CSV Options History — October 2017

In October 2017, CSV traded between $23.99 and $25.93. ATM implied volatility averaged 27.3%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 9.9% (HV 20d: 17.4%). Max pain ranged from $22.50 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 5.96.

Notable Days

  • 2017-10-25: Highest Volume — 345 contracts
  • 2017-10-26: Largest IV drop — 27.1% change
  • 2017-10-19: Highest IV Rank — 15.2%
  • 2017-10-19: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.30$23.99$25.93$25.71$25.89
Max Pain$23.86$22.50$30.00$25.00$25.00
ATM IV27.3%20.1%31.5%28.9%24.4%
Expected Move7.8%5.8%9.0%8.3%7.0%
HV 20d17.4%12.9%31.9%16.7%31.9%
HV 60d21.7%13.2%24.2%24.2%21.2%
IV Rank11.2%4.6%15.2%12.7%8.6%
IV Percentile44.6%4.0%69.8%52.0%28.2%
Term Structure-3.6%-11.7%7.7%3.0%-1.5%
VWIV27.8%22.8%35.4%28.9%25.1%
Skew 25d4.2%-9.3%11.7%-2.2%-9.3%
Skew 10d10.6%-10.2%34.5%-2.7%-10.1%
Call IV 25d27.1%19.3%34.3%31.2%34.3%
Put IV 25d31.3%24.6%37.3%29.0%24.9%
Bid-Ask Spread %94.3824.81111.11103.1998.17
Gamma HHI0.970.921.000.980.92
Net GEX284.4K41.0K650.0K282.6K41.0K
Net DEX-2.9M-4.9M-489.5K-4.4M-1.3M
Net VEX-8.0K-10.6K-5.4K-10.6K-6.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.961.2713.384.9210.83
Total Volume188.727147345154284
Total OI2,777.8181,2723,4033,3981,592

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-10-02$25.71$25.0028.9%8.3%16.7%12.7%28.9%-2.2%3.0%282.6K-4.4M-10.6K4.92103.19261282,977421
2017-10-03$25.90$25.0028.1%8.1%16.5%12.1%28.2%4.7%0.9%296.7K-4.6M-10.3K4.92104.84261282,977421
2017-10-04$25.93$25.0024.1%6.9%15.7%8.3%26.0%1.0%7.7%282.1K-4.9M-9.7K4.92106.10261282,977421
2017-10-05$25.84$30.0025.4%8.3%13.8%9.5%23.0%11.7%-5.5%316.6K-4.7M-9.7K4.5724.81281282,977421
2017-10-06$25.50$22.5025.3%7.4%14.3%9.4%26.5%3.5%-2.2%343.9K-4.3M-9.8K4.57100.00281282,979421
2017-10-09$25.35$22.5027.3%7.1%14.7%11.3%24.6%8.9%-1.9%374.3K-4.0M-9.6K4.5794.87281282,979421
2017-10-10$25.61$22.5025.5%7.3%14.1%9.6%28.0%3.0%-6.1%389.9K-4.3M-9.0K4.57111.11281282,979421
2017-10-11$25.40$22.5026.6%7.6%14.4%10.7%25.5%8.3%-4.4%399.3K-4.1M-9.1K4.5787.45281282,979421
2017-10-12$25.41$22.5030.5%8.8%13.9%14.3%27.4%9.3%-7.6%377.5K-4.0M-9.0K4.5794.99281282,979421
2017-10-13$25.29$22.5029.9%8.6%14.1%13.7%28.6%7.6%-10.0%434.1K-3.9M-8.8K4.57104.00281282,979421
2017-10-16$25.41$22.5031.1%8.9%13.7%14.8%27.9%9.7%-7.6%650.0K-4.2M-7.8K4.5794.17281282,979421
2017-10-17$25.02$22.5029.8%8.6%14.9%13.6%28.8%7.0%-8.5%493.2K-3.2M-7.9K4.5797.87281282,979421
2017-10-18$24.99$22.5030.5%8.8%14.1%14.3%35.1%9.6%-8.3%578.0K-3.1M-7.5K4.6899.12281312,979421
2017-10-19$24.94$22.5031.5%9.0%13.1%15.2%33.2%6.7%-11.7%593.7K-2.9M-7.0K4.2398.48311312,979424
2017-10-20$24.73$22.5028.1%8.1%13.4%12.1%35.4%0.7%-11.6%71.8K-489.5K-5.9K1.27102.671031312,979424
2017-10-23$24.46$22.5028.4%8.1%13.3%12.3%31.9%5.3%-2.4%67.4K-850.0K-5.7K5.2196.42241251,061211
2017-10-24$24.48$25.0027.3%7.8%12.9%11.3%31.8%7.0%-1.1%72.4K-841.1K-5.6K5.1382.06241231,061215
2017-10-25$23.99$25.0027.6%7.9%13.2%11.6%23.7%4.9%-2.6%65.7K-637.1K-5.4K13.3882.19243211,062216
2017-10-26$25.89$25.0020.1%5.8%31.2%4.6%22.8%5.1%6.8%41.6K-1.2M-6.8K9.8896.17242371,062496
2017-10-27$25.57$25.0023.9%6.9%31.2%8.2%24.1%-7.8%-2.6%42.6K-1.1M-6.8K9.8899.82242371,062507
2017-10-30$25.40$25.0025.1%7.2%31.2%9.3%25.4%-2.0%-2.6%42.2K-978.0K-6.7K10.8397.88242601,062507
2017-10-31$25.89$25.0024.4%7.0%31.9%8.6%25.1%-9.3%-1.5%41.0K-1.3M-6.4K10.8398.17242601,062530