CSV Options History — October 2021

In October 2021, CSV traded between $43.97 and $51.34. ATM implied volatility averaged 36.4%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 12.3% (HV 20d: 24.0%). Max pain ranged from $35.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.33.

Notable Days

  • 2021-10-20: Highest Volume — 453 contracts
  • 2021-10-14: Largest IV spike — 39.9% change
  • 2021-10-22: Highest IV Rank — 35.1%
  • 2021-10-22: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.37$43.97$51.34$45.12$51.34
Max Pain$39.05$35.00$45.00$45.00$40.00
ATM IV36.4%24.7%43.3%40.8%40.0%
Expected Move10.6%8.1%12.4%11.7%11.5%
HV 20d24.0%15.7%48.9%25.1%48.9%
HV 60d26.1%24.6%35.9%25.6%35.9%
IV Rank25.0%7.9%35.1%31.5%30.3%
IV Percentile40.7%5.2%70.6%55.6%56.3%
Term Structure-4.8%-18.1%4.6%-13.5%-4.3%
VWIV39.6%30.2%53.3%33.8%39.7%
Skew 25d6.1%-9.3%21.6%7.8%12.3%
Skew 10d14.3%-5.1%43.4%10.8%4.1%
Call IV 25d38.9%22.5%56.0%31.7%30.9%
Put IV 25d45.0%27.5%57.9%39.5%43.1%
Bid-Ask Spread %98.1170.16123.29123.29104.90
Gamma HHI0.360.300.510.310.47
Net GEX119.2K63.7K289.7K101.3K183.1K
Net DEX-1.4M-4.0M-487.2K-1.4M-4.0M
Net VEX-10.4K-13.1K-8.1K-13.1K-10.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.003.000.000.23
Total Volume156.857045322430
Total OI2,343.4762,1582,4842,3792,319

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-10-01$45.12$45.0040.8%11.7%25.1%31.5%0.0%7.8%-13.5%101.3K-1.4M-13.1K0.00123.292201,398981
2021-10-04$44.65$40.0042.6%11.3%25.3%34.1%0.0%21.6%-0.6%100.8K-1.4M-12.5K0.00107.581501,400983
2021-10-05$44.98$40.0040.5%10.3%24.1%31.0%0.0%2.0%4.6%116.9K-1.4M-11.8K0.00102.88101,400983
2021-10-06$45.05$40.0037.4%11.0%24.0%26.5%0.0%4.0%-3.8%127.3K-1.3M-10.6K0.0092.54001,395983
2021-10-07$45.59$40.0041.8%12.3%24.4%32.9%0.0%5.4%-2.0%104.0K-1.5M-13.1K0.0094.201001,396983
2021-10-08$45.73$40.0036.9%11.2%24.2%25.7%0.0%4.5%-4.7%109.5K-1.6M-11.0K0.0091.79001,396983
2021-10-11$45.66$40.0024.7%9.1%23.7%7.9%33.8%1.4%-0.8%192.2K-1.7M-10.8K0.0099.721001,396983
2021-10-12$45.52$40.0032.6%11.9%23.7%19.5%40.9%3.4%-7.0%161.0K-1.4M-10.7K0.0098.3010601,396983
2021-10-13$45.25$40.0028.2%8.1%23.8%13.1%0.0%-4.2%2.6%159.5K-1.4M-10.7K1.00119.41111,396983
2021-10-14$45.05$40.0039.4%11.3%23.3%29.5%0.0%5.6%-6.3%289.7K-1.8M-9.8K3.0087.577211,501983
2021-10-15$44.45$40.0031.5%9.0%23.7%17.8%53.3%8.0%1.5%75.6K-804.1K-10.7K0.3198.3739121,500983
2021-10-18$45.24$40.0028.3%8.1%23.7%13.2%0.0%1.7%-8.5%88.2K-1.0M-8.5K0.00104.1314001,273885
2021-10-19$44.09$35.0038.9%11.1%19.0%28.7%0.0%5.4%-4.7%65.1K-993.1K-8.7K0.0092.54101,273895
2021-10-20$44.03$35.0029.6%8.5%17.3%15.1%30.2%11.5%2.0%69.3K-738.2K-11.6K0.1799.12388651,378895
2021-10-21$44.32$35.0037.9%10.9%17.3%27.2%39.9%18.0%-11.3%71.7K-1.0M-9.7K0.1796.55387651,408895
2021-10-22$44.24$35.0043.3%12.4%16.9%35.1%39.8%2.9%-6.6%79.3K-796.3K-8.1K0.2790.17248661,411895
2021-10-25$43.99$35.0039.4%11.3%15.8%29.5%40.4%15.7%-18.1%68.5K-487.2K-8.9K0.2989.64248721,420895
2021-10-26$44.47$40.0036.8%10.5%15.7%25.6%40.4%16.1%-9.4%89.4K-1.0M-8.6K0.2998.51248711,421901
2021-10-27$43.97$40.0033.3%9.5%16.1%20.5%40.0%-9.3%-6.8%63.7K-827.1K-8.7K0.2970.16248711,431901
2021-10-28$49.95$40.0039.8%11.4%48.3%30.1%37.2%-5.9%-3.4%187.0K-3.3M-10.2K0.3198.93230711,431901
2021-10-29$51.34$40.0040.0%11.5%48.9%30.3%39.7%12.3%-4.3%183.1K-4.0M-10.6K0.23104.90351791,423896