CSGS Options History — March 2011

In March 2011, CSGS traded between $19.01 and $20.29. ATM implied volatility averaged 25.9%, placing in the 6.9% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 2.4% (HV 20d: 23.5%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.09.

Notable Days

  • 2011-03-08: Highest Volume — 169 contracts
  • 2011-03-03: Largest IV spike — 28.3% change
  • 2011-03-16: Highest IV Rank — 13.3%
  • 2011-03-16: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.54$19.01$20.29$19.23$19.94
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV25.9%20.3%31.7%26.7%23.8%
Expected Move7.6%5.8%9.1%7.7%6.8%
HV 20d23.5%20.0%26.4%24.2%20.6%
HV 60d22.0%21.2%22.6%22.0%22.4%
IV Rank6.9%0.7%13.3%7.8%4.6%
IV Percentile14.8%0.8%42.1%13.1%8.7%
Term Structure3.6%0.3%11.4%0.3%3.6%
VWIV25.9%24.3%27.8%27.8%24.3%
Skew 25d2.4%-5.1%16.6%-3.8%16.6%
Skew 10d2.0%-5.3%22.6%-5.3%22.6%
Call IV 25d26.5%20.5%31.9%31.2%29.2%
Put IV 25d28.9%26.1%45.8%27.4%45.8%
Bid-Ask Spread %110.81101.41133.81110.78114.58
Gamma HHI0.420.360.460.430.36
Net GEX-33.3K-39.7K-14.7K-34.9K-14.7K
Net DEX742.1K410.1K1.1M929.2K410.1K
Net VEX-5.1K-5.6K-4.5K-5.6K-4.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.090.000.250.000.00
Total Volume21.7830169230
Total OI1,747.9131,2322,1091,9461,440

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-03-01$19.23$20.0026.7%7.7%24.2%7.8%0.0%-3.8%0.3%-34.9K929.2K-5.6K0.00110.78N/AN/A0236151,331
2011-03-02$19.44$20.0020.3%5.8%23.2%0.7%0.0%6.8%6.4%-37.5K941.4K-5.6K0.00114.28N/AN/A006151,354
2011-03-03$19.71$20.0026.0%7.5%23.8%7.0%0.0%1.0%1.8%-37.3K769.1K-5.6K0.00112.28N/AN/A006151,354
2011-03-04$19.79$0.0022.8%8.0%23.6%3.4%0.0%1.4%1.6%-39.3K773.0K-5.5K0.00102.07N/AN/A606151,354
2011-03-07$19.80$0.0027.5%8.1%23.4%8.6%0.0%0.3%0.9%-37.8K759.7K-5.4K0.00105.23N/AN/A006211,354
2011-03-08$20.29$0.0025.9%8.2%24.1%6.9%0.0%4.2%1.5%-34.8K497.3K-5.3K0.20103.46N/AN/A141286211,354
2011-03-09$20.23$0.0026.2%8.2%23.8%7.2%0.0%4.6%2.3%-32.5K523.4K-5.5K0.00103.89N/AN/A007431,356
2011-03-10$19.81$0.0028.5%8.2%23.5%9.8%0.0%1.3%3.2%-35.2K680.3K-5.5K0.00104.89N/AN/A007431,356
2011-03-11$19.65$0.0027.9%8.0%23.5%9.1%0.0%-0.4%2.9%-38.3K879.8K-5.4K0.00128.96N/AN/A0237431,356
2011-03-14$19.70$0.0027.6%7.9%23.4%8.7%0.0%0.0%4.4%-39.7K875.1K-5.2K0.00105.87N/AN/A007431,356
2011-03-15$19.19$0.0031.3%9.0%25.1%12.8%0.0%-3.6%0.8%-33.9K1.0M-5.1K0.00107.35N/AN/A007431,356
2011-03-16$19.01$0.0031.7%9.1%25.2%13.3%0.0%-5.1%1.4%-32.7K1.1M-5.0K0.00110.18N/AN/A007431,356
2011-03-17$19.03$0.0027.4%7.8%24.9%8.5%0.0%-4.5%1.2%-34.8K1.1M-4.9K0.00113.10N/AN/A1007431,356
2011-03-18$19.47$0.0028.5%8.2%26.4%9.8%0.0%-0.7%2.1%-37.9K1.0M-4.9K0.00108.23N/AN/A057531,356
2011-03-21$19.48$0.0028.0%8.0%26.4%9.2%27.8%-0.2%1.1%-30.9K560.5K-4.7K0.25106.26N/AN/A41248984
2011-03-22$19.42$20.0026.8%7.7%25.9%7.8%0.0%-0.9%3.9%-31.1K610.0K-4.7K0.00105.82N/AN/A00252985
2011-03-23$19.17$20.0023.6%6.8%24.1%4.4%0.0%7.9%11.4%-31.4K653.2K-4.6K0.00113.89N/AN/A00252985
2011-03-24$19.30$20.0022.4%6.4%23.3%3.0%0.0%6.4%9.2%-31.4K639.0K-4.6K0.00114.55N/AN/A00252985
2011-03-25$19.23$20.0024.6%7.1%21.2%5.5%0.0%1.9%6.2%-31.9K620.1K-4.5K0.00101.41N/AN/A00252985
2011-03-28$19.29$20.0023.1%6.6%20.8%3.8%25.7%0.4%3.3%-32.0K614.2K-4.5K0.07110.82N/AN/A15010252985
2011-03-29$19.38$20.0021.0%6.0%20.0%1.5%0.0%9.6%10.4%-26.6K573.0K-4.8K0.00116.90N/AN/A010370995
2011-03-30$19.80$20.0024.1%6.9%21.0%4.9%24.3%12.9%3.9%-28.9K511.1K-4.6K0.00133.81N/AN/A9003701,005
2011-03-31$19.94$20.0023.8%6.8%20.6%4.6%0.0%16.6%3.6%-14.7K410.1K-4.8K0.00114.58N/AN/A004351,005