CSV Options History — April 2020

In April 2020, CSV traded between $13.76 and $17.24. ATM implied volatility averaged 74.6%, placing in the 56.6% IV rank vs the trailing year. The 30-day expected move averaged 21.5%. IV traded below realized volatility by 18.5% (HV 20d: 93.1%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.16.

Notable Days

  • 2020-04-13: Highest Volume — 186 contracts
  • 2020-04-28: Largest IV spike — 26.4% change
  • 2020-04-01: Highest IV Rank — 86.6%
  • 2020-04-01: Largest Expected Move — 30.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.08$13.76$17.24$15.82$15.01
Max Pain$15.12$15.00$17.50$17.50$15.00
ATM IV74.6%53.1%106.4%106.4%59.3%
Expected Move21.5%15.2%30.5%30.5%17.0%
HV 20d93.1%66.8%115.1%112.2%85.9%
HV 60d79.1%74.0%87.9%74.0%87.9%
IV Rank56.6%36.3%86.6%86.6%42.2%
IV Percentile90.5%82.5%98.8%98.8%83.3%
Term Structure-9.8%-33.4%19.4%-33.4%-22.0%
VWIV75.2%45.3%108.9%90.2%69.2%
Skew 25d7.0%-26.8%39.2%29.3%-26.8%
Skew 10d15.8%-20.8%51.3%38.5%-20.8%
Call IV 25d72.8%44.1%93.9%93.9%73.7%
Put IV 25d79.8%46.9%123.2%123.2%46.9%
Bid-Ask Spread %99.9778.33119.8993.04118.50
Gamma HHI0.240.200.310.310.23
Net GEX14.5K8.6K21.4K18.2K13.6K
Net DEX-325.4K-736.8K-87.9K-374.1K-421.8K
Net VEX-3.8K-4.4K-3.2K-4.4K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.160.001.000.000.41
Total Volume69.23851869152
Total OI2,148.5711,7062,6732,2221,785

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-04-01$15.82$17.50106.4%30.5%112.2%86.6%90.2%29.3%-33.4%18.2K-374.1K-4.4K0.0093.049101,853369
2020-04-02$14.92$15.0089.9%23.5%112.3%71.0%77.1%15.4%3.7%14.3K-179.8K-3.5K0.5480.5126141,889369
2020-04-03$13.94$15.0067.5%23.2%113.7%49.9%84.1%10.6%-4.4%10.1K-119.1K-3.3K0.0484.6415161,885381
2020-04-06$14.37$15.0073.1%22.8%114.2%55.2%88.1%12.3%-11.7%11.7K-138.2K-3.5K0.0189.6314811,993387
2020-04-07$14.79$15.0073.8%20.3%115.1%55.8%72.7%8.1%-24.4%18.4K-236.5K-3.7K0.0085.9513902,119388
2020-04-08$15.38$15.0076.8%22.0%113.2%58.7%83.1%4.4%-16.6%18.1K-245.7K-3.5K0.0099.035302,109383
2020-04-09$15.74$15.0074.0%21.2%110.2%56.0%67.5%-17.9%-18.7%12.2K-364.2K-3.6K0.1092.392932,119383
2020-04-13$15.30$15.0088.2%25.3%108.8%69.4%85.9%12.9%-30.5%17.5K-293.5K-3.8K0.0278.3318332,116383
2020-04-14$15.43$15.0088.4%25.3%88.4%69.6%108.9%10.1%-17.5%18.0K-293.0K-3.6K0.1480.7777112,108384
2020-04-15$14.51$15.0072.7%20.8%84.6%54.7%59.7%39.2%-9.3%16.4K-204.9K-3.3K0.02103.026112,127380
2020-04-16$13.76$15.0083.4%23.9%85.3%64.9%91.6%3.1%-17.3%8.6K-87.9K-3.2K0.1489.00133182,163378
2020-04-17$14.86$15.0071.6%20.5%89.2%53.8%70.9%9.5%-7.4%12.4K-239.4K-3.9K1.00107.0933332,280393
2020-04-20$15.13$15.0071.7%20.5%89.0%53.8%67.5%-0.1%1.9%13.0K-376.6K-4.0K0.00116.824101,380326
2020-04-21$14.79$15.0064.2%18.4%81.6%46.8%71.6%19.3%6.6%11.8K-418.8K-4.2K0.05117.513821,412326
2020-04-22$14.86$15.0075.5%21.6%80.8%57.4%76.0%21.7%-6.3%11.7K-464.4K-4.4K0.6799.55321,416328
2020-04-23$15.09$15.0079.0%22.6%81.0%60.7%78.7%-3.4%-11.0%13.3K-413.3K-4.0K0.11107.94911,418328
2020-04-24$14.72$15.0059.7%17.1%79.8%42.5%59.0%-11.1%-6.6%11.1K-349.9K-3.7K0.11104.312831,423329
2020-04-27$15.15$15.0053.1%15.2%72.6%36.3%45.3%-0.4%9.6%14.6K-358.8K-3.3K0.00119.891101,430332
2020-04-28$15.91$15.0067.1%19.2%66.8%49.5%61.7%5.3%19.4%17.1K-516.4K-4.0K0.00118.311801,435332
2020-04-29$17.24$15.0070.6%20.2%69.8%52.8%70.1%6.2%-10.6%21.4K-736.8K-4.4K0.00113.233201,449332
2020-04-30$15.01$15.0059.3%17.0%85.9%42.2%69.2%-26.8%-22.0%13.6K-421.8K-3.7K0.41118.5037151,453332