CSV Options History — September 2020

In September 2020, CSV traded between $20.37 and $22.56. ATM implied volatility averaged 45.6%, placing in the 29.1% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 15.4% (HV 20d: 30.1%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 3.41.

Notable Days

  • 2020-09-08: Highest Volume — 377 contracts
  • 2020-09-17: Largest IV spike — 54.7% change
  • 2020-09-03: Highest IV Rank — 43.6%
  • 2020-09-01: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.58$20.37$22.56$22.27$22.23
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV45.6%33.5%60.8%59.8%41.8%
Expected Move12.8%9.6%17.1%17.1%12.0%
HV 20d30.1%19.3%39.0%20.7%39.0%
HV 60d45.5%43.3%46.7%46.6%46.7%
IV Rank29.1%17.7%43.6%42.6%25.6%
IV Percentile48.9%25.0%75.0%74.2%42.5%
Term Structure-1.5%-26.2%7.9%-26.2%7.9%
VWIV43.9%30.3%68.2%62.9%47.1%
Skew 25d2.8%-15.1%28.6%-12.6%-5.4%
Skew 10d1.7%-26.3%39.0%1.1%-10.0%
Call IV 25d41.9%30.2%55.9%53.7%50.7%
Put IV 25d44.7%24.2%62.2%41.1%45.3%
Bid-Ask Spread %97.1787.31114.57112.3897.53
Gamma HHI0.380.330.440.360.40
Net GEX-27.5K-68.4K17.9K8.5K-57.2K
Net DEX412.7K-1.1M1.6M-738.2K725.4K
Net VEX-9.2K-10.5K-7.7K-9.6K-9.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.410.0014.630.004.83
Total Volume93.1903773335
Total OI4,590.3814,0555,0794,0555,079

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-09-01$22.27$22.5059.8%17.1%20.7%42.6%62.9%-12.6%-26.2%8.5K-738.2K-9.6K0.00112.383302,3481,707
2020-09-02$22.56$22.5049.8%14.3%21.2%33.1%0.0%28.6%1.1%17.9K-1.1M-9.5K0.00114.57602,3641,707
2020-09-03$22.16$22.5060.8%14.0%21.6%43.6%68.2%7.7%-1.6%9.0K-759.5K-9.3K0.00101.39802,3581,707
2020-09-04$22.08$22.5057.0%16.6%20.4%40.0%0.0%-6.7%-15.7%5.6K-673.9K-9.2K0.0098.10002,3611,707
2020-09-08$21.69$22.5041.2%9.9%19.3%25.0%41.3%2.4%7.7%-3.3K-274.3K-7.7K1.6091.211452322,3611,707
2020-09-09$21.92$22.5047.8%13.7%20.0%31.3%50.2%9.1%0.8%-1.8K-219.1K-9.9K1.0095.82552,4701,932
2020-09-10$21.47$22.5051.2%14.7%20.9%34.4%45.4%3.5%-9.5%-13.0K127.1K-9.3K0.9495.8916152,4681,937
2020-09-11$21.08$22.5043.2%12.4%21.2%26.9%43.0%-1.1%2.3%-24.5K407.9K-9.0K11.8295.86111302,4821,982
2020-09-14$22.26$22.5047.1%13.5%29.8%30.6%49.2%5.6%0.3%-11.5K-131.5K-10.0K5.0091.582102,4912,137
2020-09-15$21.15$22.5041.4%11.9%34.6%25.2%35.0%-6.4%-2.1%-37.4K637.9K-8.6K0.3787.31109402,4912,137
2020-09-16$21.43$22.5034.8%10.0%34.9%19.0%38.1%2.3%7.3%-40.3K568.2K-8.6K1.0794.3814152,4692,192
2020-09-17$20.98$22.5053.9%15.4%34.9%37.0%0.0%9.7%7.5%-12.8K753.6K-8.3K14.6394.48192782,4712,207
2020-09-18$21.26$22.5047.5%13.6%35.0%31.0%38.2%-4.0%-1.4%-31.9K822.1K-9.7K0.3895.6655212,4882,482
2020-09-21$20.98$22.5042.3%12.1%35.2%26.0%0.0%9.3%2.1%-39.2K1.2M-8.3K10.5593.17222322,4202,060
2020-09-22$20.37$22.5044.3%12.7%35.6%28.0%30.3%15.7%-7.0%-47.3K1.6M-8.3K8.41105.09342862,4362,292
2020-09-23$20.81$22.5041.9%12.0%36.8%25.7%42.4%1.2%-5.3%-57.7K1.6M-9.5K4.0092.27142,4692,501
2020-09-24$21.14$22.5042.4%12.2%37.0%26.2%40.4%1.9%2.9%-60.1K1.4M-9.7K0.0090.22102,4642,501
2020-09-25$21.35$22.5033.5%9.6%36.6%17.7%35.0%8.6%6.4%-68.4K1.3M-9.5K0.0094.501102,4642,501
2020-09-28$22.10$22.5036.1%10.4%38.7%20.2%36.2%-15.1%-3.4%-49.0K536.2K-10.5K0.17103.18138242,4682,501
2020-09-29$21.88$22.5038.6%11.1%38.7%22.6%0.0%4.9%-5.2%-62.6K877.4K-9.8K0.0095.93002,5522,527
2020-09-30$22.23$22.5041.8%12.0%39.0%25.6%47.1%-5.4%7.9%-57.2K725.4K-9.9K4.8397.536292,5522,527