CSV Options History — March 2017

In March 2017, CSV traded between $25.73 and $27.11. ATM implied volatility averaged 47.4%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 28.2% (HV 20d: 19.2%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 0.24.

Notable Days

  • 2017-03-09: Highest Volume — 821 contracts
  • 2017-03-08: Largest IV spike — 208.4% change
  • 2017-03-09: Highest IV Rank — 63.9%
  • 2017-03-01: Largest Expected Move — 26.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.51$25.73$27.11$25.92$27.11
Max Pain$23.80$22.50$25.00$25.00$25.00
ATM IV47.4%25.7%112.7%93.5%31.6%
Expected Move10.5%7.4%26.8%26.8%9.1%
HV 20d19.2%14.4%23.0%22.9%14.4%
HV 60d16.8%15.8%17.7%16.9%17.6%
IV Rank19.5%4.7%63.9%50.8%8.7%
IV Percentile58.9%16.7%96.8%91.3%46.4%
Term Structure-3.3%-75.9%25.2%-75.9%-4.2%
VWIV29.1%18.8%66.8%66.8%28.3%
Skew 25d13.9%-0.4%90.6%90.6%8.8%
Skew 10d12.7%-36.6%52.4%52.4%7.3%
Call IV 25d26.2%20.7%42.4%38.2%26.7%
Put IV 25d40.2%28.5%128.8%128.8%35.5%
Bid-Ask Spread %117.48103.90136.91129.06108.87
Gamma HHI0.490.480.520.510.49
Net GEX180.5K138.4K213.5K138.4K198.4K
Net DEX-4.1M-5.3M-2.6M-2.6M-4.9M
Net VEX-18.9K-23.5K-13.9K-13.9K-20.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.240.070.400.070.39
Total Volume584.522425821425615
Total OI3,826.9572,9784,3012,9784,301

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-03-01$25.92$25.0093.5%26.8%22.9%50.8%66.8%90.6%-75.9%138.4K-2.6M-13.9K0.07129.06398272,861117
2017-03-02$25.80$25.0028.9%8.3%23.0%7.0%65.8%-0.4%3.1%146.7K-2.8M-15.2K0.07123.84398273,058117
2017-03-03$25.73$25.0048.3%13.8%23.0%20.1%52.4%20.9%-15.6%140.8K-2.7M-15.0K0.07132.91398273,058117
2017-03-06$25.80$22.5029.3%10.1%22.1%7.2%25.2%10.3%-2.6%146.8K-2.7M-14.7K0.07118.64398273,058117
2017-03-07$25.80$22.5034.7%8.0%22.0%10.9%22.6%7.9%-0.6%151.3K-2.8M-14.8K0.07106.88398273,058117
2017-03-08$26.00$22.50107.1%8.9%22.2%60.1%22.7%10.5%-3.2%156.7K-2.7M-13.9K0.07120.98398273,058117
2017-03-09$26.34$22.50112.7%12.9%22.8%63.9%18.8%5.9%-23.7%156.0K-3.5M-15.8K0.10132.49749723,058117
2017-03-10$26.49$22.5056.0%8.3%22.9%25.3%20.5%8.7%0.6%184.8K-4.4M-19.8K0.10123.99749723,609162
2017-03-13$26.56$22.5056.1%7.5%22.8%25.4%21.4%7.3%4.5%185.1K-4.2M-19.2K0.10107.67749723,609162
2017-03-14$26.31$22.5078.5%8.4%23.0%40.7%22.9%7.6%1.9%184.7K-4.0M-18.9K0.22107.48447973,609162
2017-03-15$26.53$22.5061.9%17.8%19.0%29.4%22.3%31.9%-0.0%195.6K-4.3M-18.8K0.17136.91447773,858187
2017-03-16$26.61$22.5032.2%9.2%19.0%9.2%29.9%2.1%-2.4%195.1K-4.6M-21.9K0.40105.384471773,858293
2017-03-17$27.10$22.5031.4%9.0%17.8%8.6%30.2%2.9%13.2%168.1K-5.3M-23.5K0.37103.904471653,858293
2017-03-20$27.03$22.5032.5%9.3%17.4%9.4%22.9%14.4%12.1%201.9K-4.9M-21.1K0.36115.274461623,857314
2017-03-21$26.55$25.0035.9%10.3%16.0%11.7%22.0%12.1%8.7%199.0K-5.0M-20.9K0.36118.184461623,857336
2017-03-22$26.56$25.0025.7%7.4%15.6%4.7%22.6%8.3%8.7%186.7K-4.7M-21.6K0.36119.314461623,857336
2017-03-23$27.06$25.0033.6%9.6%16.8%10.1%24.2%16.3%-8.0%209.2K-5.1M-21.6K0.36121.094481623,857336
2017-03-24$26.80$25.0038.7%11.1%17.0%13.6%24.9%14.5%-14.5%193.7K-5.1M-21.6K0.36111.984481623,854336
2017-03-27$26.64$25.0029.1%8.3%16.9%7.0%26.5%6.8%25.2%213.5K-4.6M-20.4K0.38126.844481713,854336
2017-03-28$26.84$25.0029.3%8.4%14.6%7.1%25.7%8.8%1.0%200.0K-4.6M-20.5K0.38107.834481713,854446
2017-03-29$27.06$25.0029.7%8.5%14.7%7.4%24.3%12.2%-5.2%197.9K-4.8M-20.4K0.39109.374441713,854446
2017-03-30$27.06$25.0032.6%9.4%14.6%9.4%25.3%11.9%1.5%201.7K-4.9M-20.4K0.39113.234441713,855446
2017-03-31$27.11$25.0031.6%9.1%14.4%8.7%28.3%8.8%-4.2%198.4K-4.9M-20.4K0.39108.874441713,855446