CSGS Options History — March 2015

In March 2015, CSGS traded between $29.18 and $30.39. ATM implied volatility averaged 16.9%, placing in the 2.2% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 1.2% (HV 20d: 18.1%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.37.

Notable Days

  • 2015-03-31: Highest Volume — 267 contracts
  • 2015-03-10: Largest IV drop — 8.4% change
  • 2015-03-09: Highest IV Rank — 3.4%
  • 2015-03-10: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.86$29.18$30.39$30.00$30.39
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV16.9%16.0%18.4%17.2%16.0%
Expected Move4.8%4.6%5.1%4.9%4.6%
HV 20d18.1%13.6%35.0%34.6%14.1%
HV 60d26.4%25.5%26.8%26.7%25.5%
IV Rank2.2%1.5%3.4%2.5%1.5%
IV Percentile2.6%0.4%7.1%2.0%0.4%
Term Structure3.3%-0.2%6.3%-0.2%6.3%
VWIV16.8%16.1%17.2%17.2%16.1%
Skew 25d-1.7%-47.4%43.4%23.7%-41.4%
Skew 10d-8.6%-64.4%39.7%22.2%-17.6%
Call IV 25d55.9%18.5%85.1%66.3%85.1%
Put IV 25d54.2%20.5%97.4%90.0%43.8%
Bid-Ask Spread %120.10116.35124.92123.38124.92
Gamma HHI0.790.470.940.880.55
Net GEX39.0K6.7K92.4K43.7K13.7K
Net DEX-258.2K-683.6K-116.0K-288.5K-337.9K
Net VEX-2.0K-2.5K-1.6K-1.9K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.370.0019.000.521.07
Total Volume77.50267141267
Total OI516.955372615512518

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$30.00$30.0017.2%4.9%34.6%2.5%17.2%23.7%-0.2%43.7K-288.5K-1.9K0.52123.38N/AN/A9348338174
2015-03-03$29.80$30.0017.2%4.9%35.0%2.4%17.2%43.4%0.4%42.2K-227.3K-1.8K0.52123.06N/AN/A9348338176
2015-03-04$30.11$30.0016.9%4.8%34.9%2.3%16.9%15.3%0.2%46.6K-317.7K-1.9K0.52118.88N/AN/A9348339176
2015-03-05$30.13$0.0016.4%4.8%28.5%1.9%0.0%6.8%3.4%49.0K-310.2K-1.9K0.52116.63N/AN/A9348339176
2015-03-06$30.00$0.0017.1%4.7%14.9%2.4%0.0%11.7%3.9%48.7K-269.0K-1.8K0.52117.32N/AN/A9348349176
2015-03-09$29.81$0.0018.4%5.0%13.6%3.4%0.0%26.8%2.6%50.1K-237.5K-1.7K0.00116.65N/AN/A00347176
2015-03-10$29.36$0.0016.9%5.1%14.5%2.2%0.0%-21.9%3.0%45.7K-161.2K-1.6K0.00119.05N/AN/A140347176
2015-03-11$29.18$0.0017.7%5.1%14.6%2.8%0.0%19.2%3.0%38.1K-116.0K-1.7K0.00118.66N/AN/A50361176
2015-03-12$29.63$0.0016.9%4.9%15.3%2.3%0.0%19.4%3.1%56.7K-224.4K-1.8K0.00116.35N/AN/A00366176
2015-03-13$29.28$0.0017.0%4.9%14.7%2.4%0.0%-18.0%3.1%42.6K-122.8K-1.7K0.00120.54N/AN/A100366176
2015-03-16$29.54$0.0016.9%4.9%15.2%2.3%0.0%26.3%3.3%59.0K-190.2K-1.7K0.42119.60N/AN/A2410376176
2015-03-17$29.47$0.0017.0%4.9%14.4%2.3%0.0%29.4%2.8%55.6K-185.3K-1.9K0.00120.81N/AN/A00400186
2015-03-18$29.67$0.0016.8%4.8%14.7%2.2%0.0%18.3%2.8%69.3K-240.0K-1.9K0.00120.96N/AN/A130400186
2015-03-19$30.00$0.0016.2%4.6%15.1%1.7%0.0%-8.7%3.9%92.4K-402.3K-2.0K0.00120.81N/AN/A280413186
2015-03-20$30.21$0.0016.7%4.8%14.9%2.1%16.6%-3.5%3.3%20.2K-683.6K-1.9K0.00119.07N/AN/A820429186
2015-03-23$30.28$30.0017.4%5.0%14.9%2.7%0.0%-45.5%2.5%22.5K-311.6K-2.0K0.00122.59N/AN/A04330270
2015-03-24$30.29$30.0016.3%4.7%14.9%1.8%0.0%-47.4%4.6%17.0K-252.0K-2.2K0.00119.17N/AN/A130302113
2015-03-25$29.79$30.0016.9%4.8%15.9%2.2%16.8%-35.9%4.9%18.0K-201.9K-2.2K19.00122.54N/AN/A238315113
2015-03-26$29.81$30.0016.8%4.8%15.6%2.2%16.8%-2.9%4.3%7.0K-139.3K-2.3K0.98117.53N/AN/A9290317151
2015-03-27$29.94$30.0016.5%4.7%13.9%2.0%0.0%-39.4%4.9%6.7K-170.0K-2.3K0.00121.65N/AN/A500317151
2015-03-30$30.17$30.0016.5%4.7%14.2%2.0%16.5%-13.8%6.0%13.4K-291.4K-2.5K0.70121.93N/AN/A12990367151
2015-03-31$30.39$30.0016.0%4.6%14.1%1.5%16.1%-41.4%6.3%13.7K-337.9K-2.5K1.07124.92N/AN/A129138367151