CSV Options History — June 2017

In June 2017, CSV traded between $26.22 and $27.06. ATM implied volatility averaged 28.7%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 15.7% (HV 20d: 13.0%). 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 12 of 22 days. Put/call ratio averaged 0.68.

Notable Days

  • 2017-06-28: Highest Volume — 888 contracts
  • 2017-06-14: Largest IV drop — 51.0% change
  • 2017-06-13: Highest IV Rank — 24.6%
  • 2017-06-28: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.75$26.22$27.06$26.58$27.05
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV28.7%23.5%52.2%23.5%27.7%
Expected Move7.5%6.7%8.5%6.7%7.9%
HV 20d13.0%9.8%15.8%14.3%9.8%
HV 60d19.0%18.0%19.8%19.5%18.1%
IV Rank9.0%5.5%24.6%5.5%8.3%
IV Percentile34.6%12.3%81.3%12.3%34.1%
Term Structure-0.8%-7.8%6.2%6.2%-7.1%
VWIV26.1%18.9%29.7%26.4%27.5%
Skew 25d3.0%-5.4%12.1%4.2%11.0%
Skew 10d5.2%-6.7%13.0%0.7%12.0%
Call IV 25d23.0%17.2%27.7%24.7%17.2%
Put IV 25d26.1%20.2%29.7%28.9%28.1%
Bid-Ask Spread %64.8740.8089.6289.6242.73
Gamma HHI0.610.550.640.580.63
Net GEX204.6K188.5K229.2K193.4K226.5K
Net DEX-5.8M-6.9M-5.1M-5.5M-6.9M
Net VEX-18.5K-20.5K-17.1K-20.5K-18.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.201.530.200.93
Total Volume610.364375888760797
Total OI4,6694,5755,0034,6305,003

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-06-01$26.58$25.0023.5%6.7%14.3%5.5%26.4%4.2%6.2%193.4K-5.5M-20.5K0.2089.626311294,000630
2017-06-02$26.96$25.0024.8%7.1%15.3%6.4%18.9%-5.4%-7.8%194.8K-5.9M-20.1K0.2068.906321294,000630
2017-06-05$26.67$25.0024.0%7.2%15.7%5.9%25.6%0.8%1.7%192.7K-5.6M-20.0K0.2072.616361294,000630
2017-06-06$26.59$25.0027.1%7.1%15.4%8.0%25.4%0.1%1.1%198.0K-5.5M-19.6K0.2073.806541294,000630
2017-06-07$26.22$25.0029.0%7.4%15.7%9.2%26.5%-0.2%0.8%188.5K-5.1M-19.9K0.2066.076561294,000630
2017-06-08$26.43$25.0027.7%7.0%15.8%8.3%25.3%-0.9%0.2%198.9K-5.4M-19.4K0.4973.942611294,010630
2017-06-09$26.51$25.0031.2%7.3%15.5%10.7%26.6%-1.3%0.8%189.5K-5.4M-19.5K0.4966.282611294,010630
2017-06-12$26.68$25.0041.0%7.2%15.1%17.2%25.9%0.6%0.5%198.7K-5.7M-18.5K0.4970.702611294,010630
2017-06-13$26.86$25.0052.2%7.2%15.1%24.6%25.9%0.5%0.5%207.1K-5.9M-18.4K0.5062.602581294,010630
2017-06-14$26.93$25.0025.6%7.3%14.1%6.9%26.6%2.0%-0.4%205.2K-6.0M-18.3K0.5271.972461294,010630
2017-06-15$27.06$25.0025.7%7.4%11.5%7.0%25.2%1.4%-1.3%207.2K-6.1M-17.6K0.4672.502941344,010630
2017-06-16$26.94$25.0025.1%7.2%11.8%6.6%23.8%-1.1%-0.7%212.2K-6.0M-18.0K0.4656.182941344,058610
2017-06-19$26.92$25.0025.8%7.4%10.7%7.1%25.6%1.0%-6.7%202.7K-5.9M-17.8K0.4460.292891264,053571
2017-06-20$26.80$25.0026.7%7.6%10.9%7.6%27.0%0.3%3.0%199.4K-5.8M-17.9K1.0668.202893064,053571
2017-06-21$26.60$25.0026.8%7.7%11.3%7.8%26.8%-0.9%2.3%210.6K-5.7M-18.0K1.0656.532893064,053522
2017-06-22$26.61$25.0026.2%7.5%11.2%7.4%26.3%8.7%2.1%208.7K-5.7M-17.5K1.3368.512893834,053522
2017-06-23$26.64$25.0026.5%7.6%11.2%7.6%26.5%8.5%0.2%206.0K-5.7M-17.6K1.5370.512513834,053599
2017-06-26$26.86$25.0028.5%8.2%11.4%8.9%27.0%8.2%-3.0%206.1K-5.9M-17.5K1.5355.292513844,063599
2017-06-27$26.81$25.0029.3%8.4%11.4%9.4%29.2%9.4%-6.4%210.5K-6.0M-17.1K1.0340.803743844,063600
2017-06-28$26.79$25.0029.8%8.5%11.4%9.7%29.7%12.1%-2.0%215.9K-6.0M-17.3K0.7659.525043844,116600
2017-06-29$26.92$25.0027.9%8.0%10.9%8.5%27.3%7.7%-2.2%229.2K-6.6M-18.2K0.9359.594133844,366600
2017-06-30$27.05$25.0027.7%7.9%9.8%8.3%27.5%11.0%-7.1%226.5K-6.9M-18.2K0.9342.734133844,403600