CSGS Options History — February 2012

In February 2012, CSGS traded between $15.74 and $17.34. ATM implied volatility averaged 30.2%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 4.3% (HV 20d: 26.0%). 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 9 of 20 days. Put/call ratio averaged 0.00.

Notable Days

  • 2012-02-08: Highest Volume — 43 contracts
  • 2012-02-08: Largest IV spike — 126.3% change
  • 2012-02-08: Highest IV Rank — 41.2%
  • 2012-02-08: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.32$15.74$17.34$16.51$16.01
Max Pain$14.50$10.00$15.00$10.00$15.00
ATM IV30.2%23.4%72.4%30.3%31.1%
Expected Move8.1%6.7%11.9%8.7%8.9%
HV 20d26.0%14.0%30.8%15.3%30.8%
HV 60d30.3%27.0%31.8%31.1%27.1%
IV Rank9.9%4.8%41.2%10.0%10.5%
IV Percentile33.9%11.1%96.4%41.7%42.9%
Term Structure-1.3%-10.1%7.0%-10.1%-7.8%
Skew 25d2.0%-5.9%10.3%5.3%4.5%
Skew 10d5.5%-2.8%21.6%-2.8%16.6%
Call IV 25d26.3%21.8%29.7%29.6%26.2%
Put IV 25d28.4%21.3%35.4%34.9%30.7%
Bid-Ask Spread %119.12110.13146.19120.34119.27
Gamma HHI0.350.320.450.340.35
Net GEX-13.4K-15.0K-10.5K-12.8K-13.7K
Net DEX-25.8K-253.2K104.0K-70.2K22.1K
Net VEX-2.6K-2.8K-2.1K-2.7K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume3.7504301
Total OI1,430.61,3921,4621,3921,462

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$16.51$10.0030.3%8.7%15.3%10.0%0.0%5.3%-10.1%-12.8K-70.2K-2.7K0.00120.34N/AN/A00443949
2012-02-02$16.62$10.0029.0%8.3%14.1%9.0%0.0%10.3%-6.1%-12.4K-74.3K-2.8K0.00120.36N/AN/A00443949
2012-02-03$16.95$15.0028.5%8.5%15.0%8.6%0.0%-0.8%-1.6%-11.5K-173.1K-2.7K0.00111.78N/AN/A00443949
2012-02-06$17.03$15.0033.5%8.6%14.0%12.3%0.0%-1.8%-1.5%-12.1K-184.5K-2.6K0.00110.13N/AN/A00443949
2012-02-07$17.34$15.0032.0%8.3%14.2%11.2%0.0%0.1%1.6%-10.5K-253.2K-2.1K0.00114.81N/AN/A00443949
2012-02-08$16.28$15.0072.4%11.9%27.5%41.2%0.0%2.7%7.0%-13.2K-3.4K-2.8K0.00146.19N/AN/A043443949
2012-02-09$16.06$15.0023.6%6.8%28.0%4.9%0.0%-0.6%4.4%-14.2K35.9K-2.8K0.00118.48N/AN/A00443992
2012-02-10$15.74$15.0023.4%6.7%28.8%4.8%0.0%-5.1%4.9%-14.6K104.0K-2.8K0.00119.07N/AN/A00443992
2012-02-13$16.01$15.0029.9%8.6%29.2%9.6%0.0%9.5%2.7%-14.6K72.9K-2.8K0.00114.84N/AN/A00443992
2012-02-14$15.91$15.0024.0%6.9%29.3%5.2%0.0%-2.9%5.5%-14.5K77.3K-2.7K0.00118.68N/AN/A00443992
2012-02-15$15.79$15.0024.3%7.0%29.3%5.4%0.0%-5.9%5.2%-14.6K95.4K-2.7K0.00119.02N/AN/A100443992
2012-02-16$16.20$15.0027.7%7.9%30.5%8.0%0.0%2.2%2.9%-15.0K5.8K-2.6K0.00118.44N/AN/A20453992
2012-02-17$16.13$15.0027.8%8.0%30.6%8.1%0.0%4.8%3.7%-13.9K453-2.7K0.00118.63N/AN/A00453992
2012-02-21$16.28$15.0024.6%7.0%30.7%5.7%0.0%4.6%-4.1%-13.7K-19.1K-2.6K0.00118.78N/AN/A90451992
2012-02-22$16.36$15.0025.6%7.3%30.7%6.4%0.0%4.7%-3.8%-13.6K-36.8K-2.6K0.00118.83N/AN/A00460992
2012-02-23$16.40$15.0025.5%7.3%30.6%6.4%0.0%3.9%-6.2%-13.6K-48.8K-2.5K0.00118.33N/AN/A100460992
2012-02-24$16.25$15.0030.0%8.6%30.4%9.7%0.0%1.9%-6.4%-13.5K-24.8K-2.6K0.00118.95N/AN/A00470992
2012-02-27$16.22$15.0031.5%9.0%30.3%10.8%0.0%1.1%-8.4%-13.5K-12.4K-2.5K0.00118.56N/AN/A00470992
2012-02-28$16.29$15.0030.0%8.6%30.2%9.7%0.0%2.5%-7.8%-13.4K-28.3K-2.5K0.00118.95N/AN/A00470992
2012-02-29$16.01$15.0031.1%8.9%30.8%10.5%0.0%4.5%-7.8%-13.7K22.1K-2.5K0.00119.27N/AN/A10470992