CSGS Options History — May 2012

In May 2012, CSGS traded between $14.60 and $16.83. ATM implied volatility averaged 41.7%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 4.5% (HV 20d: 37.2%). 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 16 of 22 days. Put/call ratio averaged 5.25.

Notable Days

  • 2012-05-03: Highest Volume — 30 contracts
  • 2012-05-03: Largest IV spike — 181.6% change
  • 2012-05-04: Highest IV Rank — 100.0%
  • 2012-05-04: Largest Expected Move — 32.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.38$14.60$16.83$14.60$16.50
Max Pain$17.16$15.00$17.50$15.00$17.50
ATM IV41.7%19.4%177.2%41.3%30.2%
Expected Move9.8%5.6%32.0%11.8%8.7%
HV 20d37.2%22.5%41.6%23.5%22.5%
HV 60d27.8%23.6%30.7%23.6%27.8%
IV Rank15.5%1.5%100.0%18.1%6.9%
IV Percentile35.0%0.8%100.0%73.8%31.0%
Term Structure0.5%-46.0%11.7%-10.6%2.1%
VWIV47.8%44.7%50.8%44.7%50.8%
Skew 25d4.5%-1.5%16.9%6.3%8.6%
Skew 10d2.4%-4.5%34.4%9.8%-1.0%
Call IV 25d30.6%18.8%134.3%40.3%28.9%
Put IV 25d35.1%21.9%151.1%46.6%37.5%
Bid-Ask Spread %124.47112.36169.69155.16118.35
Gamma HHI0.490.280.620.400.53
Net GEX-12.6K-14.7K-6.1K-11.6K-13.6K
Net DEX131.0K54.5K385.8K385.8K118.2K
Net VEX-968-1.8K-714-1.1K-714
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.250.0021.0021.000.00
Total Volume3.40903000
Total OI860.136854864863863

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$14.60$15.0041.3%11.8%23.5%18.1%0.0%6.3%-10.6%-11.6K385.8K-1.1K0.00155.16N/AN/A00227636
2012-05-02$15.97$15.0031.4%9.0%40.0%10.7%0.0%5.9%-0.5%-12.2K204.3K-1.3K21.00112.36N/AN/A121227636
2012-05-03$16.46$15.0088.4%25.3%40.2%53.0%0.0%-1.5%0.6%-11.8K120.3K-1.3K0.00169.69N/AN/A030228636
2012-05-04$16.05$17.50177.2%32.0%41.6%100.0%44.7%16.9%-46.0%-6.1K166.2K-1.8K0.00164.38N/AN/A05228626
2012-05-07$16.23$17.50119.3%12.6%39.8%63.9%0.0%5.1%-19.3%-12.0K149.2K-1.2K0.00137.26N/AN/A00228631
2012-05-08$16.29$17.5035.9%6.4%39.6%11.9%0.0%3.2%8.6%-12.6K146.6K-9780.00117.13N/AN/A00228631
2012-05-09$16.38$17.5037.2%6.6%39.1%12.7%0.0%2.0%5.7%-12.7K130.7K-9730.00115.92N/AN/A00228631
2012-05-10$16.53$17.5019.4%5.6%39.1%1.5%0.0%4.8%11.7%-13.0K107.7K-8980.00116.11N/AN/A00228631
2012-05-11$16.53$17.5020.3%5.8%38.2%2.1%0.0%4.8%9.5%-13.0K107.7K-8860.00116.39N/AN/A00228631
2012-05-14$16.57$17.5022.0%6.3%38.2%3.2%0.0%3.8%9.3%-13.0K100.4K-8870.00117.96N/AN/A00228631
2012-05-15$16.83$17.5023.9%6.9%38.1%4.4%50.8%5.6%10.0%-12.3K54.5K-9570.00115.43N/AN/A10228631
2012-05-16$16.83$17.5024.9%7.2%36.9%5.0%0.0%6.5%9.7%-12.0K55.5K-9480.00117.23N/AN/A30227631
2012-05-17$16.62$17.5023.3%6.7%37.4%4.0%0.0%5.9%9.4%-12.9K88.7K-8470.00117.50N/AN/A00230631
2012-05-18$16.37$17.5026.3%7.5%38.1%4.4%0.0%0.7%6.4%-13.1K130.4K-8780.00116.92N/AN/A010230631
2012-05-21$16.66$17.5025.9%7.4%37.9%4.1%0.0%6.5%2.2%-14.0K91.6K-8740.00116.77N/AN/A00220640
2012-05-22$16.41$17.5027.7%7.9%38.3%5.3%0.0%1.3%0.6%-13.4K131.4K-8830.00117.88N/AN/A00220640
2012-05-23$16.40$17.5026.6%7.6%38.3%4.6%0.0%2.3%2.1%-13.4K134.8K-8220.00115.17N/AN/A00220640
2012-05-24$16.29$17.5030.7%8.8%38.5%7.2%0.0%3.2%3.1%-13.2K150.1K-8530.00125.13N/AN/A00220640
2012-05-25$16.38$17.5026.8%7.7%38.3%4.7%0.0%3.7%-3.4%-13.5K142.6K-7860.00118.06N/AN/A00220640
2012-05-29$16.80$17.5029.0%8.3%37.7%6.1%0.0%-1.1%1.1%-14.7K70.8K-7340.00118.83N/AN/A40220640
2012-05-30$16.64$17.5030.1%8.6%38.1%6.8%0.0%3.8%-1.5%-14.0K93.4K-7510.00118.75N/AN/A00223640
2012-05-31$16.50$17.5030.2%8.7%22.5%6.9%0.0%8.6%2.1%-13.6K118.2K-7140.00118.35N/AN/A00223640