CSGS Options History — January 2012

In January 2012, CSGS traded between $14.89 and $16.31. ATM implied volatility averaged 37.1%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 11.3% (HV 20d: 25.8%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.00.

Notable Days

  • 2012-01-24: Highest Volume — 26 contracts
  • 2012-01-25: Largest IV spike — 96.6% change
  • 2012-01-27: Highest IV Rank — 47.2%
  • 2012-01-27: Largest Expected Move — 23.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.65$14.89$16.31$15.07$16.27
Max Pain$11.36$10.00$15.00$15.00$10.00
ATM IV37.1%27.7%80.6%34.0%31.8%
Expected Move10.8%7.9%23.1%9.8%9.1%
HV 20d25.8%16.5%33.0%33.0%16.5%
HV 60d37.9%32.6%41.3%41.3%32.6%
IV Rank15.0%8.0%47.2%12.7%11.1%
IV Percentile55.8%27.8%97.6%59.5%48.4%
Term Structure-1.4%-40.5%11.4%4.5%-8.2%
VWIV100.1%100.1%100.1%100.1%100.1%
Skew 25d6.5%-1.3%21.6%21.6%2.9%
Skew 10d11.8%1.5%34.9%34.9%4.5%
Call IV 25d31.8%23.3%42.4%40.1%23.3%
Put IV 25d38.3%26.3%61.7%61.7%26.3%
Bid-Ask Spread %125.77105.36174.35111.33119.92
Gamma HHI0.320.310.330.320.33
Net GEX-13.5K-14.8K-12.3K-13.6K-12.9K
Net DEX147.2K-16.9K299.2K278.9K-16.9K
Net VEX-3.2K-3.6K-2.8K-3.6K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume3.202600
Total OI1,364.41,3561,3921,3561,392

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$15.07$15.0034.0%9.8%33.0%12.7%0.0%21.6%4.5%-13.6K278.9K-3.6K0.00111.33N/AN/A00407949
2012-01-04$14.90$15.0033.7%9.7%32.6%12.5%0.0%3.1%6.5%-13.3K290.4K-3.5K0.00115.98N/AN/A00407949
2012-01-05$15.02$15.0031.8%9.1%32.6%11.0%0.0%2.0%9.8%-13.2K262.9K-3.6K0.00107.48N/AN/A00407949
2012-01-06$14.89$0.0035.9%10.8%32.7%14.1%0.0%2.8%-3.1%-13.4K299.2K-3.5K0.00105.36N/AN/A00407949
2012-01-09$15.13$0.0034.9%10.7%30.3%13.3%0.0%3.4%-1.3%-14.0K277.1K-3.4K0.00108.15N/AN/A00407949
2012-01-10$15.51$0.0030.3%11.0%30.0%10.0%0.0%14.8%-2.6%-14.6K204.6K-3.3K0.00116.14N/AN/A00407949
2012-01-11$15.59$0.0036.5%10.4%29.4%14.5%0.0%14.5%-2.0%-14.8K183.1K-3.2K0.00107.85N/AN/A00407949
2012-01-12$15.76$0.0033.0%9.5%28.9%11.9%0.0%16.7%6.4%-13.9K138.8K-3.3K0.00110.93N/AN/A00407949
2012-01-13$15.63$0.0031.9%9.2%27.5%11.1%0.0%16.2%7.1%-13.7K154.3K-3.3K0.00158.32N/AN/A00407949
2012-01-17$15.71$0.0032.4%9.3%27.3%11.5%0.0%2.7%-0.7%-13.2K128.1K-3.2K0.00117.40N/AN/A00407949
2012-01-18$15.85$0.0027.7%7.9%27.3%8.0%0.0%5.0%11.4%-13.7K132.6K-3.2K0.00117.91N/AN/A00407949
2012-01-19$15.74$0.0028.7%8.2%26.0%8.7%100.1%1.6%7.7%-13.0K112.1K-3.2K0.00120.14N/AN/A20407949
2012-01-20$15.75$10.0028.3%8.1%22.2%8.5%0.0%2.0%9.3%-13.3K117.6K-3.2K0.00120.22N/AN/A150409949
2012-01-23$15.73$10.0029.2%8.4%21.9%9.2%0.0%-0.4%6.2%-14.1K135.6K-3.1K0.00120.97N/AN/A00407949
2012-01-24$15.83$10.0030.1%8.6%21.7%9.8%0.0%-1.3%2.1%-13.4K118.7K-2.9K0.00120.45N/AN/A260407949
2012-01-25$15.95$10.0059.2%17.0%21.8%31.4%0.0%17.1%-40.5%-13.2K83.9K-2.9K0.00172.22N/AN/A100432949
2012-01-26$16.20$10.0057.9%16.6%21.9%30.4%0.0%1.2%-32.6%-12.6K21.7K-3.2K0.00173.38N/AN/A010442949
2012-01-27$16.31$10.0080.6%23.1%16.6%47.2%0.0%1.4%-8.9%-13.8K4.7K-3.0K0.00174.35N/AN/A00442949
2012-01-30$16.19$10.0034.8%10.0%16.6%13.3%0.0%2.1%0.7%-12.3K15.7K-3.0K0.00116.91N/AN/A10442949
2012-01-31$16.27$10.0031.8%9.1%16.5%11.1%0.0%2.9%-8.2%-12.9K-16.9K-2.8K0.00119.92N/AN/A00443949