CSGS Options History — March 2012

In March 2012, CSGS traded between $15.10 and $16.20. ATM implied volatility averaged 34.8%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 15.1% (HV 20d: 19.7%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2012-03-05: Highest Volume — 20 contracts
  • 2012-03-23: Largest IV spike — 222.5% change
  • 2012-03-14: Highest IV Rank — 45.3%
  • 2012-03-23: Largest Expected Move — 21.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.79$15.10$16.20$16.04$15.14
Max Pain$16.02$15.00$17.50$15.00$15.00
ATM IV34.8%23.2%77.9%32.8%27.3%
Expected Move8.3%6.4%21.4%9.4%7.8%
HV 20d19.7%15.1%30.3%30.2%16.9%
HV 60d24.5%22.1%27.4%27.1%22.1%
IV Rank13.3%4.7%45.3%11.8%7.7%
IV Percentile43.4%9.1%97.2%51.6%21.4%
Term Structure-2.2%-99.5%8.6%-10.3%2.6%
VWIV29.7%29.7%29.7%29.7%29.7%
Skew 25d0.8%-6.0%9.1%-2.4%0.9%
Skew 10d8.7%2.8%19.2%9.1%5.7%
Call IV 25d26.0%18.8%36.4%34.2%32.5%
Put IV 25d26.8%20.0%34.9%31.8%33.4%
Bid-Ask Spread %121.9762.14175.22119.21118.46
Gamma HHI0.340.320.370.350.34
Net GEX-12.8K-14.6K-11.4K-13.7K-12.2K
Net DEX129.8K-36.6K324.4K11.6K317.5K
Net VEX-2.0K-2.4K-1.7K-2.4K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume1.502000
Total OI1,189.2278611,4641,463861

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$16.04$15.0032.8%9.4%30.2%11.8%0.0%-2.4%-10.3%-13.7K11.6K-2.4K0.00119.21N/AN/A00471992
2012-03-02$15.85$15.0032.3%9.2%30.3%11.4%0.0%-3.6%-8.7%-14.4K64.7K-2.3K0.00119.36N/AN/A00471992
2012-03-05$16.10$17.5038.5%7.0%29.9%16.0%0.0%2.8%5.5%-14.6K20.5K-2.3K0.00119.31N/AN/A020471992
2012-03-06$15.82$17.5036.7%6.7%30.3%14.7%0.0%-0.9%7.3%-14.2K71.5K-2.4K0.00120.02N/AN/A00471992
2012-03-07$15.86$17.5032.5%7.1%29.3%11.6%0.0%1.5%5.4%-14.2K62.2K-2.2K0.00119.80N/AN/A00471992
2012-03-08$15.80$17.5033.5%7.0%19.4%12.3%0.0%7.4%8.6%-14.1K62.9K-2.3K0.00115.31N/AN/A00471992
2012-03-09$16.00$17.5035.8%6.5%19.5%14.0%0.0%1.1%6.6%-13.3K19.6K-2.3K0.00110.76N/AN/A00471992
2012-03-12$15.99$17.5041.1%6.4%18.0%18.0%0.0%-2.7%7.0%-12.8K11.0K-2.2K0.00119.69N/AN/A00471992
2012-03-13$16.20$17.5039.7%6.7%17.6%16.9%0.0%0.4%3.4%-11.6K-36.6K-2.0K0.00119.56N/AN/A04471992
2012-03-14$16.09$17.5077.9%12.1%17.6%45.3%0.0%1.1%-17.7%-13.8K-10.2K-2.0K0.00162.29N/AN/A50471993
2012-03-15$16.06$17.5027.4%7.8%17.4%7.8%29.7%9.1%4.6%-13.0K-2.3K-2.0K0.00112.53N/AN/A04466993
2012-03-16$15.91$15.0024.0%6.9%15.1%5.3%0.0%-0.1%4.8%-13.0K20.2K-2.0K0.00119.97N/AN/A00466997
2012-03-19$16.01$15.0029.2%8.4%15.2%9.1%0.0%5.1%2.2%-12.2K203.3K-1.9K0.00116.09N/AN/A00222639
2012-03-20$15.74$15.0026.0%7.4%15.9%6.7%0.0%0.6%5.1%-11.4K226.4K-1.9K0.00110.97N/AN/A00222639
2012-03-21$15.64$15.0026.2%7.5%15.7%6.9%0.0%4.6%6.0%-11.8K247.5K-1.9K0.00116.47N/AN/A00222639
2012-03-22$15.62$15.0023.2%6.6%15.6%4.7%0.0%-6.0%5.5%-11.9K257.4K-1.9K0.00121.28N/AN/A00222639
2012-03-23$15.60$15.0074.8%21.4%15.4%42.9%0.0%0.4%-99.5%-11.5K244.8K-1.9K0.00175.22N/AN/A00222639
2012-03-26$15.75$15.0025.1%7.2%16.0%6.1%0.0%-5.3%3.6%-12.2K240.1K-1.8K0.00121.50N/AN/A00222639
2012-03-27$15.59$15.0027.6%7.9%16.1%7.9%0.0%5.8%5.0%-11.9K238.1K-1.8K0.0062.14N/AN/A00222639
2012-03-28$15.47$15.0024.9%7.1%15.3%6.0%0.0%-3.4%3.0%-11.9K260.7K-1.8K0.00163.90N/AN/A00222639
2012-03-29$15.10$15.0029.2%8.4%17.1%9.1%0.0%1.7%1.6%-12.0K324.4K-1.8K0.00119.40N/AN/A00222639
2012-03-30$15.14$15.0027.3%7.8%16.9%7.7%0.0%0.9%2.6%-12.2K317.5K-1.7K0.00118.46N/AN/A00222639