CSV Options History — December 2019

In December 2019, CSV traded between $24.34 and $28.19. ATM implied volatility averaged 24.2%, placing in the 14.5% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 3.7% (HV 20d: 27.9%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 7.28.

Notable Days

2019-12-13: Highest Volume — 231 contracts
2019-12-17: Largest IV spike — 83.6% change
2019-12-05: Highest IV Rank — 36.7%
2019-12-04: Largest Expected Move — 10.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.48	$24.34	$28.19	$24.34	$25.64
Max Pain	$22.86	$22.50	$25.00	$25.00	$22.50
ATM IV	24.2%	14.7%	38.1%	24.2%	23.2%
Expected Move	6.6%	4.2%	10.2%	6.9%	6.7%
HV 20d	27.9%	21.1%	30.1%	21.1%	29.9%
HV 60d	40.0%	38.6%	40.4%	38.6%	40.0%
IV Rank	14.5%	0.0%	36.7%	13.7%	13.8%
IV Percentile	17.7%	0.0%	78.6%	8.7%	11.9%
Term Structure	4.5%	-15.0%	21.2%	-1.8%	3.0%
VWIV	23.2%	12.7%	41.1%	25.4%	23.2%
Skew 25d	-0.9%	-9.5%	6.7%	-9.5%	-1.3%
Skew 10d	-0.9%	-27.2%	17.6%	-27.2%	-2.0%
Call IV 25d	23.5%	13.7%	44.0%	39.3%	24.5%
Put IV 25d	22.5%	13.9%	38.0%	29.8%	23.2%
Bid-Ask Spread %	82.25	64.55	97.56	67.25	71.06
Gamma HHI	0.55	0.44	0.76	0.53	0.67
Net GEX	8.0K	-5.7K	22.8K	-5.7K	9.8K
Net DEX	-253.0K	-373.4K	-66.3K	-66.3K	-160.7K
Net VEX	-667	-980	-275	-920	-875
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	7.28	0.00	105.00	0.00	0.00
Total Volume	28.143	0	231	0	1
Total OI	527.524	324	725	382	681

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2019-12-02	$24.34	$25.00	24.2%	6.9%	21.1%	13.7%	0.0%	-9.5%	-1.8%	-5.7K	-66.3K	-920	0.00	67.25	0	0	141	241
2019-12-03	$25.53	$25.00	24.4%	7.0%	26.1%	14.1%	0.0%	-6.1%	3.5%	-4.9K	-187.2K	-690	0.00	76.17	2	0	141	241
2019-12-04	$26.33	$25.00	35.5%	10.2%	28.3%	32.3%	25.4%	-9.3%	-15.0%	382	-243.3K	-674	0.07	69.67	27	2	152	241
2019-12-05	$26.30	$22.50	38.1%	6.9%	27.4%	36.7%	16.2%	3.3%	7.5%	1.5K	-250.0K	-507	105.00	94.49	1	105	142	240
2019-12-06	$26.13	$22.50	20.0%	6.2%	27.5%	6.8%	0.0%	0.6%	9.0%	4.6K	-265.8K	-431	0.00	79.06	0	0	143	181
2019-12-09	$27.07	$22.50	28.6%	7.4%	28.9%	21.0%	24.8%	-0.3%	1.1%	4.2K	-306.4K	-341	0.24	76.10	25	6	143	181
2019-12-10	$26.90	$22.50	34.0%	6.6%	27.1%	29.9%	19.8%	5.1%	6.8%	4.9K	-305.6K	-324	0.00	90.34	26	0	157	186
2019-12-11	$27.44	$22.50	21.5%	6.2%	27.1%	9.2%	21.0%	1.0%	9.7%	6.9K	-335.6K	-301	0.00	97.26	29	0	173	186
2019-12-12	$27.62	$22.50	19.4%	5.6%	25.8%	5.8%	20.7%	-5.4%	4.0%	7.7K	-337.9K	-288	0.00	92.28	14	0	182	186
2019-12-13	$28.19	$22.50	18.1%	5.2%	26.3%	3.7%	21.6%	-7.2%	3.2%	10.1K	-373.4K	-322	0.00	88.57	231	0	196	186
2019-12-16	$27.59	$22.50	14.7%	4.2%	27.4%	0.0%	12.7%	0.4%	12.5%	15.6K	-364.4K	-275	1.63	79.12	16	26	426	186
2019-12-17	$27.21	$22.50	27.0%	7.7%	28.1%	19.9%	30.2%	5.2%	-1.3%	22.8K	-366.9K	-859	5.00	90.69	5	25	441	212
2019-12-18	$27.16	$22.50	26.7%	7.6%	28.0%	19.3%	41.1%	-7.8%	-12.8%	20.4K	-330.9K	-886	3.33	92.18	3	10	441	237
2019-12-19	$26.68	$22.50	18.1%	5.2%	29.3%	5.5%	0.0%	6.7%	14.2%	11.3K	-264.9K	-798	1.00	97.56	10	10	441	247
2019-12-20	$26.34	$22.50	21.1%	6.1%	29.4%	10.4%	0.0%	2.3%	7.1%	9.9K	-225.8K	-980	0.00	94.87	0	0	451	274
2019-12-23	$26.22	$22.50	22.1%	6.3%	29.1%	11.9%	0.0%	1.7%	21.2%	9.5K	-207.0K	-939	0.00	64.55	10	0	445	235
2019-12-24	$26.19	$22.50	22.5%	6.4%	29.2%	12.6%	0.0%	2.3%	5.4%	9.6K	-206.8K	-933	0.00	81.18	0	0	445	235
2019-12-26	$25.76	$22.50	23.7%	6.8%	30.1%	14.5%	0.0%	1.2%	4.6%	10.4K	-170.3K	-909	0.00	72.04	1	0	445	235
2019-12-27	$25.75	$22.50	22.0%	6.3%	30.0%	11.8%	22.0%	0.3%	6.1%	8.9K	-173.6K	-894	0.20	69.55	5	1	446	235
2019-12-30	$25.70	$22.50	22.4%	6.4%	29.8%	12.4%	0.0%	-3.0%	6.0%	9.9K	-170.0K	-865	0.00	83.25	0	0	446	235
2019-12-31	$25.64	$22.50	23.2%	6.7%	29.9%	13.8%	23.2%	-1.3%	3.0%	9.8K	-160.7K	-875	0.00	71.06	1	0	446	235