CSGS Options History — June 2011

In June 2011, CSGS traded between $17.77 and $18.84. ATM implied volatility averaged 26.8%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 6.9% (HV 20d: 19.9%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.17.

Notable Days

  • 2011-06-17: Highest Volume — 67 contracts
  • 2011-06-03: Largest IV spike — 22.0% change
  • 2011-06-07: Highest IV Rank — 17.6%
  • 2011-06-03: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.26$17.77$18.84$18.78$18.48
Max Pain$18.21$17.50$20.00$20.00$17.50
ATM IV26.8%23.4%31.5%25.1%25.9%
Expected Move7.6%6.7%12.4%7.2%7.4%
HV 20d19.9%17.0%27.5%27.5%18.9%
HV 60d21.7%21.1%22.6%22.6%21.9%
IV Rank11.9%7.8%17.6%9.9%10.9%
IV Percentile30.1%14.7%56.3%19.4%25.4%
Term Structure1.4%-34.9%9.9%-5.3%5.4%
VWIV25.9%25.9%25.9%25.9%25.9%
Skew 25d2.2%-3.7%7.8%2.9%-1.1%
Skew 10d6.5%-0.4%10.8%-0.4%7.3%
Call IV 25d24.4%20.9%27.9%25.3%27.8%
Put IV 25d26.5%21.0%32.7%28.2%26.7%
Bid-Ask Spread %112.96102.04136.81115.48114.39
Gamma HHI0.800.501.000.500.92
Net GEX-41.2K-63.9K-25.2K-62.6K-29.7K
Net DEX954.0K385.8K1.4M1.2M385.8K
Net VEX-3.2K-3.7K-2.9K-3.7K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.170.001.000.000.00
Total Volume8.13606703
Total OI1,352.2737851,7291,708842

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$18.78$20.0025.1%7.2%27.5%9.9%0.0%2.9%-5.3%-62.6K1.2M-3.7K0.00115.48N/AN/A003691,339
2011-06-02$18.84$20.0024.5%7.0%26.5%9.1%0.0%4.3%-5.6%-63.9K1.2M-3.6K0.00116.15N/AN/A003691,339
2011-06-03$18.69$0.0029.9%12.4%23.1%15.6%0.0%1.2%-34.9%-59.1K1.2M-3.6K0.00136.81N/AN/A1203691,339
2011-06-06$18.52$0.0030.6%7.4%21.4%16.5%0.0%-0.3%-1.6%-53.3K1.3M-3.4K1.00114.23N/AN/A10103661,339
2011-06-07$18.45$0.0031.5%7.0%21.3%17.6%0.0%-0.4%0.8%-52.2K1.3M-3.4K0.00114.69N/AN/A003761,349
2011-06-08$18.39$0.0031.3%7.1%19.0%17.3%0.0%0.2%0.5%-49.6K1.3M-3.4K0.00115.01N/AN/A003761,349
2011-06-09$18.55$0.0026.4%7.6%18.7%11.4%0.0%0.5%-0.6%-54.2K1.3M-3.4K0.00114.26N/AN/A003761,349
2011-06-10$18.04$0.0026.5%7.6%19.2%11.5%0.0%4.4%3.2%-46.4K1.4M-3.4K0.00110.14N/AN/A1003761,349
2011-06-13$17.97$0.0027.1%7.8%19.2%12.3%0.0%6.8%2.4%-41.1K1.4M-3.2K0.00102.04N/AN/A003861,335
2011-06-14$18.02$0.0024.3%7.0%18.6%8.9%0.0%1.4%5.2%-40.0K1.4M-3.1K0.00110.57N/AN/A003861,335
2011-06-15$17.90$0.0027.5%7.9%18.4%12.8%0.0%4.7%2.8%-41.9K1.4M-3.1K0.00107.15N/AN/A1003861,335
2011-06-16$17.96$0.0028.2%8.1%17.0%13.7%0.0%3.8%2.8%-41.1K1.4M-3.1K0.00110.11N/AN/A003941,335
2011-06-17$17.77$0.0029.6%8.5%17.2%15.3%0.0%4.5%-0.2%-46.4K1.4M-3.1K0.00107.60N/AN/A0673941,335
2011-06-20$17.88$0.0029.9%8.6%17.5%15.7%0.0%5.9%1.2%-25.2K486.9K-3.0K0.00104.34N/AN/A01094691
2011-06-21$18.36$0.0027.9%8.0%18.0%13.2%0.0%7.8%8.6%-26.3K438.1K-3.0K0.00109.88N/AN/A0094701
2011-06-22$18.01$0.0023.5%6.7%19.1%7.9%0.0%1.6%8.4%-26.5K451.9K-3.0K0.00112.84N/AN/A20094701
2011-06-23$18.18$0.0023.4%6.7%19.3%7.8%25.9%5.5%9.9%-26.6K457.1K-3.1K0.00106.37N/AN/A027114701
2011-06-24$18.04$17.5023.4%6.7%19.3%7.8%0.0%-3.7%3.8%-28.5K475.0K-3.1K0.00116.83N/AN/A00114728
2011-06-27$18.27$17.5024.3%7.0%20.0%8.9%0.0%1.6%8.3%-30.1K451.7K-3.0K0.00116.26N/AN/A00114728
2011-06-28$18.25$17.5024.2%6.9%19.3%8.8%0.0%-3.4%7.0%-30.0K448.9K-3.0K0.00115.51N/AN/A00114728
2011-06-29$18.34$17.5023.4%6.7%18.7%7.8%0.0%-0.8%9.1%-31.2K438.0K-3.0K0.00114.49N/AN/A00114728
2011-06-30$18.48$17.5025.9%7.4%18.9%10.9%0.0%-1.1%5.4%-29.7K385.8K-2.9K0.00114.39N/AN/A30114728