%-5.6%41.0K-1.1M-5.1K0.13130.3213918886130
2016-11-21$26.51$25.0023.3%6.7%24.1%3.1%28.4%-3.9%1.0%49.6K-1.2M-4.7K0.10127.8813914886126
2016-11-22$26.71$25.0024.9%7.2%24.1%4.2%30.2%-1.9%-1.3%55.5K-1.3M-4.8K0.10128.5813914886126
2016-11-23$27.09$25.0029.8%8.6%24.3%7.6%30.4%10.7%-11.9%60.9K-1.4M-4.5K0.67126.602114886126
2016-11-25$26.99$25.0027.9%8.0%23.5%6.2%35.7%-2.0%-18.2%56.0K-1.4M-4.6K0.15123.469614884126
2016-11-28$27.46$25.0034.0%9.7%22.2%10.4%36.4%16.9%-21.4%46.6K-1.5M-5.6K0.15125.839614959126
2016-11-29$27.31$25.0045.9%13.2%22.6%18.5%69.3%-19.0%-49.3%56.7K-1.5M-4.9K0.15133.469614959126
2016-11-30$27.14$25.0040.0%11.5%22.4%14.5%54.6%-4.6%-40.4%53.8K-1.6M-5.1K0.15115.839614959126