CSGS Options History — March 2010

In March 2010, CSGS traded between $20.38 and $22.09. ATM implied volatility averaged 32.4%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 7.2% (HV 20d: 25.3%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 0.08.

Notable Days

  • 2010-03-17: Highest Volume — 158 contracts
  • 2010-03-11: Largest IV spike — 18.3% change
  • 2010-03-11: Highest IV Rank — 41.8%
  • 2010-03-04: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.22$20.38$22.09$20.48$21.00
Max Pain$19.57$17.50$20.00$17.50$20.00
ATM IV32.4%24.8%36.1%33.9%24.8%
Expected Move9.3%7.1%10.3%9.7%7.1%
HV 20d25.3%13.8%31.8%31.8%15.8%
HV 60d28.4%27.5%29.4%29.4%27.5%
IV Rank31.2%10.1%41.8%34.4%10.1%
IV Percentile30.4%2.0%52.0%36.1%2.0%
Term Structure2.3%-2.9%13.9%-0.6%13.9%
VWIV32.0%28.6%34.1%32.1%28.6%
Skew 25d7.7%-0.9%36.4%31.6%0.4%
Skew 10d15.1%-3.7%68.7%60.9%-3.7%
Call IV 25d29.8%23.1%34.4%24.2%34.4%
Put IV 25d37.5%25.0%65.1%55.8%34.8%
Bid-Ask Spread %62.0017.7499.1219.6399.12
Gamma HHI0.670.470.870.840.47
Net GEX129.6K19.8K256.1K237.4K23.3K
Net DEX-3.1M-5.7M-463.1K-3.4M-463.1K
Net VEX-3.0K-5.5K-1.5K-5.5K-2.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.080.000.800.000.00
Total Volume16.870158010
Total OI2,278.6526433,3383,091674

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-03-01$20.48$17.5033.9%9.7%31.8%34.4%0.0%31.6%-0.6%237.4K-3.4M-5.5K0.0019.63N/AN/A002,924167
2010-03-02$20.48$17.5032.9%9.4%31.8%31.6%0.0%8.6%1.3%239.4K-3.5M-5.4K0.0017.74N/AN/A202,924167
2010-03-03$20.38$17.5033.3%9.5%31.5%32.6%0.0%9.0%0.0%242.1K-3.4M-5.3K0.0087.09N/AN/A002,926167
2010-03-04$20.40$17.5036.1%10.3%28.7%40.2%0.0%36.4%-2.9%245.1K-3.3M-5.2K0.0095.65N/AN/A002,926167
2010-03-05$20.70$20.0035.6%9.3%29.2%38.9%0.0%26.6%2.9%241.8K-3.7M-4.9K0.0072.52N/AN/A002,926167
2010-03-08$20.72$20.0035.8%9.7%29.1%39.4%0.0%10.7%1.4%248.5K-3.9M-4.4K0.0033.45N/AN/A102,926167
2010-03-09$20.96$20.0030.5%9.7%28.8%25.1%0.0%10.4%2.1%256.1K-4.2M-3.9K0.0047.79N/AN/A002,926167
2010-03-10$21.02$20.0030.4%9.6%28.8%24.9%0.0%13.5%1.3%230.8K-4.3M-3.8K0.0075.56N/AN/A002,926167
2010-03-11$20.99$20.0036.0%10.3%27.9%41.8%0.0%-0.9%-2.3%217.2K-4.7M-2.7K0.0068.35N/AN/A002,926167
2010-03-12$21.44$20.0030.4%8.7%28.4%26.0%0.0%4.3%2.8%121.5K-5.2M-1.9K0.0064.77N/AN/A002,926167
2010-03-15$21.67$20.0032.0%9.2%28.5%30.6%32.1%2.7%1.8%84.9K-5.4M-1.5K0.0367.19N/AN/A11642,926167
2010-03-16$21.79$20.0032.8%9.4%28.4%32.9%33.6%2.3%1.6%90.5K-5.5M-1.7K0.0061.68N/AN/A1803,020171
2010-03-17$21.93$20.0032.1%9.2%28.4%31.0%34.1%2.2%1.8%103.6K-5.6M-1.7K0.8065.43N/AN/A88703,038171
2010-03-18$22.09$20.0032.7%9.4%27.6%32.6%0.0%2.2%0.9%131.0K-5.7M-2.3K0.0048.44N/AN/A003,107231
2010-03-19$21.98$20.0033.0%9.5%27.6%33.4%0.0%0.9%0.3%110.0K-5.6M-2.2K0.0043.39N/AN/A503,107231
2010-03-22$21.79$20.0030.9%8.9%27.7%27.5%30.9%1.5%11.0%19.8K-591.5K-2.2K0.0049.08N/AN/A250500143
2010-03-23$21.77$20.0032.6%9.4%27.5%32.5%0.0%1.2%1.1%22.4K-614.1K-2.1K0.0074.34N/AN/A100520143
2010-03-24$21.39$20.0033.1%9.5%15.6%33.8%32.2%0.5%0.9%21.6K-556.9K-2.1K0.0072.91N/AN/A190520143
2010-03-25$21.27$20.0033.3%9.5%14.9%34.3%0.0%1.2%0.7%22.1K-540.9K-2.1K0.0045.94N/AN/A00526143
2010-03-26$21.25$20.0030.4%8.7%14.7%26.1%32.5%1.7%6.6%22.4K-504.8K-2.0K0.0072.96N/AN/A200511143
2010-03-29$21.25$20.0033.0%9.5%13.8%33.4%0.0%0.0%3.1%24.0K-511.5K-2.0K0.0061.58N/AN/A00531143
2010-03-30$21.41$20.0030.2%8.7%14.0%25.6%0.0%2.0%3.5%24.9K-543.0K-2.0K0.0081.30N/AN/A00531143
2010-03-31$21.00$20.0024.8%7.1%15.8%10.1%28.6%0.4%13.9%23.3K-463.1K-2.0K0.0099.12N/AN/A010531143