CSV Options History — June 2021

In June 2021, CSV traded between $36.45 and $38.93. ATM implied volatility averaged 31.4%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 8.9% (HV 20d: 22.5%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 3.82.

Notable Days

  • 2021-06-29: Highest Volume — 381 contracts
  • 2021-06-18: Largest IV spike — 78.3% change
  • 2021-06-07: Highest IV Rank — 42.0%
  • 2021-06-18: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.71$36.45$38.93$38.93$37.09
Max Pain$38.18$35.00$40.00$35.00$40.00
ATM IV31.4%19.3%53.9%27.1%36.3%
Expected Move8.5%5.5%12.4%7.8%10.4%
HV 20d22.5%19.4%25.3%23.8%19.4%
HV 60d24.2%23.4%27.6%27.6%23.9%
IV Rank14.7%0.0%42.0%6.7%24.9%
IV Percentile15.8%0.0%77.0%2.4%24.2%
Term Structure6.9%-6.6%18.8%-0.4%-1.2%
VWIV29.0%14.6%42.8%28.9%34.5%
Skew 25d8.5%-7.0%22.6%-7.0%1.0%
Skew 10d19.1%-8.8%61.6%-8.8%8.3%
Call IV 25d26.0%15.3%36.2%29.2%23.6%
Put IV 25d34.4%22.2%49.4%22.2%24.6%
Bid-Ask Spread %101.0471.90118.23110.0075.69
Gamma HHI0.430.240.690.250.48
Net GEX-10.1K-27.7K5.6K5.1K-27.7K
Net DEX227.5K-166.6K770.5K-150.8K723.9K
Net VEX-2.1K-4.4K-775-775-4.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.820.0020.001.500.00
Total Volume55.091038152
Total OI674.136489959489959

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-06-01$38.93$35.0027.1%7.8%23.8%6.7%28.9%-7.0%-0.4%5.1K-150.8K-7751.50110.0023113376
2021-06-02$38.05$35.0031.4%9.0%25.3%12.4%0.0%17.6%9.7%5.0K-127.5K-8660.00118.2301115379
2021-06-03$37.65$35.0039.3%10.0%23.8%22.7%0.0%0.2%2.1%4.1K-103.2K-9130.00110.9101115380
2021-06-04$38.08$35.0036.8%8.4%24.2%19.4%33.8%6.3%4.1%4.7K-119.9K-8710.00110.8240115380
2021-06-07$38.57$35.0053.9%6.6%24.6%42.0%0.0%2.3%7.2%4.5K-161.3K-8160.00109.6650117380
2021-06-08$38.78$35.0024.6%7.3%24.0%3.5%0.0%5.5%8.0%5.6K-166.6K-8320.00110.0810122380
2021-06-09$38.63$35.0027.5%7.9%22.2%7.2%0.0%22.0%3.4%5.3K-155.2K-8841.00110.9611121380
2021-06-10$37.91$35.0024.9%7.2%22.7%3.9%25.5%18.5%13.7%4.3K-126.8K-8190.00111.630112122381
2021-06-11$38.15$40.0019.3%5.5%22.2%0.0%22.1%22.6%9.9%-12.5K165.8K-1.3K5.00107.52210122493
2021-06-14$37.75$40.0026.3%7.5%21.4%8.9%42.8%16.0%8.0%-11.4K180.0K-1.2K11.00105.53111121483
2021-06-15$38.25$40.0025.7%7.4%21.9%8.2%0.0%3.6%10.1%-13.4K143.3K-1.2K0.00104.5230122484
2021-06-16$38.14$40.0024.3%7.0%21.7%6.3%0.0%2.5%12.8%-13.8K146.6K-1.2K0.00101.6100125484
2021-06-17$37.87$40.0024.3%7.0%21.6%6.3%0.0%8.7%7.8%-13.2K176.4K-1.1K0.00103.1800125484
2021-06-18$37.00$40.0043.2%12.4%22.5%30.4%0.0%15.6%3.3%-7.5K188.6K-1.2K0.00105.490250125484
2021-06-21$37.41$40.0040.8%11.7%22.5%27.2%30.2%21.6%8.5%-23.8K487.0K-3.7K3.0099.5526119742
2021-06-22$37.00$40.0030.3%8.7%22.8%14.0%0.0%-0.9%10.1%-21.1K602.8K-3.7K0.00109.0900120747
2021-06-23$36.45$40.0028.6%8.2%22.2%11.8%28.2%-0.9%15.1%-18.4K644.1K-3.7K5.4771.9053290120747
2021-06-24$37.26$40.0024.2%6.9%23.7%6.3%0.0%11.5%18.8%-25.0K629.0K-3.9K0.0093.0000123773
2021-06-25$37.12$40.0032.5%9.3%21.3%16.8%14.6%3.8%-6.6%-23.9K646.6K-3.9K0.0074.9470123773
2021-06-28$36.73$40.0036.3%10.4%21.5%21.6%0.0%18.0%5.5%-24.1K612.3K-4.0K20.0073.40360125773
2021-06-29$36.84$40.0034.2%9.8%20.5%21.9%34.5%-2.2%2.8%-24.2K770.5K-4.4K6.47105.2451330126833
2021-06-30$37.09$40.0036.3%10.4%19.4%24.9%0.0%1.0%-1.2%-27.7K723.9K-4.4K0.0075.6920126833