CSGS Options History — July 2010

In July 2010, CSGS traded between $17.65 and $19.61. ATM implied volatility averaged 38.7%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 2.3% (HV 20d: 36.4%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.62.

Notable Days

  • 2010-07-13: Highest Volume — 91 contracts
  • 2010-07-15: Largest IV drop — 34.9% change
  • 2010-07-14: Highest IV Rank — 40.2%
  • 2010-07-19: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.75$17.65$19.61$18.17$18.86
Max Pain$18.10$17.50$20.00$20.00$20.00
ATM IV38.7%28.3%56.9%40.0%29.0%
Expected Move10.8%8.2%12.3%11.5%8.3%
HV 20d36.4%29.9%42.5%33.4%39.7%
HV 60d32.3%29.4%35.0%29.4%34.5%
IV Rank19.8%8.0%40.2%21.1%8.8%
IV Percentile67.4%10.3%99.6%86.5%13.1%
Term Structure0.0%-5.1%9.0%9.0%-0.6%
VWIV36.4%24.2%44.1%42.1%31.0%
Skew 25d5.7%-3.9%14.3%14.3%-1.1%
Skew 10d9.3%-4.8%20.8%8.5%-0.4%
Call IV 25d33.3%27.0%46.1%28.3%28.4%
Put IV 25d39.0%23.8%44.1%42.6%27.3%
Bid-Ask Spread %80.5659.16126.2173.33126.21
Gamma HHI0.350.300.400.310.34
Net GEX7.1K-1.9K20.6K6.1K16.3K
Net DEX-37.3K-213.8K106.4K-17.0K-125.2K
Net VEX-1.7K-2.1K-1.4K-1.6K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.620.0011.000.000.33
Total Volume29.71409110
Total OI908.7627081,0387081,038

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$18.17$20.0040.0%11.5%33.4%21.1%0.0%14.3%9.0%6.1K-17.0K-1.6K0.0073.33N/AN/A10538170
2010-07-02$17.98$20.0041.5%11.9%30.5%22.8%42.1%12.4%3.5%5.4K3.6K-1.5K5.36109.33N/AN/A1475539170
2010-07-06$17.65$17.5041.3%12.2%29.9%22.7%43.3%-2.2%-0.9%21778.2K-1.4K5.4062.33N/AN/A1054550235
2010-07-07$18.19$17.5034.6%11.7%31.9%15.1%0.0%4.8%-1.4%-1.9K106.4K-1.6K0.0062.66N/AN/A00550285
2010-07-08$18.56$17.5028.3%11.8%32.8%8.0%0.0%7.4%-0.3%56656.3K-1.6K0.0064.50N/AN/A830550285
2010-07-09$18.67$17.5035.4%11.8%32.4%16.0%0.0%7.0%-0.1%2.7K21.8K-1.8K0.0063.30N/AN/A00607285
2010-07-12$18.46$17.5047.3%11.9%31.4%29.4%0.0%2.9%-3.9%1.1K47.7K-1.6K0.0074.29N/AN/A00607285
2010-07-13$19.25$17.5052.3%9.9%35.2%35.0%0.0%11.6%2.2%6.4K-46.5K-1.7K0.3059.16N/AN/A7021607285
2010-07-14$19.46$17.5056.9%10.2%34.4%40.2%24.2%11.2%1.7%9.9K-107.8K-2.0K0.0090.65N/AN/A500663306
2010-07-15$18.95$17.5037.0%10.6%35.6%17.9%0.0%6.6%1.3%8.1K-48.6K-1.9K1.0088.19N/AN/A11713306
2010-07-16$18.03$17.5042.0%12.0%38.8%23.5%44.1%7.9%-2.9%77573.7K-1.5K11.0082.44N/AN/A555714306
2010-07-19$18.36$17.5043.0%12.3%39.6%24.6%0.0%2.4%-2.5%2.5K34.0K-1.7K0.0097.18N/AN/A00629254
2010-07-20$18.52$17.5041.9%12.0%39.2%23.3%35.3%3.2%-3.5%2.3K26.7K-1.7K0.0062.82N/AN/A140629254
2010-07-21$18.22$17.5041.8%12.0%39.4%23.2%35.3%7.6%-5.1%4.3K2.9K-1.7K0.0073.62N/AN/A460643254
2010-07-22$19.05$17.5034.6%9.9%42.5%15.1%36.5%6.6%0.9%6.2K-55.3K-1.8K0.0099.69N/AN/A10671254
2010-07-23$19.32$17.5036.1%10.3%41.9%16.8%0.0%6.1%-0.3%8.0K-98.3K-1.8K0.0065.49N/AN/A100668254
2010-07-26$19.56$17.5037.3%10.7%40.0%18.1%37.2%6.4%-2.1%11.2K-142.6K-1.8K0.0077.95N/AN/A660678254
2010-07-27$19.26$17.5033.6%9.6%40.4%14.0%34.7%10.4%0.4%19.1K-213.8K-2.1K0.9463.11N/AN/A1615742254
2010-07-28$19.54$20.0031.1%8.9%38.6%11.2%0.0%-1.6%0.8%18.7K-178.7K-1.9K0.00115.86N/AN/A00757269
2010-07-29$19.61$20.0028.4%8.2%37.0%8.2%31.0%-3.9%4.5%20.6K-201.0K-1.9K0.3379.71N/AN/A124757269
2010-07-30$18.86$20.0029.0%8.3%39.7%8.8%0.0%-1.1%-0.6%16.3K-125.2K-1.7K0.00126.21N/AN/A00769269