CSGS Options History — September 2010

In September 2010, CSGS traded between $18.22 and $21.01. ATM implied volatility averaged 34.4%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 6.8% (HV 20d: 27.6%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.61.

Notable Days

  • 2010-09-23: Highest Volume — 1,061 contracts
  • 2010-09-24: Largest IV spike — 62.8% change
  • 2010-09-30: Highest IV Rank — 51.1%
  • 2010-09-30: Largest Expected Move — 19.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.80$18.22$21.01$18.82$18.23
Max Pain$20.74$20.00$22.50$20.00$20.00
ATM IV34.4%20.2%66.1%37.2%66.1%
Expected Move10.0%6.4%19.0%10.7%19.0%
HV 20d27.6%19.1%48.9%27.2%47.0%
HV 60d33.3%29.9%38.5%32.5%38.0%
IV Rank15.7%0.0%51.1%18.0%51.1%
IV Percentile36.8%0.0%99.6%71.8%99.6%
Term Structure-4.5%-57.8%18.7%3.1%-57.8%
VWIV26.6%16.1%38.2%19.7%38.2%
Skew 25d4.2%-15.3%17.8%11.5%-1.8%
Skew 10d11.4%-8.1%34.0%4.4%14.8%
Call IV 25d26.5%17.2%41.2%21.4%39.7%
Put IV 25d30.7%18.7%39.5%32.9%37.9%
Bid-Ask Spread %128.4169.19166.22147.25161.10
Gamma HHI0.630.310.870.400.73
Net GEX9.5K-46.3K51.3K1.6K-46.3K
Net DEX-2.9K-265.6K691.4K101.6K691.4K
Net VEX-2.3K-5.0K-1.6K-1.7K-4.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.005.450.000.00
Total Volume141.42901,06103
Total OI1,306.4765812,8301,0312,830

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$18.82$20.0037.2%10.7%27.2%18.0%0.0%11.5%3.1%1.6K101.6K-1.7K0.00147.25N/AN/A00722309
2010-09-02$19.04$20.0036.4%10.4%27.3%17.1%0.0%15.1%11.8%4.2K52.7K-1.8K0.00166.22N/AN/A00722309
2010-09-03$19.59$0.0030.5%7.6%29.0%10.4%0.0%-2.0%6.6%8.1K28.0K-1.6K0.00152.76N/AN/A150722309
2010-09-07$19.64$0.0020.2%8.5%28.5%0.0%0.0%-1.0%3.9%12.2K-486-1.6K0.00110.54N/AN/A110737309
2010-09-08$19.67$0.0022.4%8.4%28.3%2.4%0.0%8.4%5.5%12.1K-26.4K-1.7K0.00134.37N/AN/A00748309
2010-09-09$19.64$0.0026.7%7.7%21.0%7.2%19.7%-1.0%8.0%12.8K-16.3K-1.7K0.00147.32N/AN/A370748309
2010-09-10$19.65$22.5027.1%7.8%20.6%7.6%0.0%-0.7%6.2%15.5K-7.4K-1.7K0.00127.36N/AN/A200785309
2010-09-13$20.31$22.5026.6%7.6%21.4%7.1%0.0%16.1%6.9%18.3K-177.9K-1.7K0.00134.74N/AN/A100805309
2010-09-14$20.33$22.5028.9%8.3%21.5%9.7%18.5%17.8%5.4%18.2K-190.9K-1.8K0.00123.10N/AN/A810815309
2010-09-15$20.36$22.5026.9%7.7%21.6%7.5%0.0%16.8%5.3%20.8K-214.8K-1.8K0.0091.66N/AN/A00896309
2010-09-16$20.37$22.5028.9%8.3%21.6%9.7%18.4%6.5%4.0%23.4K-245.9K-1.9K0.00102.07N/AN/A820896309
2010-09-17$20.60$20.0025.4%7.3%21.1%5.7%0.0%17.5%12.3%15.9K-265.6K-1.9K0.00104.75N/AN/A00929309
2010-09-20$20.91$20.0024.7%7.1%20.2%4.9%0.0%12.5%18.7%10.6K-115.2K-1.8K0.00145.26N/AN/A100386195
2010-09-21$20.93$20.0029.7%8.5%19.2%10.6%0.0%6.2%-3.5%11.8K-114.6K-1.9K0.00133.11N/AN/A290396195
2010-09-22$21.01$20.0022.3%6.4%19.1%2.3%33.4%-14.4%6.4%13.1K-154.8K-2.1K0.1369.19N/AN/A15620425195
2010-09-23$20.97$20.0031.6%9.1%19.4%12.7%37.0%-1.7%2.6%20.4K-161.9K-2.2K0.18115.23N/AN/A896165562195
2010-09-24$20.65$20.0051.5%14.8%20.6%34.8%0.0%-7.4%-38.2%51.3K-225.0K-3.3K0.60143.35N/AN/A50301,438360
2010-09-27$18.37$20.0057.3%16.4%48.9%41.3%16.1%-15.3%-49.7%22.6K-97.4K-3.2K2.71118.73N/AN/A1554201,468373
2010-09-28$18.54$20.0061.7%17.7%47.8%46.2%31.9%-4.7%-44.9%-13.9K511.0K-4.2K0.00142.82N/AN/A07091,623777
2010-09-29$18.22$20.0041.0%11.8%48.2%23.1%38.2%10.7%-7.0%-33.7K569.6K-5.0K5.45125.60N/AN/A11601,6231,162
2010-09-30$18.23$20.0066.1%19.0%47.0%51.1%0.0%-1.8%-57.8%-46.3K691.4K-4.9K0.00161.10N/AN/A301,6191,211