CSV Options History — December 2021

In December 2021, CSV traded between $52.53 and $65.90. ATM implied volatility averaged 36.2%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 4.6% (HV 20d: 31.6%). Max pain ranged from $35.00 to $55.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.96.

Notable Days

  • 2021-12-15: Highest Volume — 621 contracts
  • 2021-12-03: Largest IV spike — 59.9% change
  • 2021-12-14: Highest IV Rank — 50.9%
  • 2021-12-03: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.00$52.53$65.90$52.53$65.03
Max Pain$47.05$35.00$55.00$50.00$55.00
ATM IV36.2%25.1%54.1%37.9%25.1%
Expected Move9.6%7.2%14.0%10.9%7.2%
HV 20d31.6%26.3%35.0%26.3%29.1%
HV 60d37.4%36.2%38.3%36.2%37.7%
IV Rank24.7%8.5%50.9%27.2%8.5%
IV Percentile42.6%6.3%92.1%50.8%6.3%
Term Structure3.0%-15.6%13.1%-13.9%9.8%
VWIV36.0%26.8%66.9%43.6%26.8%
Skew 25d1.6%-4.4%13.1%4.8%-2.5%
Skew 10d5.7%-7.2%20.7%16.1%-3.8%
Call IV 25d35.8%28.4%62.1%41.8%30.9%
Put IV 25d37.4%28.4%57.7%46.6%28.4%
Bid-Ask Spread %85.6273.40107.7394.4385.02
Gamma HHI0.690.260.890.640.26
Net GEX522.3K109.4K744.6K625.1K109.4K
Net DEX-18.4M-25.0M-10.5M-10.5M-25.0M
Net VEX-21.8K-30.3K-6.6K-29.6K-9.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.391.580.910.93
Total Volume228.909121621201403
Total OI5,261.5454,8815,8095,2775,237

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-12-01$52.53$50.0037.9%10.9%26.3%27.2%43.6%4.8%-13.9%625.1K-10.5M-29.6K0.9194.43105964,311966
2021-12-02$54.20$50.0030.5%8.7%27.9%16.4%34.6%2.2%3.7%682.7K-13.3M-29.4K0.6699.03145964,336969
2021-12-03$53.23$50.0048.7%14.0%29.1%43.1%66.9%-4.4%-15.6%582.5K-12.1M-30.3K0.80107.73120964,335969
2021-12-06$54.63$35.0038.2%10.0%29.8%27.7%38.0%13.1%-2.8%680.6K-13.4M-28.3K1.1081.8087964,320969
2021-12-07$55.46$35.0032.9%7.4%29.9%19.9%29.8%3.5%4.9%744.6K-15.6M-27.0K0.6082.611681014,326969
2021-12-08$57.37$35.0034.2%9.3%31.2%21.8%27.7%10.1%2.2%664.2K-18.2M-27.1K0.8789.531181034,417972
2021-12-09$55.51$35.0028.7%8.7%33.4%13.8%32.3%-3.0%-0.0%722.4K-16.0M-27.5K1.1879.09901064,444974
2021-12-10$56.08$35.0043.8%9.1%32.5%35.8%38.1%-0.2%0.0%744.6K-16.5M-27.5K1.2878.68821054,443978
2021-12-13$56.41$35.0044.7%9.2%32.5%37.2%33.9%0.6%1.6%724.4K-17.1M-25.7K1.4475.74731054,444981
2021-12-14$55.86$35.0054.1%9.2%32.9%50.9%34.7%0.9%-1.3%700.3K-16.1M-25.9K1.5882.61711124,452981
2021-12-15$57.73$35.0034.4%9.9%34.0%22.1%36.5%-0.4%1.2%632.4K-18.8M-24.3K1.3073.402703514,454988
2021-12-16$58.43$55.0031.3%9.0%34.0%17.5%33.3%4.7%2.5%608.5K-19.9M-25.4K0.9385.611171094,5331,242
2021-12-17$59.49$55.0034.7%10.0%33.9%22.6%36.5%0.4%6.8%555.8K-20.8M-25.3K1.4183.991041474,5701,239
2021-12-20$59.41$55.0036.9%10.6%34.0%25.7%36.9%-1.5%6.0%512.6K-16.7M-23.4K0.8484.9670593,8211,062
2021-12-21$60.81$55.0034.0%9.7%34.2%21.5%35.6%2.4%8.4%488.8K-18.2M-21.4K1.1279.9457643,8221,063
2021-12-22$63.02$55.0038.0%10.9%35.0%27.4%38.0%3.1%0.7%368.9K-20.6M-16.7K0.8284.5484693,8121,069
2021-12-23$63.03$55.0034.0%9.8%34.9%21.6%34.7%0.2%12.6%360.0K-21.4M-14.3K1.1589.6260693,8441,075
2021-12-27$63.81$55.0036.3%10.4%33.3%24.9%35.0%-0.8%7.1%305.7K-22.3M-11.3K0.3983.06194763,8501,073
2021-12-28$65.23$55.0031.9%9.1%28.5%18.5%33.2%-3.7%13.1%225.5K-24.4M-6.6K0.4392.25180783,9801,085
2021-12-29$65.90$55.0033.9%9.7%28.5%21.4%34.7%3.1%8.1%230.6K-24.5M-12.6K0.7185.43111794,1011,081
2021-12-30$64.91$55.0031.4%9.0%30.0%17.7%31.1%2.9%10.8%222.2K-24.2M-12.1K0.7184.64123874,1151,082
2021-12-31$65.03$55.0025.1%7.2%29.1%8.5%26.8%-2.5%9.8%109.4K-25.0M-9.0K0.9385.022091944,1471,090