CSV Options History — March 2020

In March 2020, CSV traded between $14.14 and $20.85. ATM implied volatility averaged 89.1%, placing in the 86.4% IV rank vs the trailing year. The 30-day expected move averaged 24.7%. IV traded above realized volatility by 4.2% (HV 20d: 84.9%). Max pain ranged from $17.50 to $25.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.21.

Notable Days

  • 2020-03-18: Highest Volume — 865 contracts
  • 2020-03-12: Largest IV spike — 47.8% change
  • 2020-03-05: Highest IV Rank — 100.0%
  • 2020-03-19: Largest Expected Move — 34.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.96$14.14$20.85$20.19$16.11
Max Pain$19.77$17.50$25.00$22.50$17.50
ATM IV89.1%54.6%120.6%63.2%82.7%
Expected Move24.7%14.3%34.6%18.1%23.7%
HV 20d84.9%60.7%113.6%60.7%113.6%
HV 60d55.1%38.8%74.0%39.1%74.0%
IV Rank86.4%64.2%100.0%91.7%64.2%
IV Percentile98.7%94.4%100.0%99.2%94.4%
Term Structure-12.5%-34.1%11.8%-12.4%-21.0%
VWIV83.0%45.6%114.7%97.3%83.5%
Skew 25d19.1%-7.4%66.3%-7.4%6.9%
Skew 10d31.8%-21.7%89.7%8.9%31.4%
Call IV 25d76.8%45.5%114.1%52.5%81.4%
Put IV 25d95.9%45.0%146.5%45.0%88.2%
Bid-Ask Spread %74.9753.0791.7279.4183.30
Gamma HHI0.290.250.350.330.35
Net GEX6.6K-3.0K21.5K1621.5K
Net DEX-19.3K-523.5K232.7K174.6K-383.3K
Net VEX-2.5K-4.5K-761-761-4.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.001.290.860.07
Total Volume202.59865218110
Total OI1,155.5913622,1693622,169

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-03-02$20.19$22.5063.2%18.1%60.7%91.7%97.3%-7.4%-12.4%16174.6K-7610.8679.41117101185177
2020-03-03$19.52$22.5061.1%17.5%60.9%87.8%0.0%12.4%-9.4%-31187.8K-1.4K1.2978.35102132286276
2020-03-04$20.29$22.5054.6%15.6%62.4%75.5%54.8%8.3%-8.8%-3.0K232.7K-1.1K0.0065.9090198257
2020-03-05$20.85$25.0067.8%14.3%63.7%100.0%45.6%18.9%-8.6%-2.8K213.3K-1.1K0.0077.891600202257
2020-03-06$20.47$22.5065.8%19.2%63.5%96.2%0.0%22.1%-9.4%2.1K52.9K-1.9K0.0064.52150357257
2020-03-09$19.36$22.5090.4%17.9%65.2%100.0%52.1%14.9%-12.1%1.7K119.5K-1.7K0.0061.89860366257
2020-03-10$18.83$22.5078.6%17.1%63.7%84.4%59.5%16.2%-9.2%2.3K139.0K-1.8K1.2974.071722424257
2020-03-11$17.32$22.5071.8%20.6%67.8%75.5%72.7%32.5%-17.0%1.6K214.5K-1.6K0.0057.55930436275
2020-03-12$16.00$20.00106.1%30.4%71.2%100.0%77.5%66.3%-15.4%2.0K184.9K-1.5K0.0070.393431461275
2020-03-13$16.84$20.0096.4%27.6%74.9%89.4%99.4%29.4%-34.1%7.3K-13.6K-2.4K0.0678.40493750276
2020-03-16$14.14$20.0094.6%27.1%92.8%87.4%108.6%17.0%-16.5%4.0K149.2K-1.6K0.1472.829613748276
2020-03-17$15.54$17.5097.4%27.9%102.1%90.4%65.8%15.1%-21.0%4.8K103.3K-2.0K0.0384.5341411823288
2020-03-18$16.03$17.50115.8%33.2%102.4%100.0%114.7%10.4%-28.8%8.6K-168.6K-3.3K0.0153.0785781,077293
2020-03-19$15.35$17.50120.6%34.6%94.1%100.0%90.9%49.4%-13.5%9.9K-234.6K-3.6K0.4282.29195821,256299
2020-03-20$15.74$17.50106.2%30.4%95.2%86.4%92.7%19.7%-19.8%13.2K-241.7K-3.9K0.2171.38161341,381367
2020-03-23$14.24$17.5089.6%25.7%98.1%70.8%98.4%31.0%11.8%8.6K-71.0K-3.1K0.0483.6613651,217351
2020-03-24$14.70$17.5094.6%27.1%99.6%75.5%87.4%15.8%-4.4%9.7K-48.8K-3.1K0.0377.8010531,268353
2020-03-25$14.80$17.50110.3%31.6%98.2%90.3%97.3%12.4%-20.3%10.9K-186.1K-3.7K0.0084.6612401,322356
2020-03-26$14.16$17.5095.6%27.4%98.5%76.4%77.5%3.1%8.6%9.3K-91.9K-3.2K0.2191.7294201,337356
2020-03-27$15.58$17.50100.1%28.7%106.5%80.6%91.1%14.7%5.7%13.5K-233.9K-3.9K0.0374.7119551,377376
2020-03-30$17.07$17.5096.6%27.7%112.6%77.3%92.3%10.3%-19.6%20.1K-523.5K-4.5K0.0181.0753161,537367
2020-03-31$16.11$17.5082.7%23.7%113.6%64.2%83.5%6.9%-21.0%21.5K-383.3K-4.0K0.0783.3010371,800369