CSV Options History — August 2020

In August 2020, CSV traded between $22.09 and $23.56. ATM implied volatility averaged 53.0%, placing in the 36.2% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded below realized volatility by 4.3% (HV 20d: 57.3%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 3.22.

Notable Days

  • 2020-08-19: Highest Volume — 1,212 contracts
  • 2020-08-25: Largest IV spike — 45.9% change
  • 2020-08-31: Highest IV Rank — 50.3%
  • 2020-08-31: Largest Expected Move — 19.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.70$22.09$23.56$22.28$22.09
Max Pain$22.38$20.00$25.00$20.00$22.50
ATM IV53.0%36.6%68.0%50.7%68.0%
Expected Move15.4%10.5%19.5%14.6%19.5%
HV 20d57.3%20.5%67.8%67.8%20.5%
HV 60d56.3%47.7%66.5%66.5%47.7%
IV Rank36.2%20.7%50.3%34.0%50.3%
IV Percentile64.9%42.1%81.0%62.3%81.0%
Term Structure-7.2%-25.8%18.8%-12.1%-21.9%
VWIV57.1%36.6%111.0%46.3%53.3%
Skew 25d2.5%-14.4%22.6%-11.6%-1.5%
Skew 10d3.3%-17.6%36.2%-11.3%7.0%
Call IV 25d46.7%31.2%62.4%48.1%57.1%
Put IV 25d49.3%30.6%70.0%36.5%55.6%
Bid-Ask Spread %105.4396.18115.4396.18109.90
Gamma HHI0.350.240.480.260.36
Net GEX16.6K4.3K31.3K10.6K7.1K
Net DEX-1.3M-1.8M-521.3K-1.3M-600.6K
Net VEX-6.4K-10.0K-3.5K-4.6K-9.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.220.0027.360.0614.67
Total Volume155.71401,2123647
Total OI2,956.9522,2424,0082,2834,008

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-08-03$22.28$20.0050.7%14.6%67.8%34.0%46.3%-11.6%-12.1%10.6K-1.3M-4.6K0.0696.183421,330953
2020-08-04$22.30$20.0058.3%16.7%67.8%41.1%54.6%-7.8%-25.8%9.5K-1.3M-4.2K0.03104.003211,321954
2020-08-05$22.40$20.0054.8%15.7%67.1%37.8%48.9%-11.9%-16.3%12.0K-1.4M-4.1K0.0998.231111,332954
2020-08-06$22.68$25.0045.6%14.6%65.7%29.2%75.7%-6.9%-12.2%11.9K-1.4M-3.5K0.17107.80611,329954
2020-08-07$23.10$25.0041.5%12.5%65.7%25.3%46.4%-4.2%-13.4%17.8K-1.6M-3.7K0.00108.547501,287955
2020-08-10$23.56$22.5058.5%18.4%65.5%41.3%58.1%-4.6%-12.5%21.0K-1.6M-3.7K0.0098.6847101,317955
2020-08-11$23.48$22.5064.6%18.7%65.7%47.2%0.0%-5.5%-17.9%27.5K-1.8M-5.6K0.03103.173711,679955
2020-08-12$23.45$22.5056.8%16.3%65.2%39.7%0.0%8.2%-13.4%28.7K-1.8M-5.8K0.0098.491001,655954
2020-08-13$23.12$22.5057.0%16.3%65.8%39.9%52.5%3.5%-17.0%28.7K-1.7M-5.4K0.3398.72311,660954
2020-08-14$22.97$22.5045.0%12.9%65.0%28.6%72.8%16.2%12.3%24.2K-1.7M-5.4K0.08106.301211,660954
2020-08-17$22.84$22.5050.8%14.6%63.8%34.1%56.7%15.3%5.2%26.1K-1.7M-5.1K0.05103.354021,667954
2020-08-18$22.52$22.5060.4%17.3%64.0%43.2%0.0%22.6%-4.8%17.7K-1.4M-4.6K0.00108.13201,627956
2020-08-19$22.85$22.5058.8%16.8%64.0%41.6%53.1%0.2%-3.6%21.5K-1.5M-5.0K1.00106.126056071,627956
2020-08-20$22.44$22.5059.1%17.0%64.2%42.0%0.0%10.6%-12.8%14.4K-1.2M-8.8K0.00105.88202,1981,561
2020-08-21$22.23$22.5043.6%12.5%63.6%27.3%40.3%15.4%18.8%4.3K-928.3K-7.8K5.55112.3011612,1991,561
2020-08-24$22.60$22.5036.6%10.5%63.2%20.7%36.6%4.6%11.8%4.8K-773.0K-7.4K0.00111.3348201,8301,301
2020-08-25$22.61$22.5053.4%15.3%63.0%36.5%50.3%15.3%-1.7%31.3K-1.4M-9.5K27.36105.40226022,3101,301
2020-08-26$22.20$22.5039.9%11.4%26.6%23.8%111.0%-0.3%14.9%11.4K-521.3K-9.5K15.00104.235752,3321,588
2020-08-27$22.59$22.5053.2%15.2%27.2%36.3%53.3%9.4%-21.9%9.1K-781.8K-10.0K0.00111.91802,3371,663
2020-08-28$22.31$22.5056.8%16.3%21.1%39.7%0.0%-14.4%-7.7%9.5K-748.0K-10.0K0.00115.43002,3451,663
2020-08-31$22.09$22.5068.0%19.5%20.5%50.3%0.0%-1.5%-21.9%7.1K-600.6K-9.7K14.67109.903442,3451,663