CSGS Options History — May 2010

In May 2010, CSGS traded between $20.05 and $22.89. ATM implied volatility averaged 44.4%, placing in the 35.3% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 15.7% (HV 20d: 28.6%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.79.

Notable Days

  • 2010-05-13: Highest Volume — 212 contracts
  • 2010-05-12: Largest IV spike — 135.3% change
  • 2010-05-12: Highest IV Rank — 100.0%
  • 2010-05-12: Largest Expected Move — 15.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.56$20.05$22.89$22.89$20.52
Max Pain$20.50$20.00$22.50$22.50$20.00
ATM IV44.4%32.4%110.0%32.4%43.9%
Expected Move11.8%8.5%15.2%9.3%12.6%
HV 20d28.6%22.6%32.5%22.6%29.6%
HV 60d23.5%22.5%24.7%22.8%23.8%
IV Rank35.3%17.1%100.0%31.7%25.6%
IV Percentile81.4%34.9%100.0%34.9%95.2%
Term Structure-1.4%-22.4%4.4%0.8%-3.1%
VWIV40.9%22.5%53.1%34.6%41.4%
Skew 25d3.3%-10.0%13.0%1.6%-3.0%
Skew 10d0.5%-22.4%19.7%0.6%-2.4%
Call IV 25d38.2%26.0%50.9%31.1%41.7%
Put IV 25d41.4%26.8%55.7%32.7%38.7%
Bid-Ask Spread %98.6561.48159.6590.21117.66
Gamma HHI0.370.290.490.370.34
Net GEX11.1K3.6K21.0K21.0K6.4K
Net DEX-449.5K-755.4K-77.6K-755.4K-200.2K
Net VEX-2.9K-3.2K-2.7K-2.7K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.003.640.000.00
Total Volume30.702121520
Total OI1,1459611,3149611,165

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$22.89$22.5032.4%9.3%22.6%31.7%0.0%1.6%0.8%21.0K-755.4K-2.7K0.0090.21N/AN/A150709252
2010-05-04$22.79$22.5033.6%9.6%22.7%35.1%0.0%1.9%0.3%21.0K-739.8K-2.7K0.0086.27N/AN/A130719252
2010-05-05$22.48$22.5034.8%10.0%22.9%38.4%34.6%2.1%0.6%20.5K-694.9K-2.8K0.5187.33N/AN/A8443732252
2010-05-06$21.86$22.5037.6%10.8%25.4%46.5%44.2%-10.0%-1.6%14.5K-546.7K-3.0K0.5088.94N/AN/A105768295
2010-05-07$21.34$20.0036.9%11.2%27.1%44.5%40.7%-0.1%0.4%14.1K-432.4K-3.0K0.0093.35N/AN/A100778292
2010-05-10$21.81$20.0034.0%8.5%28.0%36.3%22.5%0.8%3.0%14.7K-530.6K-2.8K0.00130.32N/AN/A30788292
2010-05-11$21.85$20.0046.8%12.0%27.9%72.4%40.4%2.2%-2.7%15.7K-531.9K-2.9K1.0073.28N/AN/A1010791292
2010-05-12$22.46$20.00110.0%15.2%29.1%100.0%0.0%7.3%-22.4%18.2K-737.9K-3.2K0.00159.65N/AN/A00801302
2010-05-13$22.25$20.0036.4%10.4%28.9%17.1%45.9%9.0%1.3%14.4K-634.6K-2.9K3.6161.48N/AN/A46166796302
2010-05-14$22.39$20.0037.5%10.8%28.9%18.4%37.5%1.6%1.6%6.4K-560.7K-3.2K0.0061.62N/AN/A100832468
2010-05-17$22.29$20.0038.8%11.1%28.9%19.8%0.0%7.4%-0.4%7.1K-561.7K-3.2K0.0098.00N/AN/A00842468
2010-05-18$21.99$20.0040.3%11.6%29.4%21.5%0.0%3.8%0.3%5.0K-517.3K-3.2K0.0074.64N/AN/A04842468
2010-05-19$21.70$20.0040.5%11.6%29.6%21.8%0.0%10.0%-0.3%4.5K-382.1K-3.1K0.0092.41N/AN/A40842469
2010-05-20$20.84$20.0043.9%12.6%31.7%25.6%0.0%13.0%4.4%8.5K-286.2K-2.9K0.00123.45N/AN/A06842469
2010-05-21$20.38$20.0050.5%14.5%32.1%33.0%0.0%0.9%-1.1%3.6K-77.6K-2.9K0.00113.13N/AN/A00842472
2010-05-24$20.43$20.0047.1%13.5%32.2%29.2%43.5%8.0%-1.9%6.6K-180.0K-2.7K0.54119.20N/AN/A5630688380
2010-05-25$20.10$20.0049.9%14.3%32.5%32.3%0.0%-4.0%-7.1%6.7K-171.1K-2.8K0.00102.49N/AN/A00713406
2010-05-26$20.05$20.0048.3%13.8%30.8%30.5%45.8%0.2%-3.2%6.5K-202.7K-2.8K3.6498.40N/AN/A1140713406
2010-05-27$20.76$20.0044.1%12.6%32.1%25.7%53.1%12.5%2.2%6.7K-245.7K-2.8K1.25101.24N/AN/A810724436
2010-05-28$20.52$20.0043.9%12.6%29.6%25.6%41.4%-3.0%-3.1%6.4K-200.2K-2.8K0.00117.66N/AN/A200729436