CSV Options History — November 2021

In November 2021, CSV traded between $48.45 and $54.32. ATM implied volatility averaged 36.2%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 12.9% (HV 20d: 49.1%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.60.

Notable Days

  • 2021-11-17: Highest Volume — 1,071 contracts
  • 2021-11-02: Largest IV spike — 51.7% change
  • 2021-11-09: Highest IV Rank — 45.8%
  • 2021-11-30: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.93$48.45$54.32$50.93$51.64
Max Pain$49.29$45.00$50.00$45.00$50.00
ATM IV36.2%28.1%50.6%29.5%45.9%
Expected Move9.8%7.3%13.1%8.5%13.1%
HV 20d49.1%29.2%53.5%48.8%31.3%
HV 60d36.6%35.6%37.6%36.0%36.5%
IV Rank24.8%13.0%45.8%14.9%38.9%
IV Percentile41.5%11.9%87.3%16.3%78.2%
Term Structure-4.1%-19.9%10.1%-0.6%6.2%
VWIV37.5%30.2%52.4%35.8%52.4%
Skew 25d3.2%-12.8%22.0%2.6%22.0%
Skew 10d8.9%-6.2%44.8%3.1%29.6%
Call IV 25d36.6%29.0%48.4%32.0%41.1%
Put IV 25d39.8%30.2%63.1%34.6%63.1%
Bid-Ask Spread %91.8680.4998.4480.4998.44
Gamma HHI0.550.450.680.530.66
Net GEX391.7K169.5K782.6K215.4K616.6K
Net DEX-6.2M-12.9M-2.3M-4.0M-9.0M
Net VEX-18.5K-33.4K-8.6K-10.7K-27.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.071.290.861.29
Total Volume369.0951741,071216174
Total OI3,667.7142,3945,2872,3945,262

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-11-01$50.93$45.0029.5%8.5%48.8%14.9%35.8%2.6%-0.6%215.4K-4.0M-10.7K0.8680.491161001,487907
2021-11-02$48.61$45.0044.7%12.8%52.3%37.2%47.5%1.0%-19.9%222.6K-2.3M-8.6K0.8396.921211001,501930
2021-11-03$48.49$45.0036.2%10.4%52.4%24.8%33.7%-4.5%-4.3%192.6K-2.4M-8.7K0.6090.96129771,502930
2021-11-04$48.45$50.0033.4%8.6%52.3%20.7%30.2%0.6%-5.9%187.4K-2.5M-9.4K1.0985.131111211,501931
2021-11-05$49.17$50.0037.8%7.3%52.5%27.1%34.2%9.4%-0.4%169.5K-3.0M-9.4K0.8890.981431261,507981
2021-11-08$49.86$50.0041.5%9.9%52.6%32.5%35.5%-1.7%-12.2%190.1K-3.4M-9.4K0.7086.611811261,504981
2021-11-09$49.57$50.0050.6%9.4%52.6%45.8%33.2%4.7%-4.9%200.7K-3.1M-9.4K0.4687.822711261,565981
2021-11-10$48.80$50.0031.4%9.0%53.0%17.7%37.4%0.6%-6.3%207.2K-2.8M-9.8K0.2792.88288781,681981
2021-11-11$50.16$50.0030.4%8.7%53.5%16.3%32.4%-4.4%-1.2%233.1K-3.8M-11.0K0.2586.02272691,698986
2021-11-12$50.62$50.0030.0%8.6%53.1%15.8%32.1%-12.8%10.1%218.0K-4.2M-11.7K0.2093.50343691,771987
2021-11-15$50.56$50.0037.3%10.7%53.0%26.4%38.0%0.2%-9.4%270.3K-4.4M-13.0K0.1594.58450692,016987
2021-11-16$51.56$50.0038.2%11.0%51.9%27.7%37.9%8.6%-4.3%324.9K-5.5M-14.5K0.1092.06698692,229987
2021-11-17$52.03$50.0031.1%8.9%51.7%17.3%30.8%8.8%6.4%430.8K-6.9M-21.7K0.0794.251,002692,922986
2021-11-18$51.61$50.0039.8%11.4%52.1%30.0%41.6%13.5%-10.7%559.8K-7.7M-25.8K0.2190.344871003,878986
2021-11-19$51.83$50.0033.6%9.6%52.0%21.0%36.6%8.8%-8.6%613.4K-9.1M-28.4K0.2292.664631014,1341,021
2021-11-22$52.83$50.0040.1%11.5%51.9%30.4%42.0%1.7%-14.8%594.1K-11.5M-33.4K0.5396.14174924,243959
2021-11-23$54.32$50.0032.5%9.3%52.3%19.3%35.5%-1.8%-4.2%699.4K-12.9M-33.0K0.6696.031671104,328959
2021-11-24$54.19$50.0031.6%9.0%51.9%18.0%33.7%-4.1%0.9%782.6K-12.8M-31.9K1.0997.5689974,311961
2021-11-26$53.11$50.0028.1%8.1%29.2%13.0%39.3%7.0%-0.6%667.9K-11.4M-32.3K1.1595.0385984,309966
2021-11-29$51.11$50.0037.1%10.6%31.2%26.0%47.3%7.7%-1.3%628.9K-7.8M-28.9K1.0790.7592984,300966
2021-11-30$51.64$50.0045.9%13.1%31.3%38.9%52.4%22.0%6.2%616.6K-9.0M-27.7K1.2998.4476984,296966