CSGS Options History — April 2010

In April 2010, CSGS traded between $20.90 and $23.66. ATM implied volatility averaged 30.6%, placing in the 26.8% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 15.4% (HV 20d: 15.3%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.50.

Notable Days

  • 2010-04-29: Highest Volume — 169 contracts
  • 2010-04-28: Largest IV drop — 24.6% change
  • 2010-04-27: Highest IV Rank — 48.1%
  • 2010-04-27: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.94$20.90$23.66$21.00$22.72
Max Pain$21.71$20.00$25.00$20.00$22.50
ATM IV30.6%21.8%38.2%24.0%31.5%
Expected Move9.7%6.9%10.9%6.9%9.0%
HV 20d15.3%13.3%22.7%15.8%22.7%
HV 60d24.9%21.4%26.6%26.6%22.8%
IV Rank26.8%1.7%48.1%7.9%29.1%
IV Percentile30.7%0.8%79.0%1.2%30.6%
Term Structure0.3%-2.5%15.1%15.1%1.9%
VWIV33.5%21.6%44.5%21.6%30.8%
Skew 25d2.2%-0.6%4.0%1.2%-0.6%
Skew 10d-0.7%-8.5%8.0%-0.5%-2.7%
Call IV 25d33.1%31.0%34.1%33.7%33.4%
Put IV 25d35.3%32.8%37.2%34.9%32.8%
Bid-Ask Spread %68.0657.5382.5882.5878.34
Gamma HHI0.500.370.750.480.37
Net GEX22.5K14.6K47.3K22.6K20.5K
Net DEX-616.8K-950.0K-422.1K-464.0K-750.7K
Net VEX-2.2K-2.8K-1.6K-1.9K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.003.691.000.23
Total Volume40.429016900
Total OI770.857684961684961

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$21.00$20.0024.0%6.9%15.8%7.9%0.0%1.2%15.1%22.6K-464.0K-1.9K0.0082.58N/AN/A00531153
2010-04-05$21.20$0.0028.6%10.7%15.3%20.9%0.0%3.8%-1.4%23.9K-489.7K-1.9K0.0059.88N/AN/A00531153
2010-04-06$21.18$0.0024.3%10.3%15.3%8.9%21.6%2.4%-1.0%20.6K-479.0K-1.8K1.0062.40N/AN/A1010531153
2010-04-07$20.92$25.0021.8%10.2%15.5%1.7%27.7%0.8%-0.7%16.8K-434.8K-1.7K0.1562.48N/AN/A203541153
2010-04-08$20.90$25.0024.3%10.4%15.5%8.9%0.0%3.4%-0.4%17.3K-422.1K-1.7K0.0060.89N/AN/A00541153
2010-04-09$21.01$20.0024.5%10.2%15.6%9.3%34.2%2.0%-1.3%16.4K-438.8K-1.7K0.0062.80N/AN/A900546156
2010-04-12$21.18$20.0029.3%10.4%13.8%23.0%35.7%3.6%-1.1%16.3K-459.3K-1.6K0.3567.02N/AN/A11340546156
2010-04-13$21.28$20.0031.9%10.0%13.3%30.2%37.7%2.7%-1.7%23.4K-598.7K-2.4K0.0059.29N/AN/A040707193
2010-04-14$21.59$20.0031.2%9.8%14.3%28.3%0.0%2.8%-0.8%32.7K-679.6K-2.3K0.0063.04N/AN/A00707163
2010-04-15$21.95$20.0034.0%9.7%15.3%36.2%0.0%1.8%-0.5%47.3K-750.7K-2.2K0.0067.58N/AN/A100707163
2010-04-16$21.95$20.0034.5%9.9%15.1%37.6%0.0%0.7%-0.9%47.2K-753.9K-2.2K0.0064.91N/AN/A049707163
2010-04-19$22.05$20.0033.5%9.6%15.1%34.9%34.6%2.1%-0.1%15.1K-525.5K-2.3K0.0071.39N/AN/A04506185
2010-04-20$22.09$22.5034.0%9.7%14.7%36.3%0.0%0.8%-0.4%14.6K-540.0K-2.3K0.0070.54N/AN/A00506187
2010-04-21$22.24$22.5034.5%9.9%14.8%37.7%34.5%2.4%-1.0%14.7K-560.3K-2.2K0.0076.37N/AN/A590506187
2010-04-22$22.65$22.5034.3%9.8%14.3%37.1%0.0%3.8%-1.0%17.9K-666.1K-2.5K0.0075.12N/AN/A50556187
2010-04-23$22.79$22.5034.6%9.9%14.0%38.0%0.0%4.0%-1.3%18.6K-726.0K-2.3K0.0063.86N/AN/A00561187
2010-04-26$22.71$22.5035.1%10.1%14.1%39.3%38.4%3.0%-1.6%17.9K-687.4K-2.5K0.1372.40N/AN/A405561187
2010-04-27$22.54$22.5038.2%10.9%14.6%48.1%44.5%0.8%-2.5%18.1K-733.9K-2.4K0.0057.53N/AN/A1070581192
2010-04-28$23.05$22.5028.8%8.3%16.1%21.5%28.4%1.0%3.8%26.4K-842.3K-2.5K3.6974.77N/AN/A1659672192
2010-04-29$23.66$22.5030.9%8.9%15.6%27.5%30.8%3.3%3.2%24.8K-950.0K-2.6K0.2375.99N/AN/A13732679241
2010-04-30$22.72$22.5031.5%9.0%22.7%29.1%0.0%-0.6%1.9%20.5K-750.7K-2.8K0.0078.34N/AN/A00709252