CSV Options History — July 2020

In July 2020, CSV traded between $17.16 and $23.28. ATM implied volatility averaged 52.0%, placing in the 35.2% IV rank vs the trailing year. The 30-day expected move averaged 16.2%. IV traded above realized volatility by 14.7% (HV 20d: 37.3%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 3.65.

Notable Days

  • 2020-07-29: Highest Volume — 550 contracts
  • 2020-07-10: Largest IV spike — 125.9% change
  • 2020-07-14: Highest IV Rank — 66.3%
  • 2020-07-06: Largest Expected Move — 23.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.95$17.16$23.28$17.95$21.91
Max Pain$18.98$17.50$20.00$20.00$20.00
ATM IV52.0%23.4%84.9%34.4%47.6%
Expected Move16.2%9.2%23.0%9.9%13.6%
HV 20d37.3%24.9%67.8%43.8%67.8%
HV 60d66.4%57.2%70.2%70.2%66.5%
IV Rank35.2%8.2%66.3%18.6%31.0%
IV Percentile63.5%9.9%92.1%39.7%59.1%
Term Structure5.0%-26.7%72.7%29.8%-14.4%
VWIV60.7%30.9%134.9%30.9%47.7%
Skew 25d4.7%-31.8%38.6%-5.3%-4.6%
Skew 10d9.4%-16.8%34.1%8.9%5.2%
Call IV 25d67.1%42.7%156.6%46.8%52.3%
Put IV 25d71.8%32.9%169.6%41.5%47.7%
Bid-Ask Spread %87.5652.80118.8192.5294.33
Gamma HHI0.260.180.420.220.25
Net GEX8.6K-7.7K29.5K10.1K9.0K
Net DEX-660.3K-2.1M-101.4K-461.3K-1.2M
Net VEX-3.4K-4.5K-2.8K-3.7K-3.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.650.0030.000.100.51
Total Volume122.955455023171
Total OI2,088.1361,3882,5211,9962,274

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-07-01$17.95$20.0034.4%9.9%43.8%18.6%0.0%-5.3%29.8%10.1K-461.3K-3.7K0.1092.522121,434562
2020-07-02$17.65$20.0032.3%9.2%42.2%16.6%30.9%-9.8%72.7%4.2K-354.4K-3.3K0.98112.3764631,427564
2020-07-06$17.87$20.0049.8%23.0%41.1%33.1%134.9%13.1%-26.7%6.4K-396.4K-3.3K0.82118.811301071,464677
2020-07-07$17.89$20.0030.3%17.9%35.2%14.7%65.1%20.8%-13.4%-7.7K-256.5K-2.9K0.00114.882501,465745
2020-07-08$17.58$17.5053.6%18.4%35.3%36.7%65.9%38.6%-10.4%-504-203.6K-3.1K0.00113.81401,482745
2020-07-09$17.16$17.5023.4%22.6%33.9%8.2%84.7%-31.8%-18.9%2.5K-101.4K-3.0K1.00101.5256561,484745
2020-07-10$17.49$17.5052.9%17.5%24.9%36.1%60.4%1.5%-7.7%-6.9K-113.1K-3.3K0.6392.44851,523799
2020-07-13$17.99$17.5077.6%18.8%25.9%59.4%58.3%15.7%10.5%4.8K-372.5K-3.3K0.0487.042811,525803
2020-07-14$18.07$17.5084.9%18.0%25.3%66.3%63.1%5.8%-10.6%-765-374.4K-3.1K0.0985.482321,547788
2020-07-15$18.77$17.5059.8%17.1%28.6%42.6%66.9%16.9%-8.7%12.4K-578.1K-2.9K0.2087.50240471,570790
2020-07-16$18.94$17.5041.3%11.8%28.3%25.1%48.7%15.5%40.3%15.9K-633.8K-3.1K0.0091.062701,705790
2020-07-17$18.52$17.5063.4%18.2%29.0%46.0%67.2%1.8%3.0%16.8K-605.6K-3.1K8.0065.932161,731790
2020-07-20$18.03$17.5066.8%19.2%30.3%49.2%56.3%18.0%12.9%14.1K-701.1K-2.8K3.5087.2412421,181207
2020-07-21$18.61$20.0056.9%16.3%32.6%39.8%53.1%8.2%7.4%13.8K-767.7K-2.9K2.6284.9921551,190259
2020-07-22$18.70$20.0055.3%15.8%32.3%38.3%55.7%-2.1%12.6%11.9K-729.2K-3.0K30.0063.153901,209314
2020-07-23$19.29$20.0055.1%15.8%32.6%38.2%58.9%0.5%-0.7%10.6K-776.7K-3.3K2.1075.7531651,212404
2020-07-24$18.86$20.0058.8%16.9%33.1%41.6%62.1%-7.0%1.0%9.2K-674.9K-3.4K28.8976.3092601,235469
2020-07-27$19.39$20.0051.9%14.9%33.9%35.2%54.8%1.7%4.6%-2.0K-473.9K-3.8K0.1452.80236321,244739
2020-07-28$19.83$20.0057.0%16.4%33.9%40.0%58.7%-1.4%4.3%11.7K-859.4K-4.5K0.3956.11101391,453769
2020-07-29$23.28$20.0043.4%12.4%64.7%27.1%40.6%2.0%20.5%29.5K-2.1M-4.3K0.2584.064411091,532799
2020-07-30$23.01$20.0046.9%13.4%64.9%30.4%40.1%5.5%1.7%24.6K-1.8M-4.1K0.1588.315381,402892
2020-07-31$21.91$20.0047.6%13.6%67.8%31.0%47.7%-4.6%-14.4%9.0K-1.2M-3.9K0.5194.33113581,376898