CSGS Options History — June 2010

In June 2010, CSGS traded between $18.33 and $20.49. ATM implied volatility averaged 40.3%, placing in the 21.5% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 9.3% (HV 20d: 31.0%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.24.

Notable Days

  • 2010-06-07: Highest Volume — 104 contracts
  • 2010-06-30: Largest IV spike — 45.3% change
  • 2010-06-30: Highest IV Rank — 37.3%
  • 2010-06-30: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.51$18.33$20.49$20.21$18.33
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV40.3%33.1%54.3%49.1%54.3%
Expected Move11.3%9.5%15.6%14.1%15.6%
HV 20d31.0%29.1%33.4%29.4%33.4%
HV 60d26.4%23.8%29.5%23.8%29.5%
IV Rank21.5%13.4%37.3%31.4%37.3%
IV Percentile80.8%42.9%99.2%98.0%99.2%
Term Structure-0.4%-16.2%4.1%-7.1%-16.2%
VWIV39.6%31.0%49.4%49.4%40.1%
Skew 25d5.9%-3.0%19.9%-3.0%2.9%
Skew 10d7.2%-6.5%36.2%-5.2%7.0%
Call IV 25d34.5%24.5%45.8%45.8%39.7%
Put IV 25d40.3%27.9%52.7%42.8%42.6%
Bid-Ask Spread %81.6725.24134.10107.64107.46
Gamma HHI0.460.350.750.350.41
Net GEX-4.4K-61.8K9.8K7.1K6.5K
Net DEX22.2K-207.9K334.6K-198.7K-69.5K
Net VEX-2.0K-2.7K-1.6K-2.7K-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.240.001.290.330.00
Total Volume26.45501044030
Total OI1,054.7275991,3471,185678

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$20.21$20.0049.1%14.1%29.4%31.4%49.4%-3.0%-7.1%7.1K-198.7K-2.7K0.33107.64N/AN/A3010749436
2010-06-02$20.49$20.0040.9%11.7%30.3%22.2%40.4%19.9%-4.9%256-110.3K-2.4K1.2976.31N/AN/A4558749446
2010-06-03$20.45$20.0045.0%12.9%30.1%26.8%45.1%10.0%-4.5%4.0K-161.7K-2.7K0.0085.84N/AN/A020758481
2010-06-04$19.59$20.0041.8%11.1%32.1%23.1%38.3%5.6%2.4%-1.6K70.7K-2.5K0.0071.81N/AN/A390758501
2010-06-07$19.09$20.0044.9%10.0%32.2%26.7%0.0%5.2%1.7%-1.3K89.3K-2.4K0.0085.99N/AN/A0104766501
2010-06-08$18.80$20.0042.9%12.8%30.7%24.4%0.0%8.2%-1.2%-3.5K321.7K-2.1K0.00111.67N/AN/A00766531
2010-06-09$18.87$20.0046.8%11.5%30.8%28.8%0.0%3.3%1.6%-4.2K334.6K-2.1K0.0046.49N/AN/A00766531
2010-06-10$19.15$20.0040.2%11.5%29.1%21.3%0.0%2.4%2.1%-6.8K327.4K-2.0K0.0049.45N/AN/A80766531
2010-06-11$19.56$20.0038.6%11.1%30.9%19.6%0.0%2.5%-0.0%-11.5K254.9K-2.1K0.0048.62N/AN/A110759531
2010-06-14$19.49$20.0037.8%10.8%30.6%18.7%44.8%5.1%2.1%-11.6K212.8K-2.0K0.5674.11N/AN/A3620766531
2010-06-15$19.93$20.0039.0%11.2%32.3%20.0%0.0%12.7%-0.9%-23.5K182.3K-2.0K0.0062.85N/AN/A00763551
2010-06-16$19.85$20.0038.8%11.1%32.1%19.8%31.0%12.3%0.1%-22.1K167.9K-2.0K0.0098.90N/AN/A400763551
2010-06-17$20.11$20.0038.5%11.0%32.6%19.5%0.0%13.9%0.6%-20.2K52.7K-2.1K0.00106.40N/AN/A00796551
2010-06-18$20.19$20.0033.1%9.5%29.7%13.4%0.0%5.8%2.5%-61.8K-97.3K-1.9K0.1368.51N/AN/A405796551
2010-06-21$19.70$20.0037.2%10.7%29.9%18.1%33.1%-1.7%-3.2%9.8K-207.9K-1.9K0.6382.88N/AN/A3220449150
2010-06-22$19.55$20.0035.8%10.3%29.9%16.4%0.0%2.7%2.1%8.4K-171.4K-1.9K0.00134.10N/AN/A00476170
2010-06-23$19.21$20.0035.7%10.2%30.0%16.3%36.0%8.2%2.5%6.7K-114.7K-1.8K0.0053.29N/AN/A100476170
2010-06-24$18.76$20.0037.2%10.7%31.0%18.0%37.5%2.3%1.8%5.9K-72.1K-1.7K0.0025.24N/AN/A240486170
2010-06-25$19.46$20.0033.8%9.7%31.3%14.2%0.0%4.2%4.1%7.4K-91.9K-1.7K0.0066.70N/AN/A00508170
2010-06-28$19.52$20.0037.7%10.8%31.2%18.6%0.0%2.3%1.3%9.4K-151.7K-1.9K0.00132.31N/AN/A00508170
2010-06-29$18.85$20.0037.4%10.7%33.0%18.2%0.0%4.2%4.1%6.9K-78.6K-1.7K0.00100.15N/AN/A00508170
2010-06-30$18.33$20.0054.3%15.6%33.4%37.3%40.1%2.9%-16.2%6.5K-69.5K-1.6K0.00107.46N/AN/A300508170