CSV Options History — September 2021

In September 2021, CSV traded between $42.77 and $48.24. ATM implied volatility averaged 33.8%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 5.5% (HV 20d: 28.3%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.77.

Notable Days

  • 2021-09-01: Highest Volume — 343 contracts
  • 2021-09-07: Largest IV spike — 81.2% change
  • 2021-09-07: Highest IV Rank — 47.6%
  • 2021-09-27: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.56$42.77$48.24$47.17$44.66
Max Pain$44.05$40.00$45.00$40.00$45.00
ATM IV33.8%22.9%51.8%36.9%34.8%
Expected Move9.3%6.6%12.4%10.6%10.0%
HV 20d28.3%24.4%32.0%25.0%26.4%
HV 60d25.5%24.4%26.8%24.5%26.0%
IV Rank21.3%5.3%47.6%25.8%22.8%
IV Percentile27.8%2.8%84.1%33.7%30.6%
Term Structure3.7%-4.4%11.9%2.4%-2.7%
VWIV31.3%23.0%42.6%30.4%33.1%
Skew 25d9.8%1.5%21.8%18.4%3.8%
Skew 10d22.4%-0.5%84.2%84.2%8.0%
Call IV 25d28.4%19.1%37.7%37.7%31.0%
Put IV 25d38.2%32.7%56.1%56.1%34.7%
Bid-Ask Spread %96.9179.00109.1493.03108.76
Gamma HHI0.320.290.400.400.30
Net GEX96.5K42.7K151.0K42.7K101.7K
Net DEX-1.5M-2.7M-608.3K-1.2M-1.5M
Net VEX-14.1K-17.6K-10.0K-10.0K-12.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.770.0019.500.060.50
Total Volume56.85703433432
Total OI2,349.0481,6922,5891,6922,379

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-09-01$47.17$40.0036.9%10.6%25.0%25.8%30.4%18.4%2.4%42.7K-1.2M-10.0K0.0693.03324196801,012
2021-09-02$48.24$40.0030.6%6.6%24.4%16.6%29.4%10.9%10.0%51.9K-2.1M-10.7K0.1187.1791108481,012
2021-09-03$48.15$40.0028.6%6.8%25.0%13.6%25.2%12.4%10.1%90.8K-2.7M-12.5K0.4693.0467311,1631,028
2021-09-07$46.89$40.0051.8%10.8%28.7%47.6%35.5%6.0%1.2%90.9K-1.9M-15.2K1.1095.3652571,2441,031
2021-09-08$46.53$45.0033.9%9.7%29.4%21.4%30.6%7.2%-1.3%91.5K-1.8M-15.9K0.0296.665811,2931,061
2021-09-09$46.67$45.0034.8%10.0%29.4%22.8%0.0%7.8%-0.7%98.0K-1.7M-14.6K0.0497.5211341,3121,114
2021-09-10$46.20$45.0027.7%7.9%29.7%12.3%0.0%1.5%10.3%110.5K-1.7M-16.2K0.0095.68501,3681,114
2021-09-13$45.58$45.0041.2%11.8%29.2%32.0%42.6%8.0%-2.6%113.2K-1.3M-17.6K19.5089.814781,4761,113
2021-09-14$45.30$45.0038.2%11.0%29.2%27.7%0.0%4.2%-4.4%127.8K-1.3M-15.9K1.5685.7232501,4761,113
2021-09-15$45.34$45.0032.1%9.2%27.9%18.7%0.0%3.2%5.4%151.0K-1.4M-16.3K5.0080.154201,4781,046
2021-09-16$45.92$45.0030.6%8.8%27.7%16.5%30.6%2.8%11.0%144.6K-2.4M-15.6K0.2179.001431,5071,008
2021-09-17$45.62$45.0036.7%10.5%27.2%25.5%31.5%17.7%1.5%94.5K-1.9M-16.7K2.63105.3519501,5031,008
2021-09-20$44.79$45.0027.2%7.8%28.2%11.6%27.7%2.4%5.9%97.7K-1.3M-12.9K0.07101.422821,374989
2021-09-21$42.77$45.0022.9%6.6%32.0%5.3%39.0%16.5%9.3%62.5K-756.2K-11.6K0.21106.852861,385982
2021-09-22$43.73$45.0030.0%8.6%31.4%15.7%27.8%11.0%11.9%81.4K-608.3K-15.2K0.17100.75611,375981
2021-09-23$44.01$45.0029.1%8.4%29.4%14.5%0.0%14.8%4.6%84.9K-1.1M-12.6K0.17103.79611,376982
2021-09-24$44.47$45.0031.1%8.9%28.6%17.4%0.0%21.8%8.4%102.4K-1.2M-14.5K0.0096.84501,386983
2021-09-27$45.22$45.0043.1%12.4%28.7%34.9%23.0%11.6%-1.1%82.1K-1.6M-13.2K0.50106.12211,392981
2021-09-28$44.64$45.0036.6%10.5%28.9%25.3%0.0%12.5%-0.9%91.8K-1.4M-13.2K0.00109.14001,397981
2021-09-29$44.82$45.0032.4%9.3%27.6%19.2%0.0%10.5%-0.5%114.7K-1.2M-12.3K0.00102.86001,398981
2021-09-30$44.66$45.0034.8%10.0%26.4%22.8%33.1%3.8%-2.7%101.7K-1.5M-12.1K0.00108.76021,398981