CSGS Options History — December 2011

In December 2011, CSGS traded between $14.17 and $15.25. ATM implied volatility averaged 43.0%, placing in the 24.9% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 5.3% (HV 20d: 37.7%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.90.

Notable Days

  • 2011-12-05: Highest Volume — 37 contracts
  • 2011-12-27: Largest IV spike — 289.9% change
  • 2011-12-27: Highest IV Rank — 100.0%
  • 2011-12-27: Largest Expected Move — 43.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.75$14.17$15.25$14.98$14.71
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV43.0%25.8%151.7%38.8%31.7%
Expected Move12.9%9.1%43.5%11.1%9.1%
HV 20d37.7%31.7%44.4%44.4%31.7%
HV 60d41.9%40.9%42.8%42.4%41.0%
IV Rank24.9%9.4%100.0%23.3%11.0%
IV Percentile64.3%23.0%100.0%69.0%51.6%
Term Structure2.1%-48.7%79.6%-2.5%4.9%
VWIV39.5%39.3%39.7%39.3%39.7%
Skew 25d6.0%-5.0%45.2%2.3%0.2%
Skew 10d6.2%-4.6%60.3%6.6%-0.0%
Call IV 25d40.4%26.6%137.5%44.1%32.7%
Put IV 25d46.5%32.1%153.6%46.4%32.9%
Bid-Ask Spread %122.25104.82177.07114.06111.91
Gamma HHI0.410.290.590.380.32
Net GEX953-13.4K20.1K1.9K-12.9K
Net DEX293.6K150.7K442.0K220.1K312.1K
Net VEX-4.1K-4.4K-3.6K-4.4K-3.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.005.000.000.00
Total Volume5.952037100
Total OI1,693.5711,3561,9661,9041,356

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$14.98$15.0038.8%11.1%44.4%23.3%0.0%2.3%-2.5%1.9K220.1K-4.4K0.00114.06N/AN/A1007531,151
2011-12-02$14.99$15.0033.0%9.4%40.6%17.1%0.0%3.8%4.8%7.0K220.1K-4.3K0.00114.38N/AN/A3007631,151
2011-12-05$15.25$0.0036.5%11.2%41.0%20.9%0.0%10.1%2.6%9.2K150.7K-4.4K0.37105.61N/AN/A27107931,151
2011-12-06$15.13$0.0031.7%11.2%41.1%15.8%0.0%8.6%2.7%12.9K169.4K-4.4K0.00109.26N/AN/A0127831,161
2011-12-07$15.23$0.0033.2%11.1%39.8%17.4%0.0%6.5%1.1%2.5K167.0K-4.4K0.00109.47N/AN/A007831,161
2011-12-08$14.68$0.0035.3%11.4%37.3%19.6%0.0%1.8%-0.8%10.0K279.2K-4.3K0.00115.84N/AN/A0207831,161
2011-12-09$15.09$0.0031.9%11.3%38.4%16.0%39.3%4.3%-0.6%19.4K216.6K-4.3K0.00106.84N/AN/A207831,181
2011-12-12$14.87$15.0039.2%11.5%37.8%23.8%0.0%3.4%-1.1%14.7K289.6K-4.2K0.00109.32N/AN/A007851,181
2011-12-13$14.66$15.0025.8%11.0%37.5%9.4%0.0%4.5%1.4%20.1K390.0K-4.1K0.00104.82N/AN/A007851,181
2011-12-14$14.32$15.0038.7%11.5%37.4%23.3%0.0%1.3%0.6%3.3K442.0K-4.0K0.00108.57N/AN/A007851,172
2011-12-15$14.49$15.0038.3%11.0%36.8%22.8%0.0%0.4%1.8%10.0K408.2K-4.0K0.00109.44N/AN/A007851,172
2011-12-16$14.47$15.0036.9%10.6%36.2%21.4%0.0%1.5%2.5%8.7K412.0K-4.0K5.00110.47N/AN/A2107851,172
2011-12-19$14.17$15.0032.1%9.2%36.2%16.2%0.0%-5.0%2.5%-11.9K373.4K-3.8K0.00113.55N/AN/A00407949
2011-12-20$14.77$15.0032.8%9.4%37.9%17.0%0.0%2.7%4.4%-12.5K316.3K-3.9K0.00116.22N/AN/A00407949
2011-12-21$14.65$15.0033.3%9.6%37.5%17.5%0.0%1.3%7.0%-12.4K343.3K-3.8K0.00115.43N/AN/A00407949
2011-12-22$14.81$15.0085.6%24.6%37.3%73.3%0.0%45.2%79.6%-13.4K344.4K-3.8K0.00171.79N/AN/A00407949
2011-12-23$14.86$15.0038.9%11.2%37.1%23.5%39.7%1.2%-5.5%-12.1K294.8K-3.8K0.00168.03N/AN/A20407949
2011-12-27$14.78$15.00151.7%43.5%36.3%100.0%0.0%16.2%-48.7%-6.4K240.7K-4.2K0.00177.07N/AN/A00407949
2011-12-28$14.29$15.0040.7%11.7%38.4%17.6%0.0%15.8%-12.0%-5.2K212.3K-4.1K0.00160.50N/AN/A00407949
2011-12-29$14.57$15.0037.2%10.7%31.7%15.0%0.0%0.7%-0.8%-13.1K363.9K-3.6K0.00114.73N/AN/A00407949
2011-12-30$14.71$15.0031.7%9.1%31.7%11.0%0.0%0.2%4.9%-12.9K312.1K-3.6K0.00111.91N/AN/A00407949