CSV Options History — January 2020

In January 2020, CSV traded between $23.59 and $25.89. ATM implied volatility averaged 31.5%, placing in the 29.5% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 13.0% (HV 20d: 18.5%). Max pain ranged from $22.50 to $30.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 4.49.

Notable Days

2020-01-10: Highest Volume — 50 contracts
2020-01-03: Largest IV spike — 61.5% change
2020-01-31: Highest IV Rank — 43.6%
2020-01-03: Largest Expected Move — 11.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.00	$23.59	$25.89	$25.15	$23.59
Max Pain	$25.71	$22.50	$30.00	$22.50	$25.00
ATM IV	31.5%	21.1%	38.7%	23.9%	37.8%
Expected Move	9.4%	6.7%	11.1%	6.9%	10.8%
HV 20d	18.5%	14.9%	25.6%	25.6%	18.2%
HV 60d	36.2%	23.3%	40.5%	40.2%	23.3%
IV Rank	29.5%	10.3%	43.6%	14.9%	43.6%
IV Percentile	51.5%	6.3%	82.1%	12.7%	81.0%
Term Structure	-1.0%	-5.1%	10.3%	3.9%	-5.0%
VWIV	31.7%	27.9%	34.9%	27.9%	31.8%
Skew 25d	4.8%	-2.5%	14.4%	-2.5%	3.5%
Skew 10d	5.1%	-12.1%	18.8%	-3.4%	-10.9%
Call IV 25d	30.8%	20.6%	41.9%	26.8%	31.9%
Put IV 25d	35.6%	24.3%	43.0%	24.3%	35.4%
Bid-Ask Spread %	80.83	63.09	97.12	64.56	80.98
Gamma HHI	0.67	0.35	0.91	0.68	0.52
Net GEX	4.8K	-5.9K	23.2K	10.5K	-5.4K
Net DEX	-30.0K	-208.1K	146.8K	-126.4K	146.8K
Net VEX	-872	-1.1K	-809	-874	-843
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.49	0.00	20.00	0.00	0.00
Total Volume	7.19	0	50	0	16
Total OI	463.286	153	714	682	195

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
2020-01-02	$25.15	$22.50	23.9%	6.9%	25.6%	14.9%	0.0%	-2.5%	3.9%	10.5K	-126.4K	-874	0.00	64.56	0	0	447	235
2020-01-03	$25.47	$22.50	38.7%	11.1%	23.4%	38.8%	0.0%	5.1%	-1.7%	8.2K	-154.1K	-1.1K	0.00	75.40	0	1	447	235
2020-01-06	$25.65	$30.00	28.4%	9.3%	23.6%	22.2%	0.0%	14.4%	-2.6%	11.3K	-164.9K	-819	0.00	76.72	0	0	447	236
2020-01-07	$25.31	$30.00	28.3%	10.1%	23.9%	21.9%	0.0%	12.7%	-5.1%	6.4K	-130.1K	-916	0.00	91.33	0	0	447	236
2020-01-08	$25.24	$30.00	21.2%	6.7%	19.5%	10.5%	0.0%	8.3%	10.3%	15.7K	-134.6K	-810	0.00	96.40	7	0	447	236
2020-01-09	$25.08	$30.00	21.1%	8.4%	19.5%	10.3%	27.9%	8.6%	0.3%	15.0K	-121.1K	-809	15.00	90.73	2	30	447	236
2020-01-10	$25.08	$25.00	24.7%	8.8%	17.5%	16.1%	0.0%	5.0%	-1.1%	17.8K	-107.0K	-962	0.00	88.62	0	50	449	265
2020-01-13	$25.06	$25.00	30.7%	9.1%	17.1%	25.8%	0.0%	2.2%	-2.1%	19.4K	-101.2K	-923	0.00	84.97	0	0	449	215
2020-01-14	$25.22	$25.00	29.4%	8.9%	14.9%	23.8%	0.0%	8.1%	-0.6%	23.2K	-121.5K	-908	0.00	85.88	0	0	449	215
2020-01-15	$25.59	$25.00	32.8%	9.4%	15.3%	29.3%	0.0%	4.7%	-2.7%	13.4K	-191.1K	-873	0.00	83.32	0	0	451	215
2020-01-16	$25.89	$25.00	32.3%	9.3%	15.7%	28.5%	0.0%	10.8%	-3.1%	9.5K	-179.3K	-874	0.00	97.12	0	0	451	215
2020-01-17	$25.64	$25.00	32.2%	9.2%	15.9%	28.3%	0.0%	11.6%	-3.6%	-4.0K	-208.1K	-839	0.00	86.31	0	0	451	215
2020-01-21	$25.59	$25.00	33.6%	9.6%	14.9%	35.8%	33.6%	-0.0%	2.3%	-4.1K	91.9K	-823	0.83	88.90	6	5	31	122
2020-01-22	$25.03	$25.00	33.7%	9.7%	16.1%	36.0%	0.0%	-0.6%	-1.4%	-4.5K	106.6K	-862	0.00	85.68	1	0	37	127
2020-01-23	$24.39	$25.00	34.8%	10.0%	18.1%	37.9%	0.0%	2.1%	-2.2%	-4.7K	121.1K	-829	0.00	78.12	0	0	38	127
2020-01-24	$24.49	$25.00	34.9%	10.0%	18.3%	38.2%	34.9%	2.5%	0.6%	-4.6K	121.0K	-844	20.00	82.28	1	20	38	127
2020-01-27	$24.51	$25.00	37.7%	10.8%	17.7%	43.5%	0.0%	1.1%	-2.9%	-5.4K	127.3K	-872	0.00	64.20	2	0	39	147
2020-01-28	$24.49	$25.00	37.1%	10.6%	17.7%	42.4%	0.0%	2.5%	-2.6%	-5.2K	123.8K	-875	0.00	63.09	0	0	41	147
2020-01-29	$24.34	$25.00	36.8%	10.5%	17.7%	41.8%	0.0%	-1.7%	-2.2%	-5.2K	129.5K	-866	0.00	63.92	0	1	41	147
2020-01-30	$24.11	$25.00	30.7%	8.8%	17.9%	30.2%	30.3%	3.5%	0.1%	-5.9K	141.0K	-845	0.13	68.94	8	1	41	148
2020-01-31	$23.59	$25.00	37.8%	10.8%	18.2%	43.6%	31.8%	3.5%	-5.0%	-5.4K	146.8K	-843	0.00	80.98	16	0	46	149