CSGS Options History — August 2013

In August 2013, CSGS traded between $23.54 and $25.42. ATM implied volatility averaged 27.2%, placing in the 9.2% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 4.8% (HV 20d: 22.5%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.64.

Notable Days

  • 2013-08-01: Highest Volume — 80 contracts
  • 2013-08-29: Largest IV spike — 54.9% change
  • 2013-08-06: Highest IV Rank — 22.1%
  • 2013-08-29: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.60$23.54$25.42$23.86$23.54
Max Pain$21.82$17.50$22.50$22.50$22.50
ATM IV27.2%19.4%46.7%27.2%19.4%
Expected Move7.5%5.6%10.0%7.8%5.6%
HV 20d22.5%12.9%28.0%13.6%28.0%
HV 60d24.7%22.6%26.5%23.9%22.9%
IV Rank9.2%3.6%22.1%8.7%3.6%
IV Percentile40.6%10.7%74.6%41.3%10.7%
Term Structure1.0%-6.4%6.2%-0.8%1.3%
VWIV23.9%22.2%25.7%25.7%22.2%
Skew 25d-1.9%-10.8%3.1%-7.0%-1.5%
Skew 10d-1.8%-8.9%17.5%-8.1%0.9%
Call IV 25d26.7%15.9%36.0%27.1%15.9%
Put IV 25d24.8%14.4%36.3%20.1%14.4%
Bid-Ask Spread %96.4628.16122.0847.8128.16
Gamma HHI0.530.400.730.460.40
Net GEX18.6K6.7K49.5K15.4K10.0K
Net DEX-377.1K-551.4K-175.3K-275.5K-175.3K
Net VEX-2.3K-2.8K-2.1K-2.7K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.001.201.001.00
Total Volume6.273080800
Total OI668.273635697684646

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$23.86$22.5027.2%7.8%13.6%8.7%0.0%-7.0%-0.8%15.4K-275.5K-2.7K1.0047.81N/AN/A4040368316
2013-08-02$24.04$22.5031.5%9.0%12.9%11.7%0.0%-10.8%-6.4%15.0K-299.4K-2.7K0.00104.18N/AN/A00368316
2013-08-05$24.04$17.5030.5%8.4%12.9%11.0%0.0%3.0%-0.8%15.5K-304.2K-2.8K0.0098.53N/AN/A80368316
2013-08-06$23.74$17.5046.7%8.8%13.2%22.1%0.0%1.5%-2.3%12.9K-304.1K-2.7K0.00109.76N/AN/A00376316
2013-08-07$25.13$17.5024.4%7.6%23.3%6.8%25.7%-2.1%3.4%23.5K-492.1K-2.6K1.20101.46N/AN/A56376316
2013-08-08$25.42$22.5021.3%7.7%23.5%4.6%0.0%2.6%1.8%28.1K-536.9K-2.4K0.0098.25N/AN/A30376321
2013-08-09$25.33$22.5024.8%7.3%23.6%7.7%0.0%-0.5%0.1%25.4K-523.2K-2.3K0.00100.46N/AN/A00373321
2013-08-12$25.17$22.5027.4%6.4%23.8%9.6%22.2%-1.7%4.2%26.2K-500.3K-2.3K0.00100.70N/AN/A05373321
2013-08-13$25.32$22.5031.5%7.1%23.4%12.7%0.0%-0.6%2.8%26.0K-523.2K-2.2K0.00105.42N/AN/A00373321
2013-08-14$25.33$22.5025.0%6.4%23.4%7.8%0.0%-0.9%4.9%30.8K-551.4K-2.1K0.00103.55N/AN/A00373321
2013-08-15$24.93$22.5024.3%7.0%24.4%7.3%0.0%-3.0%3.7%27.0K-478.9K-2.3K0.00106.61N/AN/A00373321
2013-08-16$24.90$22.5024.7%7.1%24.4%7.6%0.0%-3.5%6.2%49.5K-434.3K-2.4K0.00102.80N/AN/A00373321
2013-08-19$24.75$22.5034.7%9.9%24.6%15.1%0.0%-2.3%-3.8%11.0K-372.3K-2.2K1.00117.57N/AN/A1010314321
2013-08-20$24.75$22.5024.8%7.1%24.4%7.6%0.0%-3.0%2.6%12.2K-371.6K-2.2K0.00106.15N/AN/A00314321
2013-08-21$24.57$22.5024.4%7.0%24.3%7.3%0.0%-4.2%1.2%12.0K-337.7K-2.2K0.00105.69N/AN/A00314321
2013-08-22$24.97$22.5023.6%6.8%24.0%6.8%0.0%-2.7%3.6%13.9K-391.0K-2.1K0.00105.07N/AN/A00314321
2013-08-23$24.78$22.5024.2%6.9%24.3%7.2%0.0%-3.6%1.1%12.1K-354.8K-2.2K0.00106.39N/AN/A011314321
2013-08-26$24.52$22.5027.9%8.0%24.3%10.0%0.0%-1.9%-3.4%13.6K-334.8K-2.1K0.00113.85N/AN/A00314332
2013-08-27$23.96$22.5023.4%6.7%25.9%6.6%0.0%-5.0%0.5%10.6K-256.2K-2.3K0.00107.14N/AN/A00314332
2013-08-28$23.88$22.5022.4%6.4%25.9%5.9%0.0%3.1%2.2%10.8K-227.8K-2.3K0.0030.55N/AN/A00314332
2013-08-29$24.22$22.5034.7%10.0%26.2%15.1%0.0%2.2%-0.5%6.7K-251.2K-2.2K0.00122.08N/AN/A00314332
2013-08-30$23.54$22.5019.4%5.6%28.0%3.6%0.0%-1.5%1.3%10.0K-175.3K-2.3K0.0028.16N/AN/A00314332