CSV Options History — September 2022

In September 2022, CSV traded between $31.06 and $36.23. ATM implied volatility averaged 62.1%, placing in the 45.8% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded above realized volatility by 25.4% (HV 20d: 36.7%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.17.

Notable Days

  • 2022-09-29: Highest Volume — 1,001 contracts
  • 2022-09-14: Largest IV drop — 63.6% change
  • 2022-09-12: Highest IV Rank — 100.0%
  • 2022-09-02: Largest Expected Move — 20.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.93$31.06$36.23$35.62$32.23
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV62.1%42.0%128.4%62.7%55.8%
Expected Move14.9%12.0%20.3%18.0%16.0%
HV 20d36.7%30.1%48.4%48.4%39.0%
HV 60d57.3%55.6%59.4%59.4%57.3%
IV Rank45.8%18.1%100.0%62.0%30.0%
IV Percentile82.8%52.4%100.0%96.8%87.3%
Term Structure-1.4%-16.0%14.4%-10.1%5.9%
VWIV51.8%39.8%75.8%75.8%56.0%
Skew 25d4.9%-6.8%15.5%8.4%1.8%
Skew 10d15.9%1.9%36.4%20.2%19.4%
Call IV 25d51.0%36.6%102.1%59.1%53.9%
Put IV 25d55.9%43.3%109.8%67.4%55.6%
Bid-Ask Spread %101.0093.96113.44106.4599.81
Gamma HHI0.330.250.570.310.33
Net GEX42.2K-6.4K126.2K36.7K35.0K
Net DEX-2.5M-3.9M-989.3K-3.1M-1.8M
Net VEX-26.1K-30.5K-20.2K-30.4K-21.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.170.000.640.020.24
Total Volume363.66721,001611,001
Total OI5,160.4764,7695,6005,2284,778

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-09-01$35.62$40.0062.7%18.0%48.4%62.0%75.8%8.4%-10.1%36.7K-3.1M-30.4K0.02106.456013,2971,931
2022-09-02$35.50$40.0070.7%20.3%43.8%74.4%0.0%-2.5%-15.3%35.4K-3.2M-30.5K0.00113.445203,3471,932
2022-09-06$35.38$40.0067.4%14.5%43.7%69.3%50.6%3.7%-0.8%23.8K-3.2M-29.5K0.64100.291941243,3991,932
2022-09-07$35.61$40.0072.0%15.3%43.8%76.4%52.6%4.5%-11.7%30.9K-3.3M-29.6K0.5996.532101243,3841,932
2022-09-08$34.92$40.0070.7%14.2%34.6%74.5%56.2%1.3%-1.5%-6.4K-2.7M-28.9K0.00103.95903,3841,932
2022-09-09$35.50$40.0080.9%15.9%35.1%90.3%0.0%-6.8%-10.4%23.2K-2.9M-27.6K0.00103.690143,3841,932
2022-09-12$36.23$40.00109.8%17.7%30.6%100.0%0.0%6.8%-16.0%36.2K-3.7M-29.1K0.22102.02209463,3841,930
2022-09-13$35.00$40.00128.4%13.2%30.1%100.0%46.0%-4.3%-5.0%35.5K-3.1M-29.1K0.42105.102771163,5921,884
2022-09-14$35.99$40.0046.8%13.4%32.6%22.6%45.4%7.7%3.7%126.2K-3.9M-22.1K0.05101.1213163,5921,887
2022-09-15$36.10$40.0052.4%15.0%32.5%28.0%53.7%13.1%4.6%6.8K-3.8M-28.8K0.00100.41043,7131,887
2022-09-16$33.92$40.0045.5%13.0%37.6%21.4%52.7%-2.5%-9.4%89.5K-1.4M-28.0K0.3299.28200643,7131,887
2022-09-19$33.75$40.0054.4%15.6%37.6%29.8%54.5%10.0%5.4%95.6K-3.3M-27.1K0.0197.8320933,6911,314
2022-09-20$32.98$40.0042.0%12.0%34.3%18.1%44.7%3.0%8.5%59.9K-2.5M-25.6K0.0093.960153,6931,317
2022-09-21$32.78$40.0050.4%14.5%32.6%26.1%51.3%10.3%-4.9%82.6K-2.1M-25.2K0.00101.1112203,6931,321
2022-09-22$31.74$40.0050.5%14.5%33.6%24.9%39.8%13.3%1.3%51.2K-1.9M-24.5K0.00102.99023,7841,321
2022-09-23$31.16$40.0050.8%14.6%33.7%25.1%0.0%13.3%-6.1%29.0K-1.5M-23.6K0.0099.2773703,7841,322
2022-09-26$31.06$40.0048.8%14.0%33.6%23.2%49.2%15.5%10.0%19.0K-993.8K-21.9K0.0798.59814583,4471,322
2022-09-27$31.70$40.0048.7%14.0%35.1%23.2%47.0%6.3%-2.0%17.6K-989.3K-20.2K0.07100.71814583,4521,323
2022-09-28$33.08$40.0043.7%12.5%39.3%18.3%56.4%5.3%14.4%35.4K-2.3M-22.4K0.0695.66904583,4521,323
2022-09-29$32.18$40.0050.9%14.6%39.1%25.2%48.0%-4.5%10.1%22.6K-1.7M-21.4K0.2498.878041973,4551,323
2022-09-30$32.23$40.0055.8%16.0%39.0%30.0%56.0%1.8%5.9%35.0K-1.8M-21.6K0.2499.818041973,4551,323