CSV Options History — August 2017

In August 2017, CSV traded between $23.97 and $24.75. ATM implied volatility averaged 22.0%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 8.0% (HV 20d: 30.0%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 3.47.

Notable Days

  • 2017-08-01: Highest Volume — 671 contracts
  • 2017-08-09: Largest IV spike — 26.9% change
  • 2017-08-10: Highest IV Rank — 7.2%
  • 2017-08-10: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.35$23.97$24.75$24.57$24.46
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV22.0%18.6%25.9%23.8%21.5%
Expected Move6.3%5.3%7.4%6.8%6.2%
HV 20d30.0%9.5%37.7%37.5%10.4%
HV 60d23.5%23.0%24.0%24.0%23.0%
IV Rank4.6%2.3%7.2%5.7%4.2%
IV Percentile9.1%0.8%27.4%13.5%7.5%
Term Structure1.6%-1.4%4.0%-0.6%3.4%
VWIV22.7%20.7%25.8%23.8%21.6%
Skew 25d-0.6%-11.6%5.4%-4.7%-11.6%
Skew 10d-3.4%-31.2%11.2%-8.7%-31.2%
Call IV 25d24.6%20.6%30.4%27.3%30.4%
Put IV 25d23.9%15.8%28.9%22.6%18.9%
Bid-Ask Spread %70.8728.46104.4967.9195.82
Gamma HHI0.960.930.980.930.98
Net GEX183.9K138.4K218.3K138.4K218.3K
Net DEX-2.4M-2.9M-1.9M-2.5M-2.5M
Net VEX-15.4K-17.2K-14.1K-17.2K-14.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.470.806.781.323.37
Total Volume324.261147671671153
Total OI3,434.9133,3893,5683,5683,389

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-08-01$24.57$25.0023.8%6.8%37.5%5.7%23.8%-4.7%-0.6%138.4K-2.5M-17.2K1.3267.912893822,986582
2017-08-02$24.74$25.0022.0%6.3%37.7%4.6%21.8%-5.3%1.9%161.8K-2.9M-17.0K1.3297.632893822,986458
2017-08-03$24.75$25.0023.3%6.5%37.4%5.4%22.5%5.1%1.1%165.7K-2.9M-16.9K1.3260.952893822,986458
2017-08-04$24.57$25.0020.2%6.5%36.9%3.3%22.6%2.1%1.6%157.3K-2.7M-16.7K1.3281.382893822,986458
2017-08-07$24.28$25.0021.5%5.9%36.8%4.3%21.9%5.3%2.6%153.8K-2.4M-16.0K1.0061.092892892,986458
2017-08-08$24.34$25.0020.0%6.3%36.8%3.3%21.7%1.9%1.7%159.3K-2.3M-16.0K0.8075.122782232,986459
2017-08-09$24.37$25.0025.4%7.3%36.7%6.8%25.2%1.4%-0.6%160.3K-2.3M-15.9K4.8581.17462232,988470
2017-08-10$24.45$25.0025.9%7.4%36.5%7.2%25.8%1.2%-1.4%157.2K-2.4M-15.8K4.8589.10462232,988470
2017-08-11$24.25$25.0023.5%6.7%36.5%5.6%23.9%2.3%-0.5%173.4K-2.3M-15.6K4.8593.12462232,988470
2017-08-14$24.36$25.0023.1%6.6%36.7%5.3%23.2%0.3%0.9%171.6K-2.4M-15.4K4.8578.65462232,988470
2017-08-15$24.17$25.0021.6%6.2%36.4%4.3%21.4%2.5%1.7%178.3K-2.0M-14.8K4.8593.98462232,988470
2017-08-16$24.19$25.0023.8%6.8%36.3%5.8%22.9%2.1%1.3%198.3K-2.1M-14.6K4.85101.27462232,988470
2017-08-17$23.97$25.0020.1%5.7%36.3%3.3%20.7%5.4%3.0%178.5K-1.9M-14.4K6.7851.19463122,988470
2017-08-18$24.17$25.0021.5%6.2%36.5%4.2%21.7%3.6%1.4%197.9K-2.0M-15.2K6.7842.79463122,988516
2017-08-21$24.06$25.0022.0%6.3%36.4%4.6%22.1%4.5%1.8%191.8K-2.1M-14.9K3.2028.46351122,978412
2017-08-22$24.32$25.0021.0%6.0%36.2%4.0%21.1%4.0%2.4%210.6K-2.4M-15.0K3.2033.18351122,978412
2017-08-23$24.37$25.0021.0%6.0%36.0%3.9%22.1%0.1%4.0%201.0K-2.5M-15.2K3.3798.17351182,978412
2017-08-24$24.33$25.0020.6%5.9%15.9%3.7%23.2%-3.7%2.1%208.0K-2.4M-14.8K3.37104.49351182,978411
2017-08-25$24.41$25.0021.9%6.3%11.7%4.5%24.6%-10.5%0.6%205.2K-2.6M-15.1K3.3794.05351182,978411
2017-08-28$24.43$25.0020.9%6.0%9.9%3.9%23.1%-8.1%2.2%213.3K-2.4M-14.6K3.3735.09351182,978411
2017-08-29$24.32$25.0023.2%6.6%9.9%5.4%23.6%-7.7%1.7%215.7K-2.3M-14.3K3.3732.18351182,978411
2017-08-30$24.21$25.0018.6%5.3%9.5%2.3%20.7%-5.3%4.0%214.6K-2.2M-14.1K3.3733.20351182,978411
2017-08-31$24.46$25.0021.5%6.2%10.4%4.2%21.6%-11.6%3.4%218.3K-2.5M-14.4K3.3795.82351182,978411