CSGS Options History — May 2015

In May 2015, CSGS traded between $28.99 and $31.24. ATM implied volatility averaged 18.0%, placing in the 3.6% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 2.4% (HV 20d: 20.4%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.64.

Notable Days

  • 2015-05-07: Highest Volume — 283 contracts
  • 2015-05-20: Largest IV spike — 66.3% change
  • 2015-05-05: Highest IV Rank — 10.2%
  • 2015-05-01: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.28$28.99$31.24$29.28$31.24
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV18.0%12.7%27.5%26.4%18.6%
Expected Move4.9%3.6%7.6%7.6%5.3%
HV 20d20.4%14.9%25.1%14.9%22.2%
HV 60d16.2%14.1%20.5%20.5%17.5%
IV Rank3.6%0.0%10.2%9.4%4.4%
IV Percentile12.7%0.0%45.2%42.5%20.6%
Term Structure0.8%-8.3%4.3%-5.7%-8.3%
VWIV16.9%11.5%26.0%26.0%17.6%
Skew 25d19.7%-2.7%74.5%51.0%-0.2%
Skew 10d43.9%-4.0%100.9%65.1%43.9%
Call IV 25d17.6%14.8%29.2%29.2%18.6%
Put IV 25d37.3%14.5%91.5%80.2%18.4%
Bid-Ask Spread %111.4595.35118.97105.05110.46
Gamma HHI0.890.800.940.800.84
Net GEX36.3K15.9K49.3K15.9K32.3K
Net DEX-440.6K-702.7K-43.9K-43.9K-633.1K
Net VEX-3.3K-3.6K-2.7K-2.7K-3.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.003.000.920.85
Total Volume157.50283204196
Total OI736.85623826623792

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$29.28$30.0026.4%7.6%14.9%9.4%26.0%51.0%-5.7%15.9K-43.9K-2.7K0.92105.05N/AN/A10698422201
2015-05-04$28.99$30.0026.4%6.0%15.1%9.4%21.2%-1.0%-1.0%21.3K-69.0K-3.0K0.0095.35N/AN/A210482201
2015-05-05$29.02$30.0027.5%6.2%15.1%10.2%21.8%-1.5%0.1%21.1K-101.1K-3.1K0.6299.52N/AN/A15998503201
2015-05-06$29.93$30.0016.7%4.7%19.3%2.1%16.5%40.9%3.0%40.1K-314.8K-3.3K0.61113.94N/AN/A16198531201
2015-05-07$30.39$30.0017.3%4.4%20.0%2.6%15.5%3.3%3.4%44.7K-548.0K-3.4K0.76117.49N/AN/A161122534201
2015-05-08$30.57$30.0013.2%4.9%19.9%0.0%17.0%31.4%1.6%35.4K-622.1K-3.4K3.00115.72N/AN/A1030534231
2015-05-11$30.50$30.0021.2%4.5%19.9%6.0%0.0%29.6%3.8%33.6K-561.5K-3.5K0.00116.49N/AN/A00544261
2015-05-12$30.36$30.0021.9%4.6%19.9%6.5%15.9%34.7%4.3%33.8K-507.4K-3.5K0.42107.77N/AN/A17072544261
2015-05-13$30.10$30.0016.6%4.8%20.0%2.5%16.6%2.4%3.8%33.4K-360.4K-3.5K0.42112.05N/AN/A17172544261
2015-05-14$30.50$30.0016.1%4.6%20.4%2.1%16.1%27.7%2.3%37.1K-573.4K-3.6K0.59107.44N/AN/A12272565261
2015-05-15$30.07$30.0016.1%4.6%20.5%2.1%16.1%15.7%3.4%31.6K-521.1K-3.5K0.59107.70N/AN/A12272565261
2015-05-18$30.51$30.0015.5%4.4%21.1%1.7%0.0%34.4%0.4%41.3K-477.4K-3.5K0.00110.13N/AN/A00500197
2015-05-19$30.88$30.0013.0%3.7%21.5%0.0%11.5%14.1%4.0%41.8K-596.4K-3.4K0.00110.96N/AN/A90500197
2015-05-20$30.88$30.0021.7%6.2%21.3%6.4%21.5%33.7%-1.8%35.8K-586.1K-3.5K0.46118.81N/AN/A12457509197
2015-05-21$30.88$30.0012.7%3.6%21.1%0.0%12.7%-0.9%3.7%39.2K-652.8K-3.3K0.31112.40N/AN/A12438503207
2015-05-22$30.09$30.0013.8%4.0%23.3%0.9%13.8%3.7%1.0%48.0K-333.9K-3.4K0.33114.01N/AN/A11438503208
2015-05-26$29.78$30.0015.0%4.3%23.5%1.7%15.0%74.5%0.7%44.7K-179.2K-3.2K0.33115.99N/AN/A11438497208
2015-05-27$30.43$30.0014.8%4.2%24.0%1.6%14.8%-2.7%0.7%49.3K-428.6K-3.2K0.33118.75N/AN/A11438497208
2015-05-28$31.13$30.0014.9%4.3%25.1%1.6%14.7%2.7%-3.4%45.9K-702.7K-3.0K0.97118.97N/AN/A106103497208
2015-05-29$31.24$30.0018.6%5.3%22.2%4.4%17.6%-0.2%-8.3%32.3K-633.1K-3.6K0.85110.46N/AN/A10690498294