CSV Options History — May 2018

In May 2018, CSV traded between $25.00 and $26.27. ATM implied volatility averaged 24.0%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 2.8% (HV 20d: 21.2%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.39.

Notable Days

  • 2018-05-18: Highest Volume — 688 contracts
  • 2018-05-02: Largest IV spike — 69.1% change
  • 2018-05-02: Highest IV Rank — 65.2%
  • 2018-05-02: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.59$25.00$26.27$26.18$25.17
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV24.0%18.4%45.3%26.8%22.5%
Expected Move6.8%5.3%13.0%7.7%6.4%
HV 20d21.2%13.3%24.1%22.9%14.0%
HV 60d19.0%16.6%21.9%21.9%16.6%
IV Rank23.9%13.1%65.2%29.3%21.0%
IV Percentile39.9%9.5%96.8%65.5%35.7%
Term Structure-2.4%-43.7%3.0%-2.4%-1.1%
VWIV22.7%18.2%26.9%26.9%22.5%
Skew 25d1.4%-9.1%10.1%4.9%-5.6%
Skew 10d2.0%-8.9%16.4%5.3%-8.9%
Call IV 25d20.7%16.8%33.7%21.8%26.3%
Put IV 25d22.1%18.4%28.4%26.8%20.7%
Bid-Ask Spread %28.8911.5891.5214.8318.71
Gamma HHI0.510.350.580.370.58
Net GEX-42.8K-77.6K14.2K14.0K-77.6K
Net DEX90.2K-856.4K739.9K-797.3K657.3K
Net VEX-5.9K-7.7K-3.0K-3.1K-7.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.390.511.860.511.50
Total Volume550.864315688315543
Total OI1,553.6827412,0527412,043

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-05-01$26.18$25.0026.8%7.7%22.9%29.3%26.9%4.9%-2.4%14.0K-797.3K-3.1K0.5114.83208107545196
2018-05-02$26.27$25.0045.3%13.0%22.3%65.2%23.8%-9.1%-43.7%14.2K-856.4K-3.0K0.9651.31208200560196
2018-05-03$25.71$25.0026.6%7.5%23.0%28.8%26.2%10.1%-2.5%4.2K-623.8K-3.5K1.6248.87208337560289
2018-05-04$26.10$25.0025.2%7.0%24.0%26.2%24.3%8.1%-1.2%-9.8K-595.5K-4.0K1.6220.49208337560449
2018-05-07$26.06$25.0027.7%7.2%24.0%31.0%25.2%9.6%-1.7%-10.3K-600.7K-3.9K0.6136.83208126560449
2018-05-08$25.92$25.0026.2%6.9%23.9%28.2%24.0%8.7%0.1%-11.0K-550.1K-3.9K1.0920.08208226560449
2018-05-09$25.79$25.0023.1%6.6%23.9%22.1%23.1%-0.5%-0.9%-17.9K-346.2K-4.3K1.0991.52208226560549
2018-05-10$25.56$25.0019.8%5.7%24.0%15.7%19.8%2.3%1.4%-30.5K198.0K-5.0K1.6733.02208347560749
2018-05-11$25.71$25.0021.8%6.3%24.1%19.6%21.8%3.2%1.0%-58.8K410.1K-6.5K1.3411.582583476201,063
2018-05-14$25.59$25.0021.9%6.3%22.8%19.9%21.9%2.6%0.8%-60.8K449.6K-6.4K1.3412.712583476201,063
2018-05-15$25.37$25.0021.9%6.3%22.5%19.7%21.8%2.0%0.1%-63.8K508.0K-6.6K1.3434.862583476201,062
2018-05-16$25.56$25.0025.1%7.2%22.7%25.9%25.0%2.4%-2.2%-58.1K435.3K-6.6K1.0917.503183476201,062
2018-05-17$25.50$25.0022.4%6.4%22.8%20.7%22.4%1.7%1.0%-54.3K332.2K-6.9K1.3413.072583477401,062
2018-05-18$25.63$25.0019.5%5.6%22.9%15.1%19.5%1.0%1.5%-56.7K144.0K-7.1K1.4914.462764128001,062
2018-05-21$25.64$25.0021.1%6.1%23.0%18.3%21.2%2.1%1.5%-57.3K156.0K-7.4K1.4615.012754028301,121
2018-05-22$25.45$25.0018.4%5.3%22.2%13.1%18.2%-0.1%3.0%-66.3K185.9K-7.5K1.8626.582164028301,121
2018-05-23$25.14$25.0022.6%6.5%20.0%21.1%22.6%-4.1%-1.0%-59.2K481.0K-7.3K1.8626.572164028311,121
2018-05-24$25.00$25.0021.5%6.2%17.0%18.9%21.5%-2.3%-1.0%-66.0K518.6K-7.3K1.8640.662164028311,121
2018-05-25$25.15$25.0019.6%5.6%17.1%15.4%19.6%-1.7%1.4%-75.4K693.4K-7.7K1.8622.182164028311,221
2018-05-29$25.04$25.0026.6%7.6%13.3%29.0%26.6%-2.3%-5.2%-63.7K739.9K-7.2K1.5142.792163268311,221
2018-05-30$25.37$25.0022.3%6.4%14.0%20.6%22.3%-1.8%-1.8%-77.0K444.6K-7.2K1.5121.942163268311,212
2018-05-31$25.17$25.0022.5%6.4%14.0%21.0%22.5%-5.6%-1.1%-77.6K657.3K-7.1K1.5018.712173268311,212