CSV Options History — August 2019

In August 2019, CSV traded between $21.00 and $22.72. ATM implied volatility averaged 30.9%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 25.5% (HV 20d: 56.4%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.07.

Notable Days

  • 2019-08-05: Highest Volume — 128 contracts
  • 2019-08-21: Largest IV spike — 37.9% change
  • 2019-08-06: Highest IV Rank — 38.2%
  • 2019-08-28: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.99$21.00$22.72$22.60$21.30
Max Pain$22.27$20.00$22.50$20.00$22.50
ATM IV30.9%24.0%36.5%35.6%24.7%
Expected Move8.7%6.9%10.4%10.2%7.1%
HV 20d56.4%25.3%62.9%58.3%25.3%
HV 60d39.6%38.5%40.3%39.4%38.5%
IV Rank25.8%13.5%38.2%36.8%14.5%
IV Percentile44.1%10.3%70.2%67.1%10.3%
Term Structure-1.9%-12.0%3.6%-5.1%1.5%
VWIV32.5%23.7%42.1%42.1%23.7%
Skew 25d1.5%-13.6%13.6%-10.2%5.7%
Skew 10d1.4%-16.4%18.8%-16.4%7.2%
Call IV 25d29.0%20.2%40.8%40.8%28.7%
Put IV 25d30.5%22.6%39.0%30.6%34.3%
Bid-Ask Spread %94.9474.16112.94105.67100.69
Gamma HHI0.500.430.580.460.48
Net GEX-20.9K-26.1K-18.3K-20.6K-21.0K
Net DEX266.4K108.4K415.2K117.6K377.7K
Net VEX-2.6K-2.9K-2.4K-2.8K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.070.000.320.150.00
Total Volume14.3180128780
Total OI750.864734802765752

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-08-01$22.60$20.0035.6%10.2%58.3%36.8%42.1%-10.2%-5.1%-20.6K117.6K-2.8K0.15105.676810198567
2019-08-02$22.04$20.0031.4%9.0%59.5%30.4%31.6%-7.0%-1.9%-20.0K235.7K-2.9K0.32112.94227197574
2019-08-05$22.61$22.5032.8%8.8%58.3%32.5%0.0%4.3%-0.1%-19.2K128.6K-2.9K0.0289.901262219573
2019-08-06$22.30$22.5036.5%8.5%58.2%38.2%0.0%3.7%-3.5%-19.0K108.4K-2.8K0.0092.8000229573
2019-08-07$22.43$22.5034.9%9.0%58.2%34.6%0.0%6.0%-0.6%-18.3K144.1K-2.9K0.0289.39531229573
2019-08-08$22.50$22.5029.9%8.0%58.0%23.9%0.0%5.7%-0.7%-20.6K225.5K-2.8K0.0090.2600178574
2019-08-09$22.56$22.5028.0%8.2%58.0%20.0%0.0%5.2%0.9%-20.6K206.3K-2.8K0.0086.8200178574
2019-08-12$22.24$22.5031.5%8.4%58.6%25.7%0.0%4.4%-1.7%-21.5K289.3K-2.7K0.0092.2450162574
2019-08-13$21.91$22.5025.2%7.6%58.9%15.4%0.0%2.0%2.2%-21.3K324.0K-2.7K0.0093.4600167574
2019-08-14$22.20$22.5030.1%8.6%58.5%23.5%0.0%13.6%-0.4%-21.9K296.2K-2.7K0.0086.1600167574
2019-08-15$22.11$22.5030.4%8.7%58.5%24.0%0.0%11.9%-0.3%-21.9K292.3K-2.7K0.0088.4600167574
2019-08-16$22.60$22.5028.2%8.1%58.4%20.4%0.0%3.8%0.7%-26.1K238.6K-2.6K0.00102.0800167574
2019-08-19$22.72$22.5028.9%8.3%58.5%21.4%0.0%2.8%0.5%-21.2K208.3K-2.5K0.0086.4800167568
2019-08-20$22.31$22.5024.0%6.9%59.3%13.5%0.0%-0.4%3.6%-21.2K199.6K-2.5K0.00104.3100167568
2019-08-21$21.89$22.5033.2%9.5%60.1%28.5%0.0%-5.9%-1.9%-20.9K233.8K-2.5K0.00101.0400167568
2019-08-22$21.55$22.5027.5%7.9%60.7%19.1%0.0%-3.5%-12.0%-21.1K319.2K-2.5K0.0098.5700167568
2019-08-23$21.03$22.5033.6%9.6%61.6%29.2%23.7%-11.3%-7.9%-20.2K378.4K-2.5K0.0099.9101167568
2019-08-26$21.53$22.5030.3%8.7%61.9%23.8%0.0%4.6%-1.4%-20.8K382.3K-2.4K0.0074.1600167567
2019-08-27$21.00$22.5035.0%10.0%62.9%31.6%0.0%-13.6%-11.7%-20.7K383.6K-2.4K0.0094.89100167567
2019-08-28$21.18$22.5036.1%10.4%62.8%33.4%0.0%8.5%2.7%-20.1K415.2K-2.4K0.0095.6300177567
2019-08-29$21.11$22.5032.5%9.3%26.3%27.5%0.0%2.5%-5.6%-20.7K356.0K-2.4K0.00102.75100177567
2019-08-30$21.30$22.5024.7%7.1%25.3%14.5%0.0%5.7%1.5%-21.0K377.7K-2.4K0.00100.6900185567