CSV Options History — August 2021

In August 2021, CSV traded between $36.69 and $46.22. ATM implied volatility averaged 32.5%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 10.2% (HV 20d: 22.4%). 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 11 of 22 days. Put/call ratio averaged 0.51.

Notable Days

  • 2021-08-27: Highest Volume — 507 contracts
  • 2021-08-11: Largest IV drop — 50.8% change
  • 2021-08-03: Highest IV Rank — 40.9%
  • 2021-08-03: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.13$36.69$46.22$36.69$46.22
Max Pain$36.82$35.00$40.00$35.00$40.00
ATM IV32.5%21.6%47.2%34.2%33.2%
Expected Move8.8%6.2%13.5%9.8%9.5%
HV 20d22.4%18.6%25.8%24.1%25.3%
HV 60d22.5%21.0%24.3%22.2%24.3%
IV Rank19.4%3.3%40.9%21.8%20.3%
IV Percentile22.7%0.4%67.9%18.7%20.2%
Term Structure-1.4%-30.8%16.3%2.7%-9.2%
VWIV34.8%13.4%103.5%103.5%25.3%
Skew 25d6.9%-14.2%34.7%18.7%-0.6%
Skew 10d12.0%-22.0%58.6%54.8%3.2%
Call IV 25d27.9%15.3%40.7%21.5%35.6%
Put IV 25d34.8%22.5%57.0%40.2%35.0%
Bid-Ask Spread %105.6294.54118.01111.2894.54
Gamma HHI0.500.350.870.660.35
Net GEX17.1K-32.8K526.9K-28.9K51.9K
Net DEX177.2K-1.4M770.3K579.2K-1.4M
Net VEX-8.0K-9.8K-4.9K-9.8K-7.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.007.650.010.00
Total Volume54.364050790182
Total OI1,158.8641,0781,5691,1671,569

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-08-02$36.69$35.0034.2%9.8%24.1%21.8%103.5%18.7%2.7%-28.9K579.2K-9.8K0.01111.28891334833
2021-08-03$36.91$35.0047.2%13.5%22.3%40.9%0.0%34.7%-30.8%-29.3K599.3K-9.5K0.00118.0100342833
2021-08-04$36.87$35.0040.9%11.7%21.7%31.6%13.4%27.2%-10.0%-28.7K630.5K-9.1K0.00101.0420300834
2021-08-05$36.69$35.0046.6%9.7%20.4%40.0%0.0%11.8%-9.8%-32.8K770.3K-9.0K0.00104.7800300834
2021-08-06$36.98$35.0044.7%9.4%20.5%37.2%0.0%5.6%-1.5%-21.8K744.0K-9.0K0.00104.6510299834
2021-08-09$37.36$35.0032.7%8.7%18.9%19.7%25.7%5.8%1.7%-20.8K644.6K-8.9K0.0097.0510299834
2021-08-10$37.90$35.0043.8%9.2%18.6%35.9%26.3%10.2%3.5%-19.5K519.5K-8.7K0.00102.51180300834
2021-08-11$38.58$35.0021.6%6.2%19.0%3.3%20.6%9.1%16.3%-7.9K347.0K-8.4K1.00114.2622301834
2021-08-12$39.51$35.0024.7%7.1%20.2%7.9%26.5%3.2%-2.4%9.9K150.5K-8.2K0.00108.8890317834
2021-08-13$38.81$35.0027.7%7.9%21.6%12.3%0.0%2.9%1.0%-5.2K228.3K-8.3K0.00109.0800318835
2021-08-16$39.61$35.0035.9%10.3%22.1%24.4%0.0%-7.9%-7.1%-1.4K187.7K-8.2K0.00110.6500323835
2021-08-17$38.92$35.0022.6%6.5%21.5%4.9%0.0%-0.4%8.6%1.3K288.8K-8.3K0.00106.1810323835
2021-08-18$39.64$35.0031.8%9.1%21.7%18.4%33.4%-4.8%-1.9%3.3K133.3K-8.0K0.12105.639411323835
2021-08-19$39.16$35.0022.7%6.5%21.7%5.0%0.0%6.7%-3.2%14.4K276.3K-8.1K0.00102.7520322835
2021-08-20$40.02$40.0024.8%7.1%22.4%8.1%0.0%8.3%2.6%526.9K82.2K-8.1K0.14107.3171409846
2021-08-23$41.28$40.0032.1%9.2%23.7%18.8%42.0%31.0%3.6%-16.7K125.0K-7.9K0.01108.41701299835
2021-08-24$42.45$40.0031.3%9.0%24.5%17.7%40.3%7.5%12.0%-15.3K-170.8K-6.7K0.20106.1751302835
2021-08-25$43.83$40.0026.6%7.6%25.8%10.7%27.9%2.1%-0.7%-970-59.4K-6.6K0.00102.69310242836
2021-08-26$44.77$40.0029.2%8.4%25.7%14.5%30.1%-3.8%5.0%-5.3K-199.1K-6.0K0.00104.37110244836
2021-08-27$45.49$40.0035.2%10.1%25.6%23.3%37.1%-0.6%-14.9%357-247.2K-5.9K0.1194.9945651244836
2021-08-30$45.16$40.0026.2%7.5%24.9%10.2%25.3%-14.2%3.8%2.1K-344.0K-4.9K7.65108.4017130246836
2021-08-31$46.22$40.0033.2%9.5%25.3%20.3%0.0%-0.6%-9.2%51.9K-1.4M-7.4K0.0094.541820682887