CSGS Options History — December 2014

In December 2014, CSGS traded between $24.46 and $25.69. ATM implied volatility averaged 62.8%, placing in the 34.8% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 47.0% (HV 20d: 15.8%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 3.80.

Notable Days

  • 2014-12-01: Highest Volume — 54 contracts
  • 2014-12-24: Largest IV spike — 425.1% change
  • 2014-12-04: Highest IV Rank — 78.3%
  • 2014-12-30: Largest Expected Move — 20.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.25$24.46$25.69$25.30$25.07
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV62.8%18.7%119.3%66.4%18.7%
Expected Move11.9%5.8%20.4%11.1%7.0%
HV 20d15.8%12.6%18.1%14.5%17.0%
HV 60d18.3%17.5%19.0%17.9%19.0%
IV Rank34.8%0.9%78.3%37.6%0.9%
IV Percentile67.7%0.4%97.2%85.7%0.4%
Term Structure-22.1%-67.3%12.7%-42.0%1.8%
VWIV51.0%22.3%76.2%30.4%71.6%
Skew 25d-11.7%-74.8%66.5%-57.4%-10.3%
Skew 10d7.5%-70.5%67.7%-13.9%-0.9%
Call IV 25d111.9%66.5%158.9%128.4%91.6%
Put IV 25d100.2%21.0%162.5%71.0%81.3%
Bid-Ask Spread %136.09120.38146.21133.52129.90
Gamma HHI0.750.530.990.870.65
Net GEX-10.8K-36.6K-270-11.8K-686
Net DEX84.6K4.2K177.0K123.2K8.8K
Net VEX-165-281-100-211-100
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.802.005.004.405.00
Total Volume40.2730545424
Total OI84.3183011111130

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$25.30$22.5066.4%11.1%14.5%37.6%30.4%-57.4%-42.0%-11.8K123.2K-2114.40133.52N/AN/A104410101
2014-12-02$25.32$22.5090.2%10.7%14.4%55.9%22.3%-11.3%-27.9%-5.1K104.4K-2604.40133.59N/AN/A104410101
2014-12-03$25.54$22.5070.6%7.2%14.5%40.8%62.9%-31.6%4.2%-30.9K122.3K-1024.40131.81N/AN/A104410101
2014-12-04$25.69$22.50119.3%13.3%12.6%78.3%0.0%3.6%-44.7%-3.7K112.8K-2810.00146.21N/AN/A0010101
2014-12-05$25.65$22.5068.8%7.0%12.6%39.5%46.9%30.0%-17.3%-4.0K114.8K-2374.40127.22N/AN/A104410101
2014-12-08$25.31$22.5028.9%9.8%13.4%8.8%22.8%-31.6%-26.5%-12.9K105.1K-1864.40128.58N/AN/A104410101
2014-12-09$25.36$22.5024.8%7.1%13.1%5.6%24.6%-5.9%2.1%-18.7K124.8K-1744.40120.38N/AN/A104410101
2014-12-10$24.97$22.5023.9%5.8%14.1%4.9%55.5%66.5%-15.8%-18.2K131.1K-1584.40136.07N/AN/A104410101
2014-12-11$25.12$22.5084.5%16.3%14.2%51.5%68.7%3.4%-22.7%-3.5K117.9K-2274.40136.91N/AN/A104410101
2014-12-12$24.46$22.5083.9%15.9%16.7%51.0%66.9%2.9%-18.4%-3.2K120.3K-2164.40143.53N/AN/A104410101
2014-12-15$24.60$22.5057.9%11.8%16.9%31.0%76.2%-22.7%-26.3%-22.3K177.0K-1484.40138.97N/AN/A104410101
2014-12-16$24.54$22.5058.0%11.2%16.4%31.1%38.6%4.6%-45.7%-25.0K176.4K-1474.40142.33N/AN/A104410101
2014-12-17$24.98$22.5087.7%17.0%17.6%54.0%75.6%2.1%-45.9%-36.6K147.3K-1504.40136.93N/AN/A104410101
2014-12-18$25.40$22.5057.3%11.6%18.1%30.6%71.6%-4.2%2.2%-12.1K117.7K-1344.40136.93N/AN/A104410101
2014-12-19$25.42$22.5059.1%13.0%18.0%32.0%0.0%-1.2%-22.6%-25.7K23.8K-1040.00141.35N/AN/A0101081
2014-12-22$25.31$0.0095.0%19.4%18.1%59.6%0.0%3.7%-26.9%-2786.1K-1442.00141.23N/AN/A10201020
2014-12-23$25.57$0.0018.8%6.6%17.6%1.0%0.0%-74.8%3.2%-5676.5K-1222.00132.77N/AN/A10201020
2014-12-24$25.54$0.0098.8%19.3%17.5%62.5%0.0%2.8%-21.8%-4084.2K-1452.00141.38N/AN/A10201020
2014-12-26$25.54$0.0040.4%11.7%17.5%17.6%0.0%-64.3%12.7%-2704.5K-1252.00132.87N/AN/A10201020
2014-12-29$25.43$0.0064.3%8.9%16.7%36.0%0.0%-66.3%-67.3%-4264.4K-1182.00137.45N/AN/A10201020
2014-12-30$25.36$0.0064.4%20.4%16.5%36.1%0.0%4.9%-40.6%-4317.3K-1340.00144.07N/AN/A001020
2014-12-31$25.07$0.0018.7%7.0%17.0%0.9%0.0%-10.3%1.8%-6868.8K-1005.00129.90N/AN/A4201020