CSGS Options History — July 2011

In July 2011, CSGS traded between $17.76 and $19.24. ATM implied volatility averaged 33.8%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 15.5% (HV 20d: 18.4%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.76.

Notable Days

  • 2011-07-08: Highest Volume — 76 contracts
  • 2011-07-14: Largest IV drop — 54.3% change
  • 2011-07-13: Highest IV Rank — 53.8%
  • 2011-07-29: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.55$17.76$19.24$18.68$17.76
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV33.8%23.0%61.6%28.9%35.4%
Expected Move8.4%5.5%10.1%8.3%10.1%
HV 20d18.4%16.3%20.8%19.2%17.5%
HV 60d21.8%21.1%22.2%21.7%21.1%
IV Rank20.4%7.4%53.8%14.5%22.2%
IV Percentile61.1%13.1%95.6%44.4%79.8%
Term Structure-3.0%-8.9%6.7%3.0%-5.7%
VWIV32.1%29.2%37.4%29.2%37.4%
Skew 25d2.6%-11.3%12.3%1.9%5.5%
Skew 10d5.3%-1.0%16.6%3.5%9.0%
Call IV 25d27.5%21.2%31.9%27.4%31.9%
Put IV 25d30.0%19.2%37.5%29.4%37.5%
Bid-Ask Spread %102.7287.50116.55116.55104.97
Gamma HHI0.900.870.920.910.92
Net GEX-31.8K-38.4K-24.5K-30.3K-38.4K
Net DEX386.3K252.2K586.2K368.4K586.2K
Net VEX-2.8K-3.0K-2.6K-2.9K-3.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.005.330.000.00
Total Volume9.9076010
Total OI907.75843977843977

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$18.68$17.5028.9%8.3%19.2%14.5%0.0%1.9%3.0%-30.3K368.4K-2.9K0.00116.55N/AN/A00115728
2011-07-05$18.81$17.5031.4%5.5%19.0%17.5%0.0%10.8%6.7%-29.0K346.6K-2.8K0.00103.31N/AN/A00115728
2011-07-06$19.24$17.5023.0%7.5%20.4%7.4%0.0%8.5%-0.7%-25.7K260.3K-2.6K0.0094.24N/AN/A20115728
2011-07-07$19.07$17.5029.9%8.1%20.7%15.7%0.0%6.1%-2.5%-24.5K252.2K-2.6K0.0089.45N/AN/A20117728
2011-07-08$18.91$17.5034.0%7.1%20.8%20.6%29.2%3.5%1.8%-26.4K287.6K-2.7K5.3387.50N/AN/A1264117728
2011-07-11$18.80$17.5044.9%8.1%18.1%33.7%29.6%0.3%-2.2%-30.1K338.6K-2.8K0.0093.93N/AN/A120129792
2011-07-12$18.80$17.5048.3%8.3%18.0%37.8%0.0%0.4%-3.1%-30.2K330.2K-2.8K0.0097.38N/AN/A00129792
2011-07-13$18.72$17.5061.6%7.1%18.1%53.8%0.0%-11.3%-3.0%-31.2K347.1K-2.8K0.00108.20N/AN/A00129792
2011-07-14$18.49$17.5028.2%8.1%18.6%13.6%0.0%0.1%-0.4%-32.6K352.7K-2.8K0.00106.33N/AN/A00129792
2011-07-15$18.47$17.5032.1%9.2%18.6%18.3%0.0%1.3%-4.4%-34.4K422.7K-2.8K0.0093.29N/AN/A00129792
2011-07-18$18.18$17.5033.2%9.5%19.1%19.6%0.0%6.8%-6.5%-33.6K431.5K-2.7K0.0095.65N/AN/A100129765
2011-07-19$18.46$17.5034.4%9.9%19.7%21.1%0.0%5.0%-3.2%-31.5K407.5K-2.7K0.00101.74N/AN/A026126765
2011-07-20$18.58$17.5033.4%9.6%17.5%19.8%0.0%12.3%-2.3%-32.5K423.2K-2.9K0.00108.16N/AN/A00126791
2011-07-21$18.80$17.5026.0%7.5%16.3%11.0%0.0%-3.3%-3.9%-31.6K351.9K-2.8K0.00102.54N/AN/A00126791
2011-07-22$18.57$17.5027.5%7.9%16.8%12.7%37.4%-4.2%-8.9%-32.3K391.2K-2.7K0.00113.91N/AN/A200126791
2011-07-25$18.54$17.5028.4%8.1%16.5%13.8%0.0%-0.8%-8.3%-32.9K381.1K-2.8K0.00114.20N/AN/A100146791
2011-07-26$18.25$17.5028.9%8.3%17.0%14.4%0.0%-1.3%-6.8%-35.1K423.1K-2.8K0.00114.15N/AN/A010156791
2011-07-27$17.99$17.5034.6%9.9%17.8%21.3%0.0%4.5%-5.4%-35.8K497.8K-2.9K0.0099.56N/AN/A020156801
2011-07-28$17.88$17.5032.8%9.4%17.7%19.1%0.0%5.7%-4.4%-37.9K527.0K-3.0K0.00109.27N/AN/A00156821
2011-07-29$17.76$17.5035.4%10.1%17.5%22.2%0.0%5.5%-5.7%-38.4K586.2K-3.0K0.00104.97N/AN/A010156821