CSGS Options History — April 2011

In April 2011, CSGS traded between $20.01 and $21.23. ATM implied volatility averaged 31.9%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 14.3% (HV 20d: 17.6%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.92.

Notable Days

  • 2011-04-15: Highest Volume — 98 contracts
  • 2011-04-07: Largest IV spike — 122.6% change
  • 2011-04-08: Highest IV Rank — 50.4%
  • 2011-04-08: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.43$20.01$21.23$20.11$21.23
Max Pain$17.63$17.50$20.00$20.00$17.50
ATM IV31.9%21.1%65.2%29.1%28.9%
Expected Move8.3%6.1%9.1%8.3%8.3%
HV 20d17.6%15.6%20.8%20.8%16.2%
HV 60d21.7%20.1%22.9%22.4%20.2%
IV Rank13.5%1.6%50.4%10.4%10.2%
IV Percentile35.1%2.0%96.4%30.2%27.8%
Term Structure0.3%-1.6%5.0%1.3%1.2%
VWIV28.0%19.5%33.1%27.8%33.1%
Skew 25d5.0%-3.5%11.4%3.5%7.1%
Skew 10d6.1%-5.0%19.8%5.0%16.4%
Call IV 25d25.0%20.1%32.1%31.6%24.0%
Put IV 25d29.9%22.0%38.2%35.1%31.1%
Bid-Ask Spread %108.2492.95149.38109.14108.72
Gamma HHI0.360.330.420.340.38
Net GEX-16.8K-29.6K2.5K-16.5K-15.7K
Net DEX255.6K29.0K426.9K336.5K29.0K
Net VEX-4.4K-5.0K-3.5K-4.8K-3.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.006.430.000.00
Total Volume13.1098570
Total OI1,507.91,4401,5301,4401,526

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$20.11$20.0029.1%8.3%20.8%10.4%27.8%3.5%1.3%-16.5K336.5K-4.8K0.00109.14N/AN/A5704351,005
2011-04-04$20.22$17.5029.4%8.7%20.8%10.8%30.8%-3.5%-1.4%-10.9K281.7K-4.7K6.4392.95N/AN/A7454561,005
2011-04-05$20.01$17.5026.3%8.1%19.3%7.3%0.0%2.4%1.0%-11.6K351.7K-5.0K0.00101.55N/AN/A004631,050
2011-04-06$20.37$17.5026.2%8.2%20.3%7.2%0.0%6.6%0.6%-8.4K277.4K-4.9K0.0094.71N/AN/A004631,050
2011-04-07$20.55$17.5058.3%9.0%18.9%42.7%0.0%9.7%-0.7%-17.7K196.6K-4.9K0.00143.60N/AN/A1004631,050
2011-04-08$20.50$17.5065.2%9.1%18.6%50.4%0.0%9.4%-1.1%-17.2K185.0K-4.8K0.00149.38N/AN/A004731,050
2011-04-11$20.51$17.5031.2%8.8%18.6%12.7%0.0%0.6%-0.2%-9.1K157.1K-4.6K0.0097.17N/AN/A004731,050
2011-04-12$20.13$17.5033.4%8.3%17.2%15.1%0.0%6.0%0.2%-8.2K249.3K-4.6K0.00101.75N/AN/A004731,050
2011-04-13$20.10$17.5030.9%8.3%16.7%12.4%0.0%5.5%-0.2%-411296.2K-4.6K0.00104.93N/AN/A004731,050
2011-04-14$20.37$17.5030.2%8.7%17.1%11.7%0.0%6.4%-1.4%-7.3K232.3K-4.5K0.00103.61N/AN/A004731,050
2011-04-15$20.32$17.5030.7%8.8%15.6%12.2%19.5%8.0%-1.6%2.5K199.2K-4.5K0.00100.91N/AN/A9804731,050
2011-04-18$20.11$17.5030.0%8.6%16.2%11.5%0.0%4.7%-0.5%-29.3K426.9K-4.4K0.00103.93N/AN/A004401,049
2011-04-19$20.14$17.5028.9%8.3%16.1%10.2%28.9%2.8%0.3%-29.6K397.8K-4.3K0.00105.18N/AN/A1104401,049
2011-04-20$20.59$17.5028.2%8.1%16.7%9.4%0.0%9.4%0.5%-27.7K279.6K-4.2K0.00104.94N/AN/A004511,049
2011-04-21$20.46$17.5027.9%8.0%17.0%9.1%0.0%5.1%0.3%-26.9K308.0K-4.2K0.00105.39N/AN/A0104511,049
2011-04-25$20.48$17.5030.1%8.6%16.8%11.5%0.0%11.4%-1.2%-28.4K312.7K-4.1K0.00106.37N/AN/A004511,059
2011-04-26$20.61$17.5030.2%8.7%16.8%11.6%33.1%6.2%-1.5%-27.6K264.1K-4.1K0.0098.45N/AN/A2004511,059
2011-04-27$20.86$17.5021.1%6.1%17.1%1.6%0.0%-1.4%5.0%-23.0K172.5K-3.8K0.00115.53N/AN/A404711,059
2011-04-28$20.93$17.5021.9%6.3%15.8%2.5%0.0%-0.5%4.9%-22.1K158.2K-3.8K0.00116.63N/AN/A004671,059
2011-04-29$21.23$17.5028.9%8.3%16.2%10.2%0.0%7.1%1.2%-15.7K29.0K-3.5K0.00108.72N/AN/A004671,059