CSGS Options History — November 2010

In November 2010, CSGS traded between $18.82 and $20.20. ATM implied volatility averaged 42.7%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 5.9% (HV 20d: 36.8%). 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 17 of 21 days. Put/call ratio averaged 0.11.

Notable Days

  • 2010-11-12: Highest Volume — 59 contracts
  • 2010-11-02: Largest IV drop — 47.4% change
  • 2010-11-01: Highest IV Rank — 58.4%
  • 2010-11-01: Largest Expected Move — 20.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.49$18.82$20.20$19.07$18.82
Max Pain$19.52$17.50$20.00$17.50$20.00
ATM IV42.7%27.5%72.6%72.6%64.3%
Expected Move12.4%7.9%20.8%20.8%18.4%
HV 20d36.8%21.7%41.4%39.4%21.7%
HV 60d37.6%36.7%38.7%38.3%36.7%
IV Rank25.0%8.1%58.4%58.4%49.0%
IV Percentile63.9%11.9%98.8%98.8%97.2%
Term Structure4.1%-6.5%13.2%7.2%6.2%
Skew 25d7.4%-10.2%20.3%20.3%1.0%
Skew 10d9.2%0.7%17.9%10.0%4.6%
Call IV 25d32.0%23.1%43.8%38.0%43.8%
Put IV 25d39.4%28.8%58.3%58.3%44.8%
Bid-Ask Spread %154.63126.79168.76168.76164.38
Gamma HHI0.450.360.680.680.37
Net GEX-8.9K-15.8K-2.4K-12.4K-11.3K
Net DEX135.7K-32.0K344.3K202.8K344.3K
Net VEX-4.1K-4.5K-3.6K-4.2K-3.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.110.000.500.000.00
Total Volume10.571059200
Total OI1,437.4761,3441,4981,4211,345

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$19.07$17.5072.6%20.8%39.4%58.4%0.0%20.3%7.2%-12.4K202.8K-4.2K0.00168.76N/AN/A200599822
2010-11-02$19.69$17.5038.2%11.0%40.5%20.0%0.0%10.1%9.3%-10.6K128.5K-4.3K0.00165.91N/AN/A350619822
2010-11-03$19.90$17.5040.0%11.5%40.6%22.0%0.0%17.2%7.5%-6.7K130.0K-4.3K0.50165.69N/AN/A2010607822
2010-11-04$20.10$17.5027.5%7.9%40.6%8.1%0.0%7.1%-1.6%-7.4K9.9K-4.2K0.25147.98N/AN/A4010627832
2010-11-05$20.20$20.0029.4%9.9%40.3%10.2%0.0%6.9%1.1%-4.3K-306-4.5K0.00126.79N/AN/A220647832
2010-11-08$20.17$20.0028.7%9.5%40.4%9.4%0.0%10.4%2.5%-2.8K-32.0K-4.3K0.00128.12N/AN/A01647832
2010-11-09$20.00$20.0033.4%9.6%40.5%14.6%0.0%9.5%1.7%-4.5K-26.3K-4.3K0.00142.42N/AN/A04647832
2010-11-10$20.15$20.0031.0%9.5%39.7%12.0%0.0%9.0%4.9%-2.4K-25.6K-4.4K0.00148.62N/AN/A00647835
2010-11-11$20.06$20.0032.9%9.4%39.8%14.1%0.0%4.1%3.7%-4.4K726-4.3K0.00142.36N/AN/A00647835
2010-11-12$19.63$20.0032.0%9.2%40.7%13.1%0.0%8.1%-2.3%-7.1K26.9K-4.2K0.00144.95N/AN/A590647835
2010-11-15$19.60$20.0031.9%9.1%40.6%12.9%0.0%15.3%2.7%-4.5K42.5K-4.1K0.00150.65N/AN/A00663835
2010-11-16$19.01$20.0031.0%8.9%41.4%12.0%0.0%10.3%10.0%-10.1K129.4K-4.0K0.00149.35N/AN/A00663835
2010-11-17$18.88$20.0043.6%12.5%40.7%26.0%0.0%7.8%13.2%-15.8K238.2K-3.9K0.00158.89N/AN/A00663834
2010-11-18$19.18$20.0045.8%13.1%40.7%28.4%0.0%11.2%10.2%-11.9K197.7K-4.0K0.00160.71N/AN/A00663834
2010-11-19$19.23$20.0047.8%13.7%40.7%30.7%0.0%10.8%10.6%-12.6K205.8K-4.0K0.00160.19N/AN/A00663834
2010-11-22$19.10$20.0052.3%15.0%40.7%35.7%0.0%-10.2%-6.5%-10.0K256.9K-4.0K0.00163.82N/AN/A00573771
2010-11-23$19.06$20.0044.7%12.8%37.9%27.2%0.0%-2.0%1.7%-12.5K257.8K-3.8K0.00163.85N/AN/A00573771
2010-11-24$19.23$20.0054.6%15.7%22.6%38.3%0.0%7.8%-0.5%-12.7K210.6K-3.7K0.00164.53N/AN/A10573771
2010-11-26$19.10$20.0055.3%15.9%22.1%39.1%0.0%-0.7%2.9%-11.1K271.2K-3.8K0.00164.94N/AN/A00574771
2010-11-29$19.12$20.0059.8%17.1%22.1%44.1%0.0%0.7%1.2%-11.2K279.9K-3.7K0.00164.41N/AN/A00574771
2010-11-30$18.82$20.0064.3%18.4%21.7%49.0%0.0%1.0%6.2%-11.3K344.3K-3.6K0.00164.38N/AN/A00574771