CSV Options History — February 2020

In February 2020, CSV traded between $20.33 and $25.15. ATM implied volatility averaged 40.4%, placing in the 48.6% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 4.7% (HV 20d: 35.7%). Max pain ranged from $17.50 to $25.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.67.

Notable Days

2020-02-20: Highest Volume — 187 contracts
2020-02-06: Largest IV spike — 81.4% change
2020-02-28: Highest IV Rank — 97.4%
2020-02-28: Largest Expected Move — 19.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.21	$20.33	$25.15	$23.84	$20.94
Max Pain	$23.55	$17.50	$25.00	$25.00	$22.50
ATM IV	40.4%	29.3%	66.2%	30.1%	66.2%
Expected Move	10.9%	8.4%	19.0%	8.6%	19.0%
HV 20d	35.7%	18.0%	60.0%	18.0%	60.0%
HV 60d	29.3%	23.3%	40.0%	23.4%	39.9%
IV Rank	48.6%	27.6%	97.4%	29.2%	97.4%
IV Percentile	74.7%	39.7%	99.6%	46.8%	99.6%
Term Structure	-4.1%	-17.9%	5.9%	0.9%	-17.9%
VWIV	38.5%	28.4%	60.9%	30.9%	60.9%
Skew 25d	6.4%	-1.5%	20.1%	4.6%	20.1%
Skew 10d	13.5%	-12.1%	47.8%	5.0%	47.8%
Call IV 25d	34.6%	24.0%	52.3%	30.9%	52.3%
Put IV 25d	41.1%	34.2%	72.4%	35.5%	72.4%
Bid-Ask Spread %	78.31	50.41	98.66	80.50	81.39
Gamma HHI	0.39	0.31	0.54	0.46	0.34
Net GEX	-2.7K	-4.6K	-45	-4.6K	-45
Net DEX	131.8K	-1.2K	248.9K	134.4K	129.2K
Net VEX	-875	-1.0K	-585	-882	-857
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.67	0.00	3.17	0.00	0.06
Total Volume	34.579	0	187	5	55
Total OI	285	210	427	210	334

Daily Data (19 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
2020-02-03	$23.84	$25.00	30.1%	8.6%	18.0%	29.2%	30.9%	4.6%	0.9%	-4.6K	134.4K	-882	0.00	80.50	5	0	61	149
2020-02-04	$24.34	$25.00	30.0%	8.6%	19.6%	29.0%	30.0%	0.3%	0.3%	-4.6K	116.9K	-902	0.00	79.35	2	0	63	149
2020-02-05	$24.33	$25.00	29.6%	8.5%	19.2%	28.1%	0.0%	2.9%	1.1%	-2.9K	109.5K	-919	0.00	97.45	0	0	74	149
2020-02-06	$24.55	$25.00	53.7%	10.3%	19.6%	73.7%	36.9%	13.8%	-6.0%	-3.7K	89.5K	-927	0.00	98.66	0	11	74	149
2020-02-07	$23.80	$25.00	29.6%	8.9%	22.2%	28.2%	0.0%	4.3%	-1.9%	-4.0K	137.9K	-898	1.00	79.10	11	11	74	155
2020-02-10	$24.53	$25.00	50.5%	10.9%	25.1%	67.8%	39.1%	3.8%	-6.1%	-3.5K	107.1K	-981	3.17	75.66	6	19	83	163
2020-02-11	$24.73	$25.00	53.7%	10.7%	25.3%	73.7%	0.0%	7.0%	-5.1%	-3.9K	101.3K	-1.0K	1.00	75.08	6	6	85	179
2020-02-12	$24.39	$25.00	36.7%	10.5%	25.6%	41.7%	0.0%	6.7%	-6.2%	-4.5K	123.5K	-1.0K	1.00	74.41	4	4	85	179
2020-02-13	$24.68	$25.00	37.6%	10.8%	25.4%	43.3%	0.0%	8.5%	-5.9%	-3.9K	104.4K	-1.0K	0.00	76.23	0	0	89	183
2020-02-14	$24.53	$25.00	35.5%	10.2%	24.9%	39.3%	0.0%	5.9%	-4.0%	-4.2K	115.5K	-1.0K	0.00	76.87	20	0	89	183
2020-02-18	$24.48	$25.00	38.6%	11.1%	24.7%	45.2%	0.0%	7.7%	-7.0%	-3.8K	112.4K	-968	0.02	78.13	60	1	102	183
2020-02-19	$25.15	$25.00	36.2%	10.4%	26.8%	40.6%	39.1%	7.5%	5.9%	-550	-1.2K	-999	0.09	50.41	96	9	156	184
2020-02-20	$22.01	$25.00	29.3%	8.4%	53.9%	27.6%	29.4%	11.5%	-1.5%	-636	248.9K	-688	0.34	83.66	140	47	207	188
2020-02-21	$21.94	$20.00	31.3%	9.0%	53.4%	31.4%	36.2%	11.1%	-2.1%	-1.6K	189.6K	-758	0.00	64.14	0	17	244	183
2020-02-24	$20.47	$17.50	40.3%	11.5%	57.9%	48.4%	28.4%	-1.5%	-4.7%	-1.2K	178.6K	-585	1.00	78.50	16	16	130	150
2020-02-25	$20.33	$17.50	40.6%	11.7%	57.8%	49.1%	33.7%	3.7%	-2.5%	-999	179.9K	-600	1.82	81.09	11	20	139	151
2020-02-26	$21.06	$22.50	45.4%	13.0%	59.9%	58.2%	41.4%	3.7%	-6.1%	-1.4K	162.5K	-779	0.00	73.93	7	0	150	171
2020-02-27	$20.89	$22.50	52.8%	15.1%	59.9%	72.1%	56.5%	0.8%	-9.6%	-1.0K	163.8K	-802	0.54	83.23	37	20	157	171
2020-02-28	$20.94	$22.50	66.2%	19.0%	60.0%	97.4%	60.9%	20.1%	-17.9%	-45	129.2K	-857	0.06	81.39	52	3	173	161