CSV Options History — June 2020

In June 2020, CSV traded between $17.74 and $20.88. ATM implied volatility averaged 56.2%, placing in the 39.2% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded below realized volatility by 14.0% (HV 20d: 70.1%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.51.

Notable Days

  • 2020-06-08: Highest Volume — 250 contracts
  • 2020-06-26: Largest IV spike — 87.3% change
  • 2020-06-26: Highest IV Rank — 78.8%
  • 2020-06-26: Largest Expected Move — 28.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.01$17.74$20.88$18.47$18.06
Max Pain$19.66$17.50$20.00$17.50$20.00
ATM IV56.2%41.7%98.1%49.4%42.7%
Expected Move15.8%12.0%28.1%14.2%12.2%
HV 20d70.1%50.8%86.0%78.5%51.1%
HV 60d82.2%70.3%93.5%92.9%70.3%
IV Rank39.2%25.5%78.8%32.7%26.4%
IV Percentile74.5%60.3%96.8%71.8%60.3%
Term Structure3.3%-21.0%17.5%8.0%9.5%
VWIV54.6%42.1%106.4%55.2%46.9%
Skew 25d1.1%-23.9%17.3%5.4%-6.6%
Skew 10d4.9%-23.2%25.5%25.5%-7.5%
Call IV 25d51.6%40.9%62.6%50.9%46.2%
Put IV 25d52.8%31.4%69.4%56.3%39.7%
Bid-Ask Spread %91.5970.83115.4780.86110.69
Gamma HHI0.250.190.330.300.22
Net GEX26.1K10.3K37.1K27.7K10.3K
Net DEX-966.9K-1.6M-524.9K-918.3K-524.9K
Net VEX-4.0K-4.4K-3.3K-4.3K-3.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.510.0024.001.550.20
Total Volume70.86462502842
Total OI2,061.5911,8232,2582,0622,001

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-06-01$18.47$17.5049.4%14.2%78.5%32.7%55.2%5.4%8.0%27.7K-918.3K-4.3K1.5580.8611171,637425
2020-06-02$18.73$17.5053.7%15.4%78.3%36.8%48.8%16.1%2.3%29.3K-950.2K-4.2K0.0970.832221,646425
2020-06-03$20.06$17.5041.7%12.0%80.7%25.5%42.1%9.6%2.3%36.6K-1.3M-4.4K0.0185.539411,649423
2020-06-04$19.29$20.0047.3%14.6%83.0%30.8%47.8%-4.4%1.1%29.0K-1.1M-4.1K0.2578.60150381,596423
2020-06-05$19.82$20.0047.2%13.3%83.1%30.7%46.0%6.3%4.8%32.9K-1.2M-4.3K0.1174.581921,622423
2020-06-08$20.88$20.0082.2%15.3%84.1%63.7%49.7%7.1%2.6%35.9K-1.6M-4.4K0.0982.93230201,623425
2020-06-09$20.56$20.0048.9%14.7%84.5%32.2%51.3%3.3%1.1%35.8K-1.4M-4.2K0.0295.666611,717419
2020-06-10$19.77$20.0057.8%16.6%86.0%40.7%53.7%17.3%-7.3%37.1K-1.3M-3.8K0.00111.902201,747418
2020-06-11$18.39$20.0057.4%16.5%85.8%40.4%64.9%-3.4%-4.1%27.4K-940.6K-4.1K0.0099.693401,738418
2020-06-12$18.78$20.0054.8%15.7%85.2%37.9%55.5%6.6%5.7%28.2K-968.6K-4.0K2.2288.4927601,731418
2020-06-15$19.04$20.0061.6%17.7%85.1%44.3%63.4%-4.5%-4.7%26.7K-1.0M-4.3K0.1493.87711,735494
2020-06-16$19.31$20.0058.3%16.7%82.6%41.2%54.6%-2.9%-0.9%30.9K-1.1M-4.3K0.0095.76701,741493
2020-06-17$19.01$20.0053.2%15.3%81.9%36.4%52.6%-9.6%5.6%28.4K-954.2K-3.8K0.11100.142831,745493
2020-06-18$19.24$20.0053.2%15.2%52.8%36.4%53.5%2.9%6.7%29.1K-1.1M-4.0K0.0091.046501,758493
2020-06-19$19.14$20.0054.5%15.6%51.9%37.6%51.4%-23.9%12.4%20.9K-988.5K-3.9K0.0091.619401,765493
2020-06-22$18.99$20.0052.1%14.9%51.7%35.3%48.9%6.4%15.1%21.1K-818.8K-3.7K0.2683.7447121,402421
2020-06-23$18.71$20.0049.0%14.0%51.8%32.4%50.2%0.4%17.2%19.0K-676.6K-3.3K0.8383.381261051,419433
2020-06-24$18.24$20.0067.2%19.3%51.8%49.5%52.8%4.7%-18.9%19.6K-670.9K-3.8K2.2997.527161,431433
2020-06-25$17.94$20.0052.4%15.0%50.8%35.6%54.0%5.3%17.4%18.6K-589.9K-3.4K0.5089.60421,423433
2020-06-26$17.74$20.0098.1%28.1%50.8%78.8%106.4%-7.2%-21.0%16.7K-611.6K-3.6K24.00115.4751201,423433
2020-06-29$18.13$20.0053.2%15.3%51.4%36.4%52.2%-3.7%17.5%13.2K-562.1K-3.6K0.6393.0732201,428542
2020-06-30$18.06$20.0042.7%12.2%51.1%26.4%46.9%-6.6%9.5%10.3K-524.9K-3.5K0.20110.693571,439562