CSGS Options History — October 2011

In October 2011, CSGS traded between $12.34 and $14.69. ATM implied volatility averaged 46.7%, placing in the 31.8% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 7.0% (HV 20d: 39.7%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.75.

Notable Days

  • 2011-10-17: Highest Volume — 291 contracts
  • 2011-10-07: Largest IV spike — 36.2% change
  • 2011-10-11: Highest IV Rank — 54.0%
  • 2011-10-03: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.64$12.34$14.69$12.34$14.24
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV46.7%32.7%67.5%59.0%41.9%
Expected Move12.6%9.4%16.9%16.9%12.0%
HV 20d39.7%36.8%42.5%37.9%41.3%
HV 60d42.5%39.4%45.1%39.4%43.8%
IV Rank31.8%16.9%54.0%44.9%26.6%
IV Percentile78.8%59.5%94.8%92.1%72.6%
Term Structure-1.1%-7.3%6.2%-6.3%-7.2%
VWIV34.8%34.8%34.8%34.8%34.8%
Skew 25d5.3%-9.2%25.5%17.3%-3.6%
Skew 10d10.0%-8.0%36.4%26.9%-3.0%
Call IV 25d43.5%31.4%51.8%51.8%47.9%
Put IV 25d48.7%36.7%73.0%69.1%44.3%
Bid-Ask Spread %131.65116.29164.58131.91116.29
Gamma HHI0.400.280.570.350.53
Net GEX1.1K-6.3K12.2K-4.7K11.6K
Net DEX199.5K-161.4K512.6K487.1K-29.2K
Net VEX-2.5K-3.9K-1.7K-1.7K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.006.002.000.00
Total Volume61.0950291060
Total OI1,224.0958261,7408261,740

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$12.34$0.0059.0%16.9%37.9%44.9%0.0%17.3%-6.3%-4.7K487.1K-1.7K0.00131.91N/AN/A00216610
2011-10-04$12.52$0.0056.7%16.3%38.2%42.5%0.0%25.5%4.8%-4.7K502.3K-1.7K0.00164.58N/AN/A00216610
2011-10-05$12.87$0.0052.3%15.0%36.9%37.7%0.0%20.3%-4.1%-5.1K507.0K-1.7K2.00134.93N/AN/A1020216610
2011-10-06$12.95$0.0048.7%14.0%36.8%33.9%0.0%10.2%-7.3%-5.4K507.3K-1.8K0.00135.42N/AN/A00226630
2011-10-07$12.67$0.0066.3%15.2%37.2%52.7%0.0%4.9%-4.1%-5.3K495.1K-1.8K0.00158.87N/AN/A00226630
2011-10-10$13.09$0.0049.7%12.4%39.0%35.0%0.0%14.6%2.1%-5.4K512.6K-1.7K0.00127.56N/AN/A2000226630
2011-10-11$13.62$0.0067.5%12.5%40.2%54.0%0.0%1.9%-6.8%-4.6K230.9K-2.0K0.00130.36N/AN/A1500426630
2011-10-12$13.92$0.0049.7%10.3%40.6%35.0%0.0%2.2%-5.4%-5.5K248.9K-2.1K0.00125.47N/AN/A00388630
2011-10-13$13.76$0.0039.5%11.3%40.1%24.1%0.0%6.4%-3.8%-5.0K267.4K-2.0K0.00130.50N/AN/A00388630
2011-10-14$14.13$0.0039.3%11.3%41.0%23.9%0.0%2.0%-6.7%-6.3K221.9K-2.2K0.00130.60N/AN/A500388630
2011-10-17$13.79$0.0040.4%11.6%39.8%25.1%34.8%3.5%-1.1%-6.3K211.9K-2.1K0.04147.70N/AN/A28110388630
2011-10-18$14.07$15.0040.6%11.6%40.3%25.2%0.0%2.4%6.2%1.1K95.9K-2.7K0.00120.34N/AN/A800648640
2011-10-19$13.76$15.0039.9%11.4%38.8%24.5%0.0%-9.1%5.7%1.6K45.8K-2.8K0.00118.92N/AN/A100703640
2011-10-20$13.35$15.0041.6%11.9%38.7%26.3%0.0%-9.2%1.9%3.0K144.2K-2.6K0.00129.65N/AN/A2030713640
2011-10-21$13.90$15.0044.6%12.8%40.6%29.6%0.0%-0.2%0.7%9.3K24.5K-3.0K0.00125.79N/AN/A00909640
2011-10-24$14.28$15.0042.5%12.2%41.5%27.3%0.0%-6.8%-6.0%12.2K-33.7K-3.0K0.00120.71N/AN/A290909640
2011-10-25$13.96$15.0032.7%9.4%42.2%16.9%0.0%3.9%4.4%11.9K-19.2K-3.0K6.00126.46N/AN/A20120920640
2011-10-26$13.97$15.0042.5%12.2%39.6%27.3%0.0%5.9%2.6%9.6K31.3K-3.6K1.00131.89N/AN/A1010940760
2011-10-27$14.69$15.0044.8%12.8%42.5%29.7%0.0%11.0%4.5%12.1K-100.6K-3.7K0.00129.04N/AN/A010950770
2011-10-28$14.58$15.0041.5%11.9%41.3%26.3%0.0%7.1%3.4%9.8K-161.4K-3.9K0.00127.74N/AN/A010950780
2011-10-31$14.24$15.0041.9%12.0%41.3%26.6%0.0%-3.6%-7.2%11.6K-29.2K-3.7K0.00116.29N/AN/A600950790