CSGS Options History — September 2011

In September 2011, CSGS traded between $12.61 and $13.87. ATM implied volatility averaged 55.6%, placing in the 43.2% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 15.4% (HV 20d: 40.2%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.60.

Notable Days

  • 2011-09-08: Highest Volume — 110 contracts
  • 2011-09-07: Largest IV spike — 93.1% change
  • 2011-09-07: Highest IV Rank — 100.0%
  • 2011-09-30: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.06$12.61$13.87$13.25$12.64
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV55.6%33.7%110.6%40.3%51.1%
Expected Move13.0%9.7%14.7%11.6%14.7%
HV 20d40.2%36.0%49.6%48.5%39.4%
HV 60d37.3%34.9%39.2%34.9%39.2%
IV Rank43.2%17.9%100.0%28.2%36.5%
IV Percentile86.1%65.9%100.0%79.8%87.3%
Term Structure0.6%-8.1%8.9%-4.9%-2.0%
Skew 25d10.5%-32.4%21.8%-32.4%15.3%
Skew 10d10.9%-34.3%29.7%-34.3%24.8%
Call IV 25d38.0%26.7%58.6%58.6%45.0%
Put IV 25d48.5%26.3%60.3%26.3%60.3%
Bid-Ask Spread %131.86115.20164.40128.38134.12
Gamma HHI0.390.340.520.480.35
Net GEX-5.1K-6.4K-3.2K-3.9K-5.1K
Net DEX729.3K453.8K1.0M919.7K482.2K
Net VEX-1.8K-2.1K-1.4K-1.6K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.002.400.000.00
Total Volume10.3330110100
Total OI1,015.5718051,2461,142826

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$13.25$20.0040.3%11.6%48.5%28.2%0.0%-32.4%-4.9%-3.9K919.7K-1.6K0.00128.38N/AN/A010264878
2011-09-02$12.74$20.0045.1%12.9%49.6%33.9%0.0%-18.1%-8.1%-3.5K925.4K-1.4K0.00155.68N/AN/A00264888
2011-09-06$12.63$0.0053.1%13.9%40.5%43.5%0.0%5.7%-3.5%-3.2K926.8K-1.4K0.00118.80N/AN/A00264888
2011-09-07$13.13$0.00102.4%12.5%43.4%100.0%0.0%21.4%8.6%-4.2K934.1K-1.5K0.00144.87N/AN/A00264888
2011-09-08$13.02$0.0061.2%13.8%42.4%51.8%0.0%15.9%-3.2%-3.9K930.7K-1.5K0.00120.59N/AN/A0110264888
2011-09-09$12.80$0.0043.3%12.6%41.4%30.8%0.0%10.8%-2.5%-4.7K1.0M-1.6K0.00115.20N/AN/A20264974
2011-09-12$12.85$0.0068.7%12.9%41.4%60.5%0.0%10.2%-3.5%-4.6K1.0M-1.6K2.40119.46N/AN/A1024266974
2011-09-13$13.23$0.0091.4%13.4%41.5%87.1%0.0%19.6%2.4%-5.4K968.0K-1.8K0.00125.82N/AN/A00276950
2011-09-14$13.41$0.00110.6%11.9%40.6%100.0%0.0%11.7%3.6%-5.6K965.9K-1.9K0.00127.93N/AN/A020276950
2011-09-15$13.72$0.0045.9%13.2%41.5%30.9%0.0%3.2%-4.9%-6.2K969.3K-2.0K0.00128.65N/AN/A00276970
2011-09-16$13.87$0.0033.7%9.7%38.3%17.9%0.0%1.3%8.5%-6.4K973.4K-2.1K0.00129.22N/AN/A020276970
2011-09-19$13.38$0.0037.8%10.8%38.5%22.3%0.0%2.9%3.2%-6.3K470.1K-1.9K0.00128.39N/AN/A00205600
2011-09-20$13.49$0.0044.7%12.8%37.5%29.7%0.0%18.6%2.2%-6.0K468.2K-2.0K0.00130.30N/AN/A00205600
2011-09-21$13.01$0.0047.3%13.6%36.1%32.4%0.0%16.6%-6.7%-5.8K465.0K-1.9K0.00128.28N/AN/A00205600
2011-09-22$12.61$0.0050.4%14.4%37.6%35.7%0.0%17.6%0.5%-5.1K497.0K-1.7K0.00132.60N/AN/A100205600
2011-09-23$12.83$0.0046.4%13.3%36.0%31.5%0.0%19.9%5.9%-4.7K495.7K-1.7K0.00134.15N/AN/A10215600
2011-09-26$12.91$0.0048.7%14.0%36.1%33.9%0.0%21.0%3.6%-5.2K482.3K-1.8K0.00133.64N/AN/A010216600
2011-09-27$13.17$0.0049.5%14.2%36.3%34.8%0.0%19.6%5.7%-5.8K453.8K-2.0K0.00164.40N/AN/A00216610
2011-09-28$12.70$0.0049.4%14.2%38.3%34.7%0.0%18.0%-0.9%-5.1K481.7K-1.8K0.00134.66N/AN/A00216610
2011-09-29$12.95$0.0046.6%13.4%38.7%31.7%0.0%21.8%8.9%-5.3K492.5K-1.8K0.00133.99N/AN/A00216610
2011-09-30$12.64$0.0051.1%14.7%39.4%36.5%0.0%15.3%-2.0%-5.1K482.2K-1.7K0.00134.12N/AN/A00216610