CSGS Options History — August 2010

In August 2010, CSGS traded between $17.50 and $19.43. ATM implied volatility averaged 34.2%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 1.1% (HV 20d: 33.1%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.94.

Notable Days

  • 2010-08-06: Highest Volume — 71 contracts
  • 2010-08-09: Largest IV spike — 122.1% change
  • 2010-08-09: Highest IV Rank — 44.2%
  • 2010-08-18: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.28$17.50$19.43$19.02$18.29
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV34.2%26.8%60.4%29.6%33.8%
Expected Move9.4%7.7%10.8%8.5%9.7%
HV 20d33.1%24.6%39.5%39.5%26.9%
HV 60d33.7%32.1%35.0%34.2%32.1%
IV Rank14.7%6.3%44.2%9.4%14.2%
IV Percentile44.4%6.7%99.6%15.5%44.8%
Term Structure1.9%-19.6%13.3%8.2%-19.6%
VWIV38.0%21.1%110.5%27.9%110.5%
Skew 25d4.0%-6.0%11.1%4.0%-5.7%
Skew 10d4.5%-3.4%12.7%-3.4%4.5%
Call IV 25d27.9%22.6%34.1%22.6%28.9%
Put IV 25d31.9%21.2%38.7%26.6%23.2%
Bid-Ask Spread %115.5451.15171.19125.28171.19
Gamma HHI0.470.320.670.320.45
Net GEX920-11.2K23.9K12.4K-1.4K
Net DEX98.6K-186.8K272.4K-70.7K149.8K
Net VEX-1.5K-1.7K-1.3K-1.6K-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.004.001.000.10
Total Volume22071200
Total OI1,060.9091,0151,2051,0381,031

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$19.02$20.0029.6%8.5%39.5%9.4%0.0%4.0%8.2%12.4K-70.7K-1.6K1.00125.28N/AN/A1010769269
2010-08-03$18.92$20.0026.8%7.7%38.8%6.3%27.9%0.7%7.2%17.1K-111.1K-1.6K0.7199.14N/AN/A1410779259
2010-08-04$19.43$20.0030.6%8.8%38.5%10.6%0.0%6.7%-2.2%16.0K-124.0K-1.4K0.0099.98N/AN/A00772255
2010-08-05$19.20$20.0029.8%8.5%38.4%9.7%0.0%3.7%4.8%23.9K-186.8K-1.6K0.00122.14N/AN/A00772255
2010-08-06$19.04$20.0027.2%9.2%38.5%6.8%0.0%2.1%2.2%11.4K-66.2K-1.4K0.00104.50N/AN/A710772255
2010-08-09$19.33$20.0060.4%9.6%38.5%44.2%35.2%11.1%3.6%17.3K-125.4K-1.5K2.0098.78N/AN/A510760255
2010-08-10$19.15$20.0032.2%8.7%35.7%12.4%0.0%5.8%4.0%10.8K-69.0K-1.4K4.0073.79N/AN/A1040755265
2010-08-11$18.22$20.0039.8%10.1%39.5%21.0%0.0%9.8%5.9%86866.2K-1.5K0.00111.60N/AN/A00751305
2010-08-12$18.10$20.0037.0%10.6%38.6%17.8%0.0%9.0%1.3%-5.4K132.2K-1.4K0.00110.89N/AN/A100751305
2010-08-13$17.79$20.0033.5%9.6%34.8%13.8%21.9%8.9%2.6%-4.5K155.3K-1.3K0.50131.16N/AN/A4221761305
2010-08-16$17.86$20.0035.3%10.1%34.1%15.9%0.0%5.4%1.6%-10.9K213.4K-1.3K0.67137.50N/AN/A3020769326
2010-08-17$18.01$20.0035.2%10.1%34.1%15.7%0.0%-0.4%2.7%-9.7K182.8K-1.5K0.0073.96N/AN/A00799346
2010-08-18$18.01$20.0037.7%10.8%33.7%18.6%0.0%-0.9%-0.3%-8.7K184.3K-1.5K2.0051.15N/AN/A2040799346
2010-08-19$17.89$20.0037.6%10.8%29.2%18.5%21.1%9.4%1.0%-11.2K239.3K-1.7K0.00139.15N/AN/A90819386
2010-08-20$17.71$20.0034.5%9.9%28.5%14.9%22.2%5.5%3.5%-11.1K272.4K-1.6K0.30135.60N/AN/A309819386
2010-08-23$17.53$20.0035.0%10.0%27.9%15.6%0.0%4.9%-1.4%-2.7K205.5K-1.6K0.0085.17N/AN/A00713311
2010-08-24$17.54$20.0037.3%10.7%27.7%18.1%0.0%4.3%0.8%-3.2K233.5K-1.5K0.00125.29N/AN/A00713311
2010-08-25$17.61$20.0029.9%8.6%27.0%9.8%0.0%2.9%6.7%-6.3K250.8K-1.4K0.00139.87N/AN/A00713311
2010-08-26$17.50$20.0034.3%9.8%26.8%14.7%0.0%5.2%2.2%-4.1K232.8K-1.5K0.00132.43N/AN/A00713311
2010-08-27$17.74$20.0026.8%7.7%24.6%6.3%27.0%1.3%13.3%-7.4K240.4K-1.4K0.00139.05N/AN/A020713311
2010-08-30$18.28$20.0029.0%8.3%27.0%8.8%110.5%-6.0%-6.3%-2.7K163.5K-1.6K0.10134.24N/AN/A485713311
2010-08-31$18.29$20.0033.8%9.7%26.9%14.2%0.0%-5.7%-19.6%-1.4K149.8K-1.6K0.00171.19N/AN/A00722309