CSGS Options History — February 2011 In February 2011, CSGS traded between $18.95 and $20.75. ATM implied volatility averaged 27.5%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 3.5% (HV 20d: 24.0%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 6.32.
Notable Days 2011-02-01 : Highest Volume — 314 contracts2011-02-24 : Largest IV drop — 30.1% change2011-02-08 : Highest IV Rank — 13.8%2011-02-08 : Largest Expected Move — 9.6%Monthly Statistics Metric Avg Min Max Open Close Price $19.92 $18.95 $20.75 $19.87 $19.55 Max Pain $20.00 $20.00 $20.00 $20.00 $20.00 ATM IV 27.5% 19.7% 32.6% 29.2% 28.9% Expected Move 7.9% 5.6% 9.6% 8.4% 8.3% HV 20d 24.0% 21.8% 26.4% 24.2% 23.7% HV 60d 20.8% 20.0% 21.9% 20.7% 21.8% IV Rank 8.2% 0.0% 13.8% 10.0% 10.2% IV Percentile 16.4% 0.0% 38.1% 17.9% 20.6% Term Structure 1.2% -2.8% 8.7% 0.6% -1.0% VWIV 28.1% 20.4% 33.6% 29.2% 33.1% Skew 25d 6.1% -7.1% 27.9% 14.4% -2.9% Skew 10d 8.3% -5.9% 39.1% 21.2% -5.9% Call IV 25d 27.0% 19.8% 32.4% 31.4% 31.0% Put IV 25d 33.2% 24.4% 55.6% 45.8% 28.2% Bid-Ask Spread % 108.71 94.82 147.27 107.88 108.67 Gamma HHI 0.58 0.43 0.76 0.43 0.43 Net GEX -23.1K -37.8K 3.3K 3.3K -36.4K Net DEX 446.1K 35.5K 881.2K 35.5K 862.3K Net VEX -4.2K -5.6K -2.4K -2.4K -5.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 6.32 0.00 21.43 21.43 0.10 Total Volume 66.684 0 314 314 44 Total OI 1,534.632 1,046 1,926 1,046 1,926
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2011-02-01 $19.87 $20.00 29.2% 8.4% 24.2% 10.0% 29.2% 14.4% 0.6% 3.3K 35.5K -2.4K 21.43 107.88 N/A N/A 14 300 617 429 2011-02-02 $19.86 $20.00 31.1% 8.9% 23.7% 12.1% 0.0% 2.3% -2.1% -7.5K 269.8K -3.8K 0.00 111.92 N/A N/A 0 0 628 709 2011-02-03 $20.03 $20.00 31.6% 9.0% 23.7% 12.6% 0.0% 12.5% -1.4% -7.6K 244.1K -3.8K 14.00 110.17 N/A N/A 10 140 628 709 2011-02-04 $20.17 $20.00 29.4% 8.4% 23.8% 10.2% 0.0% 3.3% 0.2% -13.4K 315.1K -4.5K 0.00 104.38 N/A N/A 3 0 638 849 2011-02-07 $20.56 $20.00 29.7% 8.4% 24.5% 10.5% 0.0% 6.0% 1.4% -12.4K 183.1K -4.4K 0.00 102.76 N/A N/A 0 0 639 849 2011-02-08 $20.75 $20.00 32.6% 9.6% 24.5% 13.8% 33.6% 1.3% -2.8% -9.3K 80.0K -4.6K 0.35 94.82 N/A N/A 158 55 639 849 2011-02-09 $20.26 $20.00 23.2% 7.7% 26.4% 3.2% 26.7% 4.8% 2.7% -25.5K 326.2K -4.3K 0.00 104.13 N/A N/A 20 0 630 894 2011-02-10 $20.09 $20.00 27.4% 7.9% 26.2% 8.0% 0.0% 2.9% 1.7% -25.4K 372.2K -4.2K 0.00 106.53 N/A N/A 0 0 640 894 2011-02-11 $20.17 $20.00 27.2% 7.8% 25.3% 7.7% 0.0% 1.7% 1.4% -28.3K 373.9K -4.2K 0.00 107.31 N/A N/A 1 0 640 894 2011-02-14 $20.13 $20.00 25.7% 7.4% 25.2% 6.0% 25.7% -0.0% 3.7% -30.4K 345.4K -4.1K 0.00 105.30 N/A N/A 0 11 641 894 2011-02-15 $20.00 $20.00 25.6% 7.4% 24.1% 6.0% 0.0% 2.7% 3.4% -29.6K 365.5K -4.0K 0.00 147.27 N/A N/A 0 0 641 884 2011-02-16 $19.76 $20.00 25.4% 7.3% 22.1% 5.7% 0.0% 18.9% 3.2% -31.2K 542.8K -3.8K 0.00 104.73 N/A N/A 0 5 641 884 2011-02-17 $19.84 $20.00 25.9% 7.4% 22.1% 6.3% 0.0% 22.4% 3.7% -33.3K 542.7K -3.7K 0.00 104.86 N/A N/A 6 0 641 889 2011-02-18 $19.79 $20.00 27.7% 7.9% 22.0% 8.3% 0.0% 0.1% 1.6% -37.8K 502.0K -3.8K 0.00 103.60 N/A N/A 0 54 641 889 2011-02-22 $19.51 $20.00 29.2% 8.4% 22.9% 10.0% 0.0% -1.5% -1.9% -21.0K 595.8K -3.8K 0.00 107.15 N/A N/A 0 186 598 886 2011-02-23 $18.95 $20.00 28.2% 8.1% 25.1% 8.8% 0.0% -7.1% -2.5% -25.6K 838.2K -4.5K 21.00 107.10 N/A N/A 3 63 598 1,072 2011-02-24 $19.30 $20.00 19.7% 5.6% 21.8% 0.0% 20.4% 6.6% 8.7% -31.3K 881.2K -4.6K 0.00 115.85 N/A N/A 0 194 597 1,135 2011-02-25 $19.81 $20.00 24.9% 7.1% 23.8% 5.8% 0.0% 27.9% 2.1% -36.5K 800.2K -5.6K 0.00 111.02 N/A N/A 0 0 597 1,329 2011-02-28 $19.55 $20.00 28.9% 8.3% 23.7% 10.2% 33.1% -2.9% -1.0% -36.4K 862.3K -5.5K 0.10 108.67 N/A N/A 40 4 597 1,329
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