CSV Options History — May 2017

In May 2017, CSV traded between $25.66 and $27.59. ATM implied volatility averaged 25.0%, placing in the 6.5% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 2.0% (HV 20d: 23.0%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.48.

Notable Days

  • 2017-05-31: Highest Volume — 760 contracts
  • 2017-05-02: Largest IV spike — 208.7% change
  • 2017-05-02: Highest IV Rank — 20.9%
  • 2017-05-02: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.60$25.66$27.59$27.31$26.30
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV25.0%15.1%46.7%15.1%22.0%
Expected Move7.0%4.3%13.4%4.3%6.3%
HV 20d23.0%14.0%26.7%26.7%14.0%
HV 60d20.5%19.3%21.8%21.7%19.3%
IV Rank6.5%0.0%20.9%0.0%4.5%
IV Percentile17.8%0.0%75.0%0.0%6.3%
Term Structure2.8%-9.8%8.1%7.0%7.0%
VWIV21.9%12.5%31.6%12.5%24.2%
Skew 25d7.2%-1.8%14.5%4.4%6.8%
Skew 10d6.4%-2.4%27.7%2.5%5.0%
Call IV 25d18.4%13.8%24.3%15.6%19.3%
Put IV 25d25.6%15.1%33.0%20.0%26.1%
Bid-Ask Spread %62.0421.64127.8555.8441.54
Gamma HHI0.560.510.620.520.61
Net GEX178.1K150.5K217.2K182.9K180.4K
Net DEX-5.3M-7.7M-3.6M-7.7M-5.0M
Net VEX-18.8K-21.2K-17.3K-19.7K-21.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.031.550.100.20
Total Volume530.591189760601760
Total OI4,440.4094,0685,0275,0274,580

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$27.31$25.0015.1%4.3%26.7%0.0%12.5%4.4%7.0%182.9K-7.7M-19.7K0.1055.84548534,539488
2017-05-02$27.59$25.0046.7%13.4%26.5%20.9%15.7%14.5%-0.4%201.8K-7.5M-19.8K0.03127.85648174,358488
2017-05-03$27.27$25.0025.7%7.4%26.0%7.0%31.6%-1.8%-9.8%217.2K-7.2M-19.9K0.1696.556481064,358502
2017-05-04$27.19$25.0021.9%6.8%26.0%4.5%25.2%10.2%-1.6%209.2K-7.1M-19.3K0.1679.106481064,358532
2017-05-05$27.20$25.0026.9%6.2%26.0%7.8%16.0%9.8%5.9%205.4K-6.6M-19.4K0.0880.07566474,205533
2017-05-08$26.95$25.0026.0%6.9%25.1%7.2%17.4%11.2%5.3%206.4K-6.5M-19.1K0.0868.64566474,205533
2017-05-09$27.20$25.0027.7%6.7%25.2%8.4%18.6%10.1%6.4%198.6K-6.7M-19.1K0.0954.26552474,205533
2017-05-10$27.36$25.0017.7%5.1%24.0%1.7%14.4%0.5%3.7%196.0K-6.9M-18.2K0.0986.57545474,205533
2017-05-11$27.06$25.0023.7%6.8%23.7%5.7%18.8%10.1%4.8%168.4K-5.0M-18.5K0.0934.03545473,649533
2017-05-12$26.73$25.0026.7%7.7%24.0%7.7%20.1%13.7%2.3%175.0K-4.7M-18.9K0.1867.80547973,649533
2017-05-15$26.56$25.0026.4%7.6%24.1%7.5%20.6%9.2%0.1%163.3K-4.5M-18.4K0.1848.06546973,650582
2017-05-16$26.20$25.0023.1%6.6%24.0%5.3%21.6%6.8%5.6%162.8K-4.2M-18.6K0.1883.38546973,658582
2017-05-17$25.66$25.0027.5%7.9%24.9%8.2%26.1%0.6%-1.7%158.1K-3.6M-18.2K0.1893.68546973,658582
2017-05-18$25.69$25.0023.8%6.8%24.7%5.8%23.2%6.8%1.4%150.5K-3.6M-18.1K1.1073.25981083,658582
2017-05-19$26.09$25.0024.7%7.1%25.5%6.3%23.2%5.6%2.0%158.0K-4.1M-18.2K1.0524.941031083,659607
2017-05-22$26.08$25.0023.4%6.7%24.3%5.5%23.9%5.5%1.6%159.7K-4.1M-17.7K1.5534.89741153,461607
2017-05-23$26.17$25.0024.4%7.0%23.5%6.2%24.3%4.3%1.8%164.4K-4.2M-17.8K1.5553.20741153,461615
2017-05-24$26.09$25.0023.9%6.8%23.4%5.8%24.4%2.6%2.4%157.4K-4.0M-17.6K1.5537.52741153,461615
2017-05-25$26.05$25.0025.4%7.3%15.0%6.8%27.7%9.4%4.1%161.4K-4.1M-17.5K1.5542.90741153,461615
2017-05-26$26.15$25.0020.8%6.0%14.4%3.7%23.4%7.2%8.1%157.0K-4.1M-17.3K0.2021.645771153,461615
2017-05-30$26.30$25.0025.6%7.3%14.7%7.0%28.8%9.9%5.8%184.2K-5.0M-21.2K0.2059.245771153,965615
2017-05-31$26.30$25.0022.0%6.3%14.0%4.5%24.2%6.8%7.0%180.4K-5.0M-21.0K0.2041.546311293,965615