CSV Options History — August 2018

In August 2018, CSV traded between $22.72 and $24.31. ATM implied volatility averaged 20.3%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 5.8% (HV 20d: 26.0%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 5.96.

Notable Days

  • 2018-08-01: Highest Volume — 679 contracts
  • 2018-08-09: Largest IV spike — 43.4% change
  • 2018-08-29: Highest IV Rank — 26.6%
  • 2018-08-29: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.50$22.72$24.31$23.95$22.72
Max Pain$23.48$22.50$25.00$25.00$22.50
ATM IV20.3%11.7%25.4%17.5%21.3%
Expected Move5.9%4.2%7.3%5.0%6.1%
HV 20d26.0%21.9%30.2%21.9%23.8%
HV 60d18.3%16.1%19.7%16.1%19.3%
IV Rank16.7%0.0%26.6%11.3%18.6%
IV Percentile28.0%0.0%61.5%7.1%28.6%
Term Structure0.0%-9.4%7.6%-3.2%1.9%
VWIV20.1%13.9%23.7%20.6%20.7%
Skew 25d3.4%-1.6%8.3%2.2%3.6%
Skew 10d0.5%-10.9%13.2%-10.9%7.5%
Call IV 25d18.9%13.4%21.9%21.6%21.7%
Put IV 25d22.3%13.8%28.6%23.8%25.3%
Bid-Ask Spread %41.4012.90115.2750.29114.64
Gamma HHI0.800.560.870.560.87
Net GEX20.0K14.1K27.4K14.1K15.8K
Net DEX948.0K64.5K2.4M2.4M289.2K
Net VEX-1.9K-2.7K-1.5K-2.7K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.961.3816.275.4716.27
Total Volume374.609250679679380
Total OI1,059.8267251,7111,711726

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-08-01$23.95$25.0017.5%5.0%21.9%11.3%20.6%2.2%-3.2%14.1K2.4M-2.7K5.4750.291055744501,261
2018-08-02$23.79$25.0016.8%4.8%22.0%9.9%18.2%6.6%2.7%19.5K2.0M-2.2K1.3838.671051454531,063
2018-08-03$23.49$25.0019.6%5.6%22.3%15.4%16.3%-1.6%-4.3%17.8K1.8M-1.9K1.3819.03105145453963
2018-08-06$24.25$25.0011.7%5.0%25.3%0.0%17.5%6.9%-0.4%27.4K1.8M-2.1K1.4033.13104146453963
2018-08-07$24.31$25.0012.9%5.4%25.3%2.3%18.9%2.3%0.3%23.3K1.7M-2.3K1.8935.61104197454958
2018-08-08$24.00$25.0015.3%4.2%25.6%6.9%18.2%-1.1%1.7%22.7K1.8M-2.1K4.5252.1464289454958
2018-08-09$23.63$25.0021.9%5.4%26.0%19.8%18.4%2.6%3.4%22.1K1.7M-1.8K3.9621.9673289456890
2018-08-10$23.54$25.0024.4%6.2%25.7%24.7%18.9%2.7%0.3%20.3K1.7M-1.8K3.3649.4986289466890
2018-08-13$23.26$25.0020.1%6.2%25.8%16.3%21.6%1.5%0.2%18.5K1.7M-1.6K2.6022.14111289476890
2018-08-14$22.98$22.5023.7%6.2%25.8%23.4%21.7%-1.2%0.0%19.2K1.4M-1.5K2.7819.44111309501743
2018-08-15$23.09$22.5022.3%6.4%25.9%20.7%22.3%-0.0%-0.3%15.7K857.3K-1.9K3.3625.68111373501575
2018-08-16$23.58$22.5022.0%6.3%27.3%20.1%21.8%2.1%0.1%21.5K325.6K-2.2K3.3620.91111373501387
2018-08-17$23.40$22.5021.7%6.2%27.4%19.5%21.6%2.8%0.0%19.3K374.9K-2.1K3.3639.24111373501387
2018-08-20$23.49$22.5021.5%6.2%27.3%19.1%21.9%1.6%0.1%20.4K353.3K-2.1K7.5220.8946346442359
2018-08-21$23.99$22.5017.6%5.0%28.6%11.5%22.1%4.5%1.1%25.0K64.5K-2.2K7.5238.7246346442283
2018-08-22$23.42$22.5022.4%6.4%29.3%20.8%21.4%3.1%-0.7%19.9K206.9K-1.9K7.5223.1246346442283
2018-08-23$23.27$22.5021.8%6.2%29.2%19.6%21.5%8.3%-0.1%18.6K232.6K-1.8K7.5215.2846346442283
2018-08-24$23.20$22.5021.5%6.2%29.2%19.1%21.3%7.5%0.1%18.4K238.0K-1.8K5.7612.9046265442283
2018-08-27$23.72$22.5019.2%5.5%30.2%14.5%13.9%5.1%7.6%24.1K154.8K-1.9K5.7626.2746265442283
2018-08-28$23.38$22.5020.5%5.9%27.4%17.1%18.6%3.9%2.7%20.9K214.6K-1.8K12.0554.5122265442283
2018-08-29$23.17$22.5025.4%7.3%23.8%26.6%21.1%7.8%-9.4%19.3K188.9K-1.8K12.05102.9722265443283
2018-08-30$22.97$22.5025.4%7.3%23.9%26.6%23.7%6.7%-2.7%17.2K250.4K-1.7K16.27115.2722358443283
2018-08-31$22.72$22.5021.3%6.1%23.8%18.6%20.7%3.6%1.9%15.8K289.2K-1.5K16.27114.6422358443283