CSV Options History — October 2020

In October 2020, CSV traded between $22.49 and $25.85. ATM implied volatility averaged 49.7%, placing in the 33.1% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded above realized volatility by 16.9% (HV 20d: 32.9%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 2.19.

Notable Days

  • 2020-10-23: Highest Volume — 368 contracts
  • 2020-10-14: Largest IV spike — 43.6% change
  • 2020-10-26: Highest IV Rank — 48.4%
  • 2020-10-26: Largest Expected Move — 18.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.13$22.49$25.85$22.49$25.85
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV49.7%38.0%66.0%38.0%42.6%
Expected Move14.9%10.9%18.9%10.9%12.2%
HV 20d32.9%25.8%41.6%38.9%30.6%
HV 60d41.1%29.6%46.8%46.5%31.4%
IV Rank33.1%22.0%48.4%22.0%26.4%
IV Percentile54.2%34.5%78.2%36.9%40.1%
Term Structure-3.0%-22.7%22.3%10.4%13.5%
VWIV49.3%27.1%62.4%27.1%42.6%
Skew 25d3.8%-9.4%26.7%3.6%4.2%
Skew 10d4.5%-25.5%24.1%1.5%1.0%
Call IV 25d44.4%28.9%62.8%28.9%33.1%
Put IV 25d48.3%32.5%65.2%32.5%37.4%
Bid-Ask Spread %99.1074.49115.6592.94109.56
Gamma HHI0.370.290.530.400.35
Net GEX-4.2K-63.8K131.2K-63.8K-9.8K
Net DEX-458.3K-1.6M401.6K401.6K-452.5K
Net VEX-6.5K-10.3K-3.1K-9.7K-3.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.190.0024.0024.000.00
Total Volume60.36403682517
Total OI3,744.2272,0225,1375,1092,148

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-10-01$22.49$22.5038.0%10.9%38.9%22.0%27.1%3.6%10.4%-63.8K401.6K-9.7K24.0092.941242,5572,552
2020-10-02$23.25$22.5047.0%13.5%40.1%30.5%42.8%13.7%22.3%-19.6K-356.0K-10.3K0.00102.532702,5572,577
2020-10-05$24.07$22.5042.0%15.1%41.6%25.8%49.9%7.0%-13.3%-23.1K-1.2M-8.5K0.7295.10109782,5602,577
2020-10-06$23.69$22.5057.8%12.8%41.5%40.7%50.7%-3.7%-4.0%2.0K-802.1K-9.1K0.00115.65102,5042,584
2020-10-07$23.56$22.5044.0%16.6%41.5%27.7%0.0%20.2%-10.0%-6.0K-726.3K-9.2K1.3891.0942582,5052,584
2020-10-08$23.93$22.5042.2%16.1%40.7%25.9%0.0%1.8%-10.2%131.2K-1.5M-8.0K0.0079.11002,5352,584
2020-10-09$23.95$22.5038.8%15.4%39.8%22.8%0.0%5.2%-19.5%-2.1K-1.2M-7.7K0.04110.5012052,5352,584
2020-10-12$24.30$22.5051.4%17.0%35.7%34.6%0.0%-3.8%-13.7%84.9K-1.6M-7.4K0.00106.23102,5252,589
2020-10-13$23.89$22.5041.9%11.7%30.3%25.7%0.0%7.3%-11.9%52.9K-880.5K-6.4K5.0090.67152,5252,589
2020-10-14$23.58$22.5060.1%17.2%30.9%42.9%0.0%-7.4%-16.1%-30.3K-547.1K-6.6K0.0099.46402,5242,594
2020-10-15$23.93$22.5060.5%17.3%29.5%43.2%0.0%1.6%11.6%46.0K-1.0M-6.5K0.00113.03002,5242,594
2020-10-16$24.09$22.5054.3%15.6%29.4%37.3%52.2%2.6%-8.5%-29.0K-742.8K-5.6K0.62100.9458362,5242,594
2020-10-19$23.77$22.5053.1%15.2%29.4%36.2%51.3%-1.4%-9.5%-30.3K304.5K-5.5K3.6392.118296071,415
2020-10-20$23.84$22.5052.5%15.0%26.3%35.7%58.5%-2.7%4.7%-33.9K302.7K-5.6K2.6398.238216041,434
2020-10-21$23.98$22.5053.5%15.3%25.8%36.6%55.4%-8.7%-1.9%-28.9K202.3K-5.5K0.0097.330326241,454
2020-10-22$24.51$22.5048.7%14.0%26.1%32.1%61.0%26.7%2.9%-24.9K61.0K-5.3K3.09102.8911346241,479
2020-10-23$24.76$22.5054.6%15.6%26.1%37.7%53.7%3.4%7.4%-22.9K6.0K-5.4K0.0891.79342266341,500
2020-10-26$23.97$22.5066.0%18.9%27.7%48.4%62.4%3.3%-22.7%-31.6K291.5K-5.3K0.00101.381905641,519
2020-10-27$24.24$22.5062.9%18.0%27.3%45.5%56.7%-9.4%-7.1%-30.7K177.4K-5.2K0.2574.4944115821,519
2020-10-28$25.57$22.5042.7%12.3%32.1%26.5%40.3%9.3%3.3%-14.1K-423.9K-3.1K0.24114.7093226131,521
2020-10-29$25.56$22.5040.0%11.5%32.1%23.8%34.1%11.4%7.5%-8.6K-412.7K-3.8K0.00100.564106271,528
2020-10-30$25.85$22.5042.6%12.2%30.6%26.4%42.6%4.2%13.5%-9.8K-452.5K-3.3K0.00109.561706201,528