CSV Options History — December 2020

In December 2020, CSV traded between $27.70 and $31.48. ATM implied volatility averaged 41.1%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 12.6% (HV 20d: 28.6%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 2.11.

Notable Days

  • 2020-12-10: Highest Volume — 76 contracts
  • 2020-12-29: Largest IV spike — 33.1% change
  • 2020-12-01: Highest IV Rank — 34.0%
  • 2020-12-01: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.76$27.70$31.48$27.83$31.48
Max Pain$22.27$20.00$22.50$20.00$22.50
ATM IV41.1%34.7%50.7%50.7%40.0%
Expected Move11.5%9.9%14.5%14.5%11.5%
HV 20d28.6%25.8%37.0%37.0%26.0%
HV 60d32.4%30.2%35.5%35.5%30.2%
IV Rank22.8%15.4%34.0%34.0%19.0%
IV Percentile30.7%15.1%50.4%50.4%26.6%
Term Structure2.6%-14.9%15.3%-14.9%5.8%
VWIV41.5%20.0%78.1%37.2%78.1%
Skew 25d6.5%-5.9%21.3%-4.9%-0.1%
Skew 10d10.7%-3.6%26.0%26.0%-0.1%
Call IV 25d36.5%24.0%52.8%52.8%40.0%
Put IV 25d43.0%30.0%63.5%47.9%39.9%
Bid-Ask Spread %103.2093.94119.33117.35101.29
Gamma HHI0.480.350.570.350.54
Net GEX20.7K1.7K36.0K1.7K36.0K
Net DEX-771.3K-1.3M-310.1K-368.0K-1.1M
Net VEX-4.1K-4.8K-3.5K-4.8K-4.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.110.0033.006.800.00
Total Volume29.6362763933
Total OI1,918.0451,8252,0641,8252,064

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-12-01$27.83$20.0050.7%14.5%37.0%34.0%0.0%-4.9%-14.9%1.7K-368.0K-4.8K6.80117.355345881,237
2020-12-02$27.70$20.0037.4%10.7%29.2%21.4%0.0%21.3%-1.9%2.6K-310.1K-4.8K0.00119.331005931,254
2020-12-03$27.84$22.5035.3%10.0%27.9%19.5%0.0%5.4%8.1%4.4K-324.7K-4.7K0.00102.39605931,254
2020-12-04$28.61$22.5046.5%10.6%28.7%30.1%37.2%-5.9%1.9%11.9K-511.1K-4.3K0.00102.57305971,254
2020-12-07$28.64$22.5045.2%12.0%26.8%28.8%37.7%7.0%3.7%8.7K-524.5K-4.4K0.9297.6237345981,254
2020-12-08$29.23$22.5040.6%10.0%27.5%24.4%0.0%4.7%6.8%22.4K-614.2K-4.0K0.00102.06055741,254
2020-12-09$29.82$22.5039.7%11.4%28.0%23.6%39.7%4.7%2.9%17.9K-748.4K-4.0K0.50101.0948245741,259
2020-12-10$30.69$22.5048.3%13.9%29.0%31.8%45.8%5.7%-4.3%14.9K-908.4K-3.6K0.6598.6346305751,278
2020-12-11$29.66$22.5042.9%12.3%32.3%26.6%42.1%3.6%-4.4%9.2K-708.5K-3.7K0.0098.272305911,308
2020-12-14$29.47$22.5038.9%11.2%30.4%22.9%38.9%14.1%2.0%18.7K-711.6K-4.1K0.17100.911226101,291
2020-12-15$29.50$22.5038.6%11.1%27.2%22.5%38.6%4.1%-0.9%21.5K-690.6K-4.2K0.0098.062006071,293
2020-12-16$29.23$22.5036.8%10.6%27.2%18.3%36.5%5.9%0.9%21.9K-640.0K-4.3K0.00102.732706261,293
2020-12-17$29.66$22.5034.7%9.9%27.5%16.2%0.0%0.6%15.3%34.2K-740.9K-4.0K0.00102.40306451,293
2020-12-18$30.25$22.5040.8%11.7%28.2%22.2%20.0%15.0%10.9%24.8K-901.5K-4.1K0.0096.745606371,293
2020-12-21$30.02$22.5041.1%11.8%28.4%20.1%44.1%-1.1%8.2%23.0K-835.9K-4.2K0.5493.9441226511,292
2020-12-22$30.59$22.5040.6%11.6%29.0%19.6%44.2%-2.5%7.5%28.0K-971.4K-4.2K1.67104.796106711,314
2020-12-23$30.49$22.5042.4%12.1%29.0%21.4%42.3%10.7%11.8%27.2K-925.5K-4.2K0.06107.961716731,324
2020-12-24$30.81$22.5039.4%11.3%28.8%18.4%0.0%10.0%-0.7%30.0K-1.0M-3.9K0.00106.74206691,325
2020-12-28$31.45$22.5036.4%10.4%28.3%15.4%30.1%11.3%-1.0%34.5K-1.3M-3.5K0.04103.882316711,325
2020-12-29$30.91$22.5048.4%13.9%26.0%27.5%48.4%16.0%-8.6%30.0K-1.1M-3.6K0.00108.94306711,326
2020-12-30$30.90$22.5039.8%11.4%25.8%18.8%39.6%16.4%8.0%33.0K-1.1M-3.9K33.00102.792666721,326
2020-12-31$31.48$22.5040.0%11.5%26.0%19.0%78.1%-0.1%5.8%36.0K-1.1M-4.1K0.00101.293306721,392