CSGS Options History — August 2011

In August 2011, CSGS traded between $12.58 and $17.68. ATM implied volatility averaged 49.7%, placing in the 39.5% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded above realized volatility by 9.2% (HV 20d: 40.5%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 0.66.

Notable Days

  • 2011-08-11: Highest Volume — 143 contracts
  • 2011-08-11: Largest IV drop — 43.9% change
  • 2011-08-24: Highest IV Rank — 80.1%
  • 2011-08-24: Largest Expected Move — 23.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.04$12.58$17.68$17.68$13.36
Max Pain$19.57$17.50$20.00$17.50$20.00
ATM IV49.7%35.5%83.5%36.4%55.2%
Expected Move13.6%10.1%23.9%10.4%15.8%
HV 20d40.5%16.8%52.1%16.8%49.0%
HV 60d29.7%19.6%34.9%19.6%34.9%
IV Rank39.5%22.4%80.1%23.5%46.1%
IV Percentile88.1%79.0%99.2%80.6%90.5%
Term Structure-2.6%-18.0%41.7%-7.8%-7.2%
VWIV44.6%29.7%59.6%29.7%59.6%
Skew 25d-0.0%-23.4%19.9%3.7%-2.5%
Skew 10d-3.8%-24.2%12.8%6.3%-12.8%
Call IV 25d44.0%29.5%57.9%35.2%57.9%
Put IV 25d44.0%32.7%59.8%38.9%55.5%
Bid-Ask Spread %127.77108.67162.81108.67125.98
Gamma HHI0.720.430.960.930.52
Net GEX-11.7K-41.5K-3.2K-41.5K-4.9K
Net DEX926.7K637.4K1.0M637.4K912.0K
Net VEX-1.8K-2.9K-1.3K-2.9K-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.001.670.840.00
Total Volume20.9130143010
Total OI1,099.3489871,2049871,132

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-08-01$17.68$17.5036.4%10.4%16.8%23.5%0.0%3.7%-7.8%-41.5K637.4K-2.9K0.00108.67N/AN/A00156831
2011-08-02$17.07$17.5035.6%10.2%20.0%22.5%0.0%0.6%-6.7%-40.3K719.9K-2.8K0.00108.79N/AN/A00156831
2011-08-03$15.98$17.5035.5%10.2%27.2%22.4%29.7%7.1%6.5%-25.6K966.8K-2.1K0.84109.71N/AN/A3227156831
2011-08-04$15.57$17.5038.5%11.0%27.9%26.0%0.0%-1.3%-10.9%-22.9K968.8K-2.0K0.00117.59N/AN/A014184835
2011-08-05$15.27$20.0044.1%10.1%28.1%32.7%0.0%6.5%-2.8%-20.2K989.3K-1.9K0.00125.39N/AN/A017184845
2011-08-08$14.01$20.0055.2%11.8%38.7%46.1%0.0%-2.9%-9.2%-12.3K985.4K-1.6K1.45115.74N/AN/A2029184862
2011-08-09$14.02$20.0060.4%14.7%38.7%52.4%0.0%10.3%-6.9%-10.3K997.2K-1.7K0.00117.42N/AN/A01204890
2011-08-10$13.63$20.0075.3%16.4%38.8%70.3%0.0%-11.1%-18.0%-9.6K935.8K-1.8K0.00121.05N/AN/A00204890
2011-08-11$13.98$20.0042.2%12.1%41.5%30.5%59.6%-7.9%-2.3%-8.3K1.0M-1.6K0.00118.04N/AN/A0143204890
2011-08-12$14.01$20.0043.8%12.6%41.6%32.4%0.0%-7.7%-4.7%-8.4K999.8K-1.6K0.00122.19N/AN/A320204868
2011-08-15$13.54$20.0044.2%12.7%42.2%32.9%0.0%14.8%-2.9%-5.8K1.0M-1.3K1.67123.62N/AN/A3660236868
2011-08-16$13.90$20.0037.7%10.8%43.4%25.0%0.0%3.0%-8.9%-5.3K1.0M-1.6K0.00119.47N/AN/A100266928
2011-08-17$13.92$20.0039.6%11.4%43.1%27.4%0.0%-7.5%-7.3%-6.7K1.0M-1.7K0.00124.51N/AN/A00276928
2011-08-18$13.31$20.0049.4%14.2%43.3%39.1%0.0%19.9%-2.3%-5.9K1.0M-1.6K0.00122.25N/AN/A00276928
2011-08-19$12.86$20.0054.2%15.5%43.6%44.9%0.0%14.1%-10.8%-5.3K984.7K-1.5K0.00122.29N/AN/A010276928
2011-08-22$12.58$20.0057.4%16.4%43.2%48.7%0.0%-9.5%41.7%-5.6K843.7K-1.6K0.00152.48N/AN/A100254848
2011-08-23$13.20$20.0076.2%21.9%49.4%71.4%0.0%13.9%10.3%-7.2K841.5K-1.8K0.00157.41N/AN/A00264848
2011-08-24$13.25$20.0083.5%23.9%49.9%80.1%0.0%11.2%-3.0%-7.6K838.6K-1.7K0.00162.81N/AN/A00264848
2011-08-25$12.78$20.0047.3%13.6%50.3%36.6%0.0%3.0%9.5%-4.2K873.4K-1.5K0.00147.00N/AN/A020264848
2011-08-26$12.82$20.0043.3%12.4%50.7%31.8%0.0%-23.4%-11.6%-3.2K898.0K-1.5K0.00157.63N/AN/A00264868
2011-08-29$13.03$20.0043.1%12.4%51.9%31.6%0.0%-22.8%-4.9%-3.7K900.6K-1.5K0.00130.19N/AN/A010264868
2011-08-30$13.17$20.0045.8%13.1%52.1%34.8%0.0%-11.3%1.3%-3.9K908.9K-1.5K0.00128.55N/AN/A00264868
2011-08-31$13.36$20.0055.2%15.8%49.0%46.1%0.0%-2.5%-7.2%-4.9K912.0K-1.6K0.00125.98N/AN/A010264868