CSGS Options History — November 2011

In November 2011, CSGS traded between $13.55 and $15.48. ATM implied volatility averaged 40.3%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded below realized volatility by 7.9% (HV 20d: 48.2%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 3.37.

Notable Days

  • 2011-11-23: Highest Volume — 410 contracts
  • 2011-11-28: Largest IV drop — 43.8% change
  • 2011-11-25: Highest IV Rank — 49.8%
  • 2011-11-25: Largest Expected Move — 18.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.62$13.55$15.48$13.55$15.17
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV40.3%31.7%63.5%41.6%33.4%
Expected Move11.5%9.4%18.2%11.9%9.6%
HV 20d48.2%44.6%50.9%45.8%45.9%
HV 60d42.3%41.2%43.7%41.3%42.9%
IV Rank25.0%15.8%49.8%26.4%17.6%
IV Percentile69.3%56.7%94.8%72.6%59.5%
Term Structure1.3%-10.7%8.2%-1.5%5.1%
VWIV37.2%36.2%38.6%36.7%38.6%
Skew 25d8.5%-4.2%52.1%-1.0%26.7%
Skew 10d14.1%-1.6%75.3%7.5%43.8%
Call IV 25d37.5%29.8%49.3%44.1%34.8%
Put IV 25d46.0%32.7%98.8%43.0%61.5%
Bid-Ask Spread %117.41103.29158.25116.70111.61
Gamma HHI0.410.300.580.510.49
Net GEX3.6K-6.4K14.3K9.6K10.5K
Net DEX100.5K-190.4K421.2K163.3K206.5K
Net VEX-3.7K-4.4K-3.3K-3.3K-4.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.370.0030.000.000.00
Total Volume58.619041000
Total OI1,689.5241,5811,9041,7401,904

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$13.55$15.0041.6%11.9%45.8%26.4%0.0%-1.0%-1.5%9.6K163.3K-3.3K0.00116.70N/AN/A00950790
2011-11-02$14.11$15.0040.4%11.6%46.9%25.1%0.0%-4.2%-2.0%12.7K87.5K-3.5K0.00119.67N/AN/A660950790
2011-11-03$14.85$15.0042.9%12.3%49.7%27.7%0.0%52.1%-6.5%14.3K-116.2K-3.6K0.03114.73N/AN/A31310928790
2011-11-04$14.97$15.0039.8%10.5%48.5%24.4%36.7%2.4%1.8%6.8K-67.9K-3.5K0.16103.89N/AN/A6110806800
2011-11-07$15.04$15.0037.9%9.6%47.7%22.4%0.0%15.4%6.3%7.7K-50.1K-3.4K2.00104.67N/AN/A2040785810
2011-11-08$15.48$15.0031.7%10.4%46.9%15.8%36.2%16.3%4.0%4.3K-190.4K-3.8K0.00106.24N/AN/A1190805850
2011-11-09$14.68$15.0038.8%10.7%50.9%23.3%0.0%3.2%2.1%1.3K38.7K-3.6K0.00106.72N/AN/A00731850
2011-11-10$14.81$15.0037.2%10.7%50.7%21.6%0.0%3.0%2.5%2.1K54.3K-3.5K0.00131.09N/AN/A00731850
2011-11-11$15.18$15.0032.7%9.4%50.6%16.8%0.0%15.2%8.2%4.5K-21.3K-3.4K0.00108.14N/AN/A200731850
2011-11-14$14.89$15.0036.9%10.6%50.3%21.3%0.0%2.8%1.8%2.1K13.1K-3.4K0.00107.38N/AN/A060731850
2011-11-15$15.20$15.0037.2%10.7%50.3%21.6%0.0%16.2%2.2%2.6K7.8K-3.6K0.00106.71N/AN/A00731910
2011-11-16$14.83$15.0038.7%11.1%50.4%23.2%0.0%4.5%0.9%56441.2K-3.6K0.00103.29N/AN/A00731910
2011-11-17$14.54$15.0039.5%11.3%49.6%24.1%0.0%2.9%1.0%1.0K115.9K-3.5K0.00114.34N/AN/A100731910
2011-11-18$14.80$15.0039.4%11.3%48.1%24.0%0.0%3.0%-0.1%1.9K82.6K-3.5K0.00108.36N/AN/A00741910
2011-11-21$14.37$15.0038.4%11.0%48.5%22.9%0.0%2.0%1.7%3.2K146.0K-3.4K30.00113.78N/AN/A130731900
2011-11-22$14.14$15.0052.2%15.0%48.2%37.6%0.0%5.3%4.6%-2.3K179.7K-3.6K0.00158.25N/AN/A010732930
2011-11-23$14.00$15.0055.7%16.0%48.3%41.4%38.6%0.7%-0.5%-3.0K195.3K-3.6K0.00146.44N/AN/A0410732940
2011-11-25$13.87$15.0063.5%18.2%44.6%49.8%0.0%1.2%-10.7%-6.4K381.4K-4.3K1.50152.72N/AN/A20307321,121
2011-11-28$14.22$15.0035.7%10.2%45.6%20.1%0.0%5.9%3.1%879421.1K-4.3K0.00116.27N/AN/A007521,151
2011-11-29$14.26$15.0033.8%9.7%44.9%18.0%0.0%5.8%3.2%1.9K421.2K-4.2K0.00114.60N/AN/A107521,151
2011-11-30$15.17$15.0033.4%9.6%45.9%17.6%0.0%26.7%5.1%10.5K206.5K-4.4K0.00111.61N/AN/A007531,151