CSV Options History — March 2022

In March 2022, CSV traded between $50.07 and $56.20. ATM implied volatility averaged 36.5%, placing in the 34.0% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 8.7% (HV 20d: 27.8%). Max pain ranged from $45.00 to $60.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 0.89.

Notable Days

  • 2022-03-14: Highest Volume — 1,118 contracts
  • 2022-03-04: Largest IV spike — 40.0% change
  • 2022-03-07: Highest IV Rank — 67.1%
  • 2022-03-07: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.87$50.07$56.20$50.07$53.61
Max Pain$49.17$45.00$60.00$45.00$50.00
ATM IV36.5%25.8%53.3%39.8%26.9%
Expected Move11.4%9.5%15.3%11.4%9.5%
HV 20d27.8%26.0%30.3%26.0%28.8%
HV 60d32.4%30.4%33.8%33.7%30.8%
IV Rank34.0%13.0%67.1%40.4%15.1%
IV Percentile46.1%7.5%91.3%60.3%9.5%
Term Structure3.8%-8.2%16.5%3.6%4.0%
VWIV38.6%29.7%52.6%38.5%35.3%
Skew 25d6.0%-4.3%18.1%5.1%12.9%
Skew 10d8.6%-4.5%18.9%12.5%17.9%
Call IV 25d34.2%26.0%40.9%38.8%28.3%
Put IV 25d40.1%31.3%51.6%43.9%41.1%
Bid-Ask Spread %97.3382.27108.83104.0287.45
Gamma HHI0.400.330.570.360.40
Net GEX393.8K182.8K648.1K202.3K448.9K
Net DEX-5.8M-14.3M-1.4M-1.4M-5.8M
Net VEX-18.8K-22.5K-14.1K-15.7K-16.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.301.930.361.90
Total Volume704.6523911,118970400
Total OI4,1643,2395,4123,3194,078

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-03-01$50.07$45.0039.8%11.4%26.0%40.4%38.5%5.1%3.6%202.3K-1.4M-15.7K0.36104.027132572,902417
2022-03-02$51.03$45.0033.3%9.5%26.8%27.7%37.7%1.0%12.8%182.8K-1.4M-14.1K0.3199.878202572,819420
2022-03-03$50.11$45.0036.7%10.5%27.4%34.4%37.3%-0.5%2.5%226.5K-1.4M-14.7K0.31108.668202572,999420
2022-03-04$51.32$45.0051.4%14.7%28.4%63.4%46.3%-4.3%16.5%219.8K-2.1M-16.8K0.30102.718482572,999420
2022-03-07$50.95$45.0053.3%15.3%28.6%67.1%44.5%5.5%2.1%241.2K-2.6M-18.3K0.32108.837952573,181421
2022-03-08$50.94$45.0042.4%14.9%27.4%45.6%52.6%1.3%-3.8%259.9K-2.6M-17.4K0.32107.217972573,237421
2022-03-09$50.57$45.0039.9%10.4%27.1%40.8%37.2%0.1%-1.5%343.4K-2.9M-17.6K0.4195.616252573,559421
2022-03-10$51.74$45.0037.6%12.2%26.8%36.2%41.7%14.3%0.8%531.0K-4.6M-19.0K0.37100.736862573,877421
2022-03-11$51.32$45.0036.3%13.7%26.0%33.6%45.4%3.4%4.0%490.9K-5.5M-20.9K0.61102.234192574,189421
2022-03-14$52.70$60.0031.9%11.5%26.9%24.9%31.1%11.6%15.6%483.5K-6.5M-19.6K0.3082.448612574,189421
2022-03-15$53.67$60.0033.1%11.2%27.4%27.2%29.7%18.1%4.8%473.6K-10.0M-21.4K0.6585.153922564,741421
2022-03-16$54.45$60.0035.6%11.3%27.4%32.3%37.8%14.5%5.1%554.4K-11.2M-22.5K0.7482.273472564,867421
2022-03-17$54.30$0.0025.8%11.3%27.0%13.0%0.0%4.2%13.5%648.1K-11.8M-20.7K0.9395.942742564,977421
2022-03-18$56.20$0.0031.2%11.4%26.1%23.6%0.0%8.7%8.5%416.7K-14.3M-21.6K0.8395.943092574,990422
2022-03-21$55.18$0.0034.1%9.7%27.5%29.3%0.0%4.5%1.3%400.8K-7.0M-21.1K0.83102.882972483,603405
2022-03-22$55.28$0.0033.0%9.6%27.5%27.0%0.0%6.5%2.0%406.2K-7.2M-21.0K1.2897.111942483,606405
2022-03-23$53.58$0.0039.5%10.8%30.3%39.8%38.0%6.5%-5.4%381.3K-6.0M-20.8K1.1895.912112483,609405
2022-03-24$54.53$50.0037.2%9.9%29.9%35.4%32.8%5.1%-3.3%398.1K-6.4M-20.0K1.23102.192072553,622406
2022-03-25$54.75$50.0032.9%10.2%29.0%26.8%36.5%4.5%1.6%417.7K-6.8M-19.5K1.6496.081572573,622413
2022-03-28$54.12$50.0036.3%11.5%28.3%33.5%37.1%5.2%5.1%425.6K-6.1M-18.8K1.8694.991382573,644416
2022-03-29$53.08$50.0031.5%10.4%29.1%24.2%36.5%1.8%5.1%458.3K-5.5M-17.1K1.9293.641342573,645416
2022-03-30$52.45$50.0039.7%10.1%28.9%40.4%37.1%6.9%-8.2%445.3K-4.6M-16.5K1.9396.851362623,647416
2022-03-31$53.61$50.0026.9%9.5%28.8%15.1%35.3%12.9%4.0%448.9K-5.8M-16.4K1.9087.451382623,656422