CSGS Options History — October 2010

In October 2010, CSGS traded between $18.02 and $19.77. ATM implied volatility averaged 42.9%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 0.0% (HV 20d: 42.9%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.99.

Notable Days

  • 2010-10-27: Highest Volume — 77 contracts
  • 2010-10-26: Largest IV spike — 104.5% change
  • 2010-10-27: Highest IV Rank — 62.6%
  • 2010-10-27: Largest Expected Move — 21.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.87$18.02$19.77$18.32$19.45
Max Pain$17.62$17.50$20.00$20.00$17.50
ATM IV42.9%31.4%76.4%35.2%34.5%
Expected Move11.4%9.0%21.9%10.1%9.9%
HV 20d42.9%20.5%46.9%46.8%39.2%
HV 60d35.8%33.3%38.4%37.8%38.1%
IV Rank25.2%12.4%62.6%16.6%15.9%
IV Percentile67.0%30.2%99.6%56.0%52.0%
Term Structure-5.9%-80.0%6.1%-7.6%0.3%
VWIV36.5%33.5%40.3%34.9%33.5%
Skew 25d3.5%-8.4%41.4%-4.9%-0.8%
Skew 10d5.4%-4.1%17.7%7.4%-4.1%
Call IV 25d33.2%25.1%39.7%30.6%36.2%
Put IV 25d36.7%25.7%74.4%25.7%35.3%
Bid-Ask Spread %134.6860.87173.14146.22161.75
Gamma HHI0.690.550.850.760.75
Net GEX-28.5K-57.9K-9.4K-47.6K-11.4K
Net DEX371.6K110.6K777.6K676.8K156.2K
Net VEX-4.3K-4.8K-3.9K-4.8K-4.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.990.0017.500.000.00
Total Volume12.81077010
Total OI2,126.4291,3032,8612,8331,412

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$18.32$20.0035.2%10.1%46.8%16.6%0.0%-4.9%-7.6%-47.6K676.8K-4.8K0.00146.22N/AN/A001,6221,211
2010-10-04$18.02$17.5039.6%10.4%45.7%21.6%0.0%-5.3%-3.0%-57.9K777.6K-4.5K0.0097.47N/AN/A021,6221,211
2010-10-05$18.30$17.5031.5%10.3%46.2%12.5%0.0%-3.4%-0.8%-55.8K664.0K-4.5K0.00105.70N/AN/A001,6221,211
2010-10-06$18.32$17.5032.8%10.4%46.2%14.0%0.0%-1.7%-2.4%-54.5K622.6K-4.6K0.0096.77N/AN/A001,6221,211
2010-10-07$18.32$17.5041.4%11.2%46.2%23.6%0.0%4.6%-5.5%-51.2K623.4K-4.5K0.00114.42N/AN/A001,6221,211
2010-10-08$18.64$17.5043.5%10.2%46.7%25.9%34.9%0.6%-3.6%-45.9K559.7K-4.4K0.00109.41N/AN/A201,6221,211
2010-10-11$18.78$17.5042.3%10.3%45.0%24.6%0.0%1.7%-2.2%-34.6K454.0K-4.3K0.0060.87N/AN/A1001,6241,211
2010-10-12$18.73$17.5069.0%10.1%45.0%54.3%0.0%5.2%-4.8%-40.7K521.2K-4.4K0.00121.71N/AN/A2601,6241,211
2010-10-13$19.21$17.5065.8%12.7%46.1%50.7%0.0%19.1%6.1%-28.8K336.1K-4.2K0.00153.90N/AN/A001,6501,211
2010-10-14$19.19$17.5038.7%11.1%46.1%20.5%0.0%13.9%-0.9%-25.8K303.2K-4.4K0.00136.57N/AN/A001,6501,211
2010-10-15$19.14$17.5037.5%10.7%45.8%19.2%0.0%9.8%-1.3%-27.7K314.3K-4.4K0.00142.28N/AN/A001,6501,211
2010-10-18$19.32$17.5036.9%10.6%45.6%18.5%0.0%9.8%-2.6%-15.2K232.7K-4.1K0.00144.05N/AN/A70516787
2010-10-19$18.92$17.5032.1%9.2%45.9%13.2%0.0%4.0%-0.5%-14.1K225.8K-4.1K0.00147.94N/AN/A170523787
2010-10-20$19.32$17.5034.4%9.8%46.7%15.7%0.0%-3.7%-0.7%-13.1K179.4K-4.2K0.00153.94N/AN/A00539787
2010-10-21$19.00$17.5033.3%9.6%46.9%14.6%0.0%-5.9%-1.7%-12.2K146.2K-4.1K0.00152.08N/AN/A016539787
2010-10-22$18.91$17.5031.4%9.0%46.8%12.4%0.0%4.5%0.5%-13.2K216.3K-4.0K0.00143.15N/AN/A00539771
2010-10-25$18.91$17.5036.3%10.4%20.5%17.9%40.3%-8.4%-6.9%-13.9K220.7K-4.0K0.00149.57N/AN/A130539771
2010-10-26$18.17$17.5074.2%21.3%24.9%60.1%37.4%-4.7%-80.0%-14.7K351.1K-3.9K17.50173.14N/AN/A470552771
2010-10-27$19.77$17.5076.4%21.9%38.5%62.6%33.5%41.4%-5.5%-11.7K111.6K-3.9K0.45157.25N/AN/A5324556831
2010-10-28$19.46$17.5033.7%9.7%39.2%15.0%0.0%-2.6%-1.9%-9.4K110.6K-4.1K0.00160.02N/AN/A015590807
2010-10-29$19.45$17.5034.5%9.9%39.2%15.9%0.0%-0.8%0.3%-11.4K156.2K-4.1K0.00161.75N/AN/A100590822