CSGS Options History — April 2012

In April 2012, CSGS traded between $14.26 and $15.37. ATM implied volatility averaged 30.8%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 10.0% (HV 20d: 20.8%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.02.

Notable Days

  • 2012-04-26: Highest Volume — 16 contracts
  • 2012-04-10: Largest IV spike — 27.1% change
  • 2012-04-25: Highest IV Rank — 14.5%
  • 2012-04-25: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.63$14.26$15.37$15.37$14.40
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV30.8%22.9%36.5%22.9%33.4%
Expected Move8.9%6.6%10.5%6.6%9.6%
HV 20d20.8%16.4%23.6%16.8%23.6%
HV 60d23.1%21.8%23.8%22.2%23.8%
IV Rank10.3%4.4%14.5%4.4%12.2%
IV Percentile39.2%6.7%59.9%6.7%49.2%
Term Structure0.4%-4.6%7.8%6.9%3.4%
VWIV41.6%41.5%41.7%41.7%41.5%
Skew 25d1.9%-6.0%10.6%-1.7%8.1%
Skew 10d1.6%-11.2%15.4%8.4%3.3%
Call IV 25d33.0%28.6%36.8%31.4%34.0%
Put IV 25d34.9%29.8%42.1%29.8%42.1%
Bid-Ask Spread %116.41107.89163.29123.18116.17
Gamma HHI0.380.340.450.350.38
Net GEX-12.3K-13.6K-10.8K-12.5K-11.8K
Net DEX389.4K296.9K451.0K296.9K413.7K
Net VEX-1.3K-1.6K-903-1.5K-1.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.020.000.070.000.00
Total Volume2.1501600
Total OI858.15847863861863

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$15.37$15.0022.9%6.6%16.8%4.4%0.0%-1.7%6.9%-12.5K296.9K-1.5K0.00123.18N/AN/A00222639
2012-04-03$15.17$15.0026.6%7.6%16.4%7.2%0.0%3.3%5.8%-12.2K303.8K-1.6K0.00110.61N/AN/A00222639
2012-04-04$14.87$15.0024.8%7.1%17.4%5.9%0.0%-6.0%0.2%-12.2K347.1K-1.6K0.00108.79N/AN/A00222639
2012-04-05$14.89$15.0029.7%8.5%17.5%9.5%0.0%2.0%3.2%-12.3K357.7K-1.6K0.00163.29N/AN/A00222639
2012-04-09$14.47$0.0026.3%9.3%18.7%6.9%0.0%-0.5%-2.3%-12.1K396.7K-1.5K0.00110.01N/AN/A00222639
2012-04-10$14.37$0.0033.4%8.2%18.7%12.2%0.0%-1.8%-1.0%-12.0K414.0K-1.4K0.00114.73N/AN/A00222639
2012-04-11$14.70$0.0031.3%9.1%20.2%10.7%0.0%10.6%-1.0%-13.6K401.6K-1.4K0.00110.53N/AN/A00222639
2012-04-12$14.75$0.0030.9%8.9%20.4%10.4%0.0%3.4%-0.5%-13.0K387.6K-1.4K0.00111.28N/AN/A00222639
2012-04-13$14.49$0.0033.3%9.5%20.9%12.2%0.0%-1.2%-3.0%-12.1K387.2K-1.4K0.00110.63N/AN/A00222639
2012-04-16$14.60$0.0032.9%9.4%21.3%11.9%0.0%0.9%-1.1%-12.4K399.4K-1.4K0.00107.95N/AN/A00222639
2012-04-17$14.89$0.0033.7%9.7%22.7%12.5%0.0%2.0%-2.9%-13.3K367.0K-1.3K0.00111.29N/AN/A00222639
2012-04-18$14.60$0.0027.7%7.9%22.9%8.0%0.0%2.6%2.3%-12.3K373.8K-1.3K0.00120.08N/AN/A00222639
2012-04-19$14.54$0.0028.9%8.3%22.9%8.9%0.0%-1.4%-2.3%-12.3K399.0K-1.3K0.00115.67N/AN/A00222639
2012-04-20$14.52$0.0031.3%9.0%22.9%10.7%0.0%-1.7%-3.5%-12.2K391.8K-1.3K0.00119.75N/AN/A02222639
2012-04-23$14.39$0.0033.9%9.7%22.9%12.6%0.0%0.1%-3.7%-12.5K432.9K-1.1K0.00115.25N/AN/A00212635
2012-04-24$14.26$0.0034.1%9.8%22.4%12.8%0.0%6.2%7.8%-12.0K449.1K-1.2K0.00116.58N/AN/A00212635
2012-04-25$14.26$0.0036.5%10.5%22.4%14.5%0.0%-4.0%-4.6%-11.5K451.0K-1.0K0.00107.89N/AN/A150212635
2012-04-26$14.42$0.0034.6%9.9%23.0%13.1%41.7%7.3%-0.5%-12.3K424.3K-9030.07115.80N/AN/A151217635
2012-04-27$14.68$15.0030.8%8.8%22.8%10.3%41.5%10.1%5.1%-10.8K393.7K-9520.00118.82N/AN/A100217636
2012-04-30$14.40$15.0033.4%9.6%23.6%12.2%0.0%8.1%3.4%-11.8K413.7K-1.2K0.00116.17N/AN/A00227636