CSGS Options History — December 2010

In December 2010, CSGS traded between $18.63 and $19.50. ATM implied volatility averaged 39.4%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 19.2% (HV 20d: 20.2%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.26.

Notable Days

  • 2010-12-07: Highest Volume — 136 contracts
  • 2010-12-22: Largest IV spike — 111.0% change
  • 2010-12-27: Highest IV Rank — 88.8%
  • 2010-12-27: Largest Expected Move — 28.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.06$18.63$19.50$19.16$18.94
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV39.4%20.4%100.0%57.9%21.9%
Expected Move11.0%5.8%28.7%16.6%6.3%
HV 20d20.2%18.0%23.3%19.3%18.8%
HV 60d33.7%27.7%37.2%36.9%27.9%
IV Rank21.3%0.2%88.8%41.9%1.9%
IV Percentile42.2%0.4%99.6%95.6%2.0%
Term Structure8.1%-21.3%53.0%1.7%7.3%
VWIV37.4%37.4%37.4%37.4%37.4%
Skew 25d-2.5%-53.9%8.0%8.0%1.6%
Skew 10d3.2%-3.0%20.4%7.5%-3.0%
Call IV 25d33.8%19.4%122.7%32.8%24.2%
Put IV 25d31.3%22.6%68.8%40.8%25.7%
Bid-Ask Spread %125.2976.40175.12163.30115.00
Gamma HHI0.510.330.710.390.69
Net GEX-315-15.4K5.9K-11.8K5.1K
Net DEX131.1K-159.2K281.4K281.4K123.3K
Net VEX-3.3K-3.8K-2.9K-3.6K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.006.250.422.25
Total Volume13.50136680
Total OI1,243.3649911,4851,3451,004

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$19.16$20.0057.9%16.6%19.3%41.9%37.4%8.0%1.7%-11.8K281.4K-3.6K0.42163.30N/AN/A4820574771
2010-12-02$19.02$20.0056.1%16.1%18.9%40.0%0.0%6.7%7.2%-10.5K213.0K-3.8K0.00148.27N/AN/A160595751
2010-12-03$18.76$20.0087.6%25.1%18.7%75.0%0.0%-1.2%1.4%-7.9K251.4K-3.8K0.00164.52N/AN/A00611751
2010-12-06$18.63$20.0031.7%7.3%18.5%12.8%0.0%-6.8%12.6%-15.4K251.4K-3.3K0.50147.67N/AN/A2010611751
2010-12-07$19.19$20.0034.4%9.3%22.0%15.8%0.0%5.4%0.7%-8.2K187.4K-3.3K0.68123.92N/AN/A8155621761
2010-12-08$19.29$20.0030.3%8.8%22.0%11.2%0.0%7.2%3.2%-3.5K106.1K-3.8K6.2596.89N/AN/A425686799
2010-12-09$19.11$20.0029.6%9.0%21.9%10.5%0.0%4.2%2.1%-2.2K131.7K-3.5K0.0097.48N/AN/A00690745
2010-12-10$19.50$20.0028.6%8.7%23.3%9.3%0.0%7.5%2.4%-73078.0K-3.5K0.0097.80N/AN/A10690745
2010-12-13$19.22$20.0038.0%8.6%22.6%19.8%0.0%-2.4%3.5%-10381.0K-3.5K0.00104.30N/AN/A00690745
2010-12-14$19.19$20.0043.5%8.7%22.6%25.9%0.0%-3.8%3.4%-250110.7K-3.4K0.00106.00N/AN/A00690745
2010-12-15$18.95$20.0031.1%8.9%20.3%12.1%0.0%-6.2%2.9%-1.9K154.6K-3.3K0.00105.69N/AN/A00690745
2010-12-16$18.98$20.0029.8%8.5%20.2%10.6%0.0%-3.8%4.1%5.3K152.8K-3.2K0.00108.64N/AN/A40690745
2010-12-17$18.96$20.0029.5%8.5%19.3%10.3%0.0%-4.0%4.7%5.3K161.3K-3.2K0.00110.86N/AN/A00694745
2010-12-20$18.83$20.0020.4%5.8%19.4%0.2%0.0%3.2%13.5%5.3K101.4K-3.1K2.25116.23N/AN/A49597394
2010-12-21$19.07$20.0022.2%6.4%19.9%2.2%0.0%2.3%9.8%5.4K91.8K-3.2K0.00116.56N/AN/A00601403
2010-12-22$18.99$20.0046.8%13.4%19.9%29.6%0.0%-7.4%53.0%4.3K150.1K-3.0K0.00175.12N/AN/A00601403
2010-12-23$18.95$20.0052.3%15.0%19.6%35.7%0.0%-12.2%46.0%4.3K135.4K-3.0K0.00174.39N/AN/A00601403
2010-12-27$19.08$20.00100.0%28.7%19.7%88.8%0.0%-53.9%-21.3%3.8K-159.2K-3.7K0.00174.54N/AN/A00601403
2010-12-28$19.12$20.0025.8%7.4%19.7%6.1%0.0%4.2%7.4%5.4K98.9K-3.1K0.00115.19N/AN/A00601403
2010-12-29$19.06$20.0027.8%8.0%18.8%8.4%0.0%-6.7%2.3%5.3K95.7K-3.0K0.0076.40N/AN/A00601403
2010-12-30$19.25$20.0021.3%6.1%18.0%1.2%0.0%3.9%10.0%5.9K85.4K-3.0K0.00117.58N/AN/A00601403
2010-12-31$18.94$20.0021.9%6.3%18.8%1.9%0.0%1.6%7.3%5.1K123.3K-2.9K0.00115.00N/AN/A00601403