CSGS Options History — May 2011

In May 2011, CSGS traded between $18.63 and $21.34. ATM implied volatility averaged 22.0%, placing in the 4.1% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 3.6% (HV 20d: 25.6%). 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 2.32.

Notable Days

  • 2011-05-10: Highest Volume — 155 contracts
  • 2011-05-05: Largest IV spike — 37.9% change
  • 2011-05-23: Highest IV Rank — 11.4%
  • 2011-05-05: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.43$18.63$21.34$21.34$19.09
Max Pain$19.52$17.50$20.00$17.50$20.00
ATM IV22.0%16.9%27.6%22.7%20.4%
Expected Move6.2%4.8%7.9%6.5%5.9%
HV 20d25.6%16.1%28.4%16.1%27.5%
HV 60d22.5%20.2%23.8%20.2%22.3%
IV Rank4.1%0.0%11.4%3.3%4.2%
IV Percentile6.8%0.0%23.4%6.0%4.0%
Term Structure4.2%-4.8%13.9%4.1%-0.4%
VWIV23.1%17.7%29.8%29.8%23.2%
Skew 25d2.9%-1.2%10.6%10.4%10.6%
Skew 10d2.2%-1.5%12.6%7.8%2.8%
Call IV 25d22.1%16.0%31.5%23.6%18.3%
Put IV 25d25.0%21.0%34.0%34.0%28.9%
Bid-Ask Spread %109.9793.84118.38109.66117.99
Gamma HHI0.510.370.600.370.54
Net GEX-59.5K-78.8K-9.1K-9.1K-73.3K
Net DEX839.4K-49.9K1.2M-49.9K1.1M
Net VEX-3.9K-4.2K-3.6K-3.6K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.320.0010.000.500.00
Total Volume23.048015560
Total OI1,703.7141,5261,8161,5261,708

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$21.34$17.5022.7%6.5%16.1%3.3%29.8%10.4%4.1%-9.1K-49.9K-3.6K0.50109.66N/AN/A424671,059
2011-05-03$21.00$17.5023.6%6.8%17.5%4.4%0.0%-1.1%1.0%-16.9K90.1K-3.6K0.00115.57N/AN/A014711,061
2011-05-04$20.46$17.5020.0%5.7%19.7%0.4%17.7%3.9%8.0%-35.3K315.3K-3.6K0.00111.22N/AN/A704711,062
2011-05-05$19.67$17.5027.6%7.9%23.4%8.7%27.5%1.5%-1.7%-42.1K524.9K-3.8K0.00108.59N/AN/A0924761,062
2011-05-06$19.14$20.0022.6%5.5%24.7%3.3%18.8%-1.1%7.7%-58.0K798.6K-3.8K3.81118.38N/AN/A16614761,154
2011-05-09$19.22$20.0021.9%6.5%24.8%2.5%23.2%0.2%5.0%-60.2K860.1K-4.1K0.00103.36N/AN/A504761,215
2011-05-10$19.68$20.0023.7%6.2%26.6%4.5%21.6%-0.3%6.1%-65.2K733.9K-4.0K6.3897.96N/AN/A211344811,215
2011-05-11$19.34$20.0022.8%6.5%26.5%3.4%0.0%0.0%5.4%-70.5K916.5K-4.2K0.00101.34N/AN/A005001,306
2011-05-12$19.69$20.0023.0%6.6%27.4%4.1%23.2%0.7%5.2%-75.6K809.3K-4.1K0.00103.76N/AN/A1005001,306
2011-05-13$19.58$20.0023.1%6.6%26.9%4.2%0.0%1.2%4.0%-73.3K809.0K-4.2K0.00107.07N/AN/A005101,306
2011-05-16$19.21$20.0020.2%5.8%27.6%0.6%0.0%-1.2%4.6%-70.7K912.9K-4.1K0.00110.83N/AN/A005101,306
2011-05-17$19.02$20.0018.1%5.2%27.6%0.0%0.0%2.3%9.2%-69.0K1.1M-3.8K0.00115.24N/AN/A005101,306
2011-05-18$19.35$20.0016.9%4.8%28.4%0.0%0.0%8.6%13.9%-78.8K965.2K-3.9K0.00116.29N/AN/A005101,306
2011-05-19$19.31$20.0019.8%5.7%27.0%3.5%0.0%6.7%11.9%-74.2K972.4K-3.9K0.00116.03N/AN/A005101,306
2011-05-20$19.18$20.0021.7%6.2%27.0%5.8%0.0%-0.6%3.9%-71.0K975.4K-3.8K0.00112.56N/AN/A005101,306
2011-05-23$18.64$20.0026.4%7.6%28.4%11.4%0.0%7.3%1.4%-55.1K1.1M-3.6K10.00104.75N/AN/A101003621,243
2011-05-24$18.63$20.0022.8%6.5%28.1%7.1%0.0%1.7%4.0%-58.3K1.2M-3.9K0.0093.84N/AN/A003621,341
2011-05-25$18.76$20.0022.5%6.4%27.8%6.7%0.0%2.8%-4.8%-62.9K1.2M-3.9K0.00116.02N/AN/A003621,341
2011-05-26$18.84$20.0021.2%6.1%27.8%5.1%0.0%3.4%-4.3%-64.8K1.2M-3.9K0.22114.39N/AN/A923621,341
2011-05-27$18.86$20.0020.2%5.8%27.0%4.0%0.0%3.9%4.2%-65.0K1.2M-3.8K0.00114.56N/AN/A1003631,339
2011-05-31$19.09$20.0020.4%5.9%27.5%4.2%0.0%10.6%-0.4%-73.3K1.1M-3.7K0.00117.99N/AN/A003691,339