CSGS Options History — September 2015

In September 2015, CSGS traded between $29.74 and $30.87. ATM implied volatility averaged 25.3%, placing in the 7.6% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 3.4% (HV 20d: 21.9%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 5.61.

Notable Days

  • 2015-09-18: Highest Volume — 290 contracts
  • 2015-09-09: Largest IV drop — 25.5% change
  • 2015-09-08: Highest IV Rank — 13.0%
  • 2015-09-01: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.30$29.74$30.87$30.20$30.77
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV25.3%20.3%34.3%29.0%20.3%
Expected Move7.1%5.8%8.3%8.3%5.8%
HV 20d21.9%18.8%30.7%30.7%18.8%
HV 60d22.5%21.7%23.2%21.9%22.8%
IV Rank7.6%4.6%13.0%9.8%4.6%
IV Percentile51.8%31.7%71.0%64.7%31.7%
Term Structure1.1%-2.5%9.4%-2.5%9.4%
VWIV24.0%17.1%29.0%29.0%17.1%
Skew 25d1.8%-58.2%26.0%2.8%10.1%
Skew 10d6.5%-86.1%51.8%4.7%38.2%
Call IV 25d30.8%18.7%83.0%29.6%24.2%
Put IV 25d32.6%23.3%68.1%32.4%34.2%
Bid-Ask Spread %111.7299.04120.88120.88105.56
Gamma HHI0.780.660.890.810.67
Net GEX-85.1K-169.3K-37.0K-94.0K-39.2K
Net DEX819.2K215.3K1.3M1.1M545.5K
Net VEX-5.7K-7.0K-4.8K-7.0K-4.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.612.0913.932.137.00
Total Volume216.7140290288112
Total OI1,313.3338871,5731,573906

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$30.20$30.0029.0%8.3%30.7%9.8%29.0%2.8%-2.5%-94.0K1.1M-7.0K2.13120.88N/AN/A921965161,057
2015-09-02$30.40$30.0027.5%7.9%30.7%8.9%28.2%-8.6%-1.8%-97.7K974.2K-6.9K2.13120.00N/AN/A921965161,056
2015-09-03$30.60$0.0027.3%7.2%20.1%8.8%0.0%2.7%0.3%-102.1K908.2K-6.8K2.13119.38N/AN/A921965161,056
2015-09-04$29.75$0.0027.4%7.3%20.8%8.9%0.0%26.0%0.3%-104.4K1.3M-6.5K2.13119.86N/AN/A921965161,056
2015-09-08$30.04$0.0034.3%7.5%21.3%13.0%0.0%2.3%0.1%-103.1K1.1M-6.4K0.00116.53N/AN/A005161,056
2015-09-09$29.74$0.0025.5%7.3%21.4%7.8%0.0%10.7%-0.9%-121.4K1.3M-6.1K2.13117.37N/AN/A921965161,056
2015-09-10$29.78$0.0025.6%7.3%21.4%7.8%0.0%1.4%0.6%-118.9K1.3M-6.2K2.13117.70N/AN/A921965161,056
2015-09-11$29.90$0.0025.3%7.2%21.5%7.6%0.0%1.6%0.7%-132.7K1.2M-6.1K2.13100.11N/AN/A921965161,056
2015-09-14$29.89$0.0025.7%7.4%21.0%7.9%0.0%1.8%-0.0%-140.5K1.2M-5.8K2.13118.35N/AN/A921965161,056
2015-09-15$30.32$0.0024.7%7.1%21.2%7.2%0.0%24.8%0.6%-169.3K863.6K-5.8K0.00117.91N/AN/A005161,056
2015-09-16$30.57$0.0024.5%7.0%21.4%7.1%0.0%3.4%0.3%-140.4K667.5K-5.6K2.13115.62N/AN/A921965161,056
2015-09-17$30.87$0.0023.6%6.8%21.8%6.6%0.0%3.9%0.7%-113.2K307.1K-5.3K2.13110.99N/AN/A921965161,056
2015-09-18$30.38$0.0023.6%6.8%22.1%6.6%23.5%3.2%0.5%-38.1K215.3K-5.0K2.09102.52N/AN/A941965161,056
2015-09-21$30.80$30.0022.8%6.5%22.4%6.1%22.7%-37.2%1.9%-37.0K508.8K-5.0K12.19100.25N/AN/A16195269618
2015-09-22$30.31$30.0022.9%6.6%22.4%6.2%22.9%1.8%2.5%-40.0K634.2K-4.9K12.1999.04N/AN/A16195269618
2015-09-23$30.43$30.0022.9%6.6%20.9%6.2%22.9%4.5%2.6%-38.7K606.7K-4.9K12.19102.17N/AN/A16195269618
2015-09-24$30.30$30.0024.0%6.9%21.0%6.8%24.0%2.8%1.6%-39.7K623.4K-4.8K12.19101.30N/AN/A16195269618
2015-09-25$30.63$30.0023.4%6.7%20.7%6.5%23.4%13.6%2.6%-38.3K568.0K-4.9K13.93107.64N/AN/A14195269618
2015-09-28$30.44$30.0025.7%7.4%19.4%7.9%25.6%24.5%1.3%-38.6K561.5K-4.8K6.71112.16N/AN/A1494278618
2015-09-29$30.25$30.0024.8%7.1%19.4%7.3%24.8%-58.2%1.6%-38.8K631.2K-4.9K6.71120.73N/AN/A1494278628
2015-09-30$30.77$30.0020.3%5.8%18.8%4.6%17.1%10.1%9.4%-39.2K545.5K-4.9K7.00105.56N/AN/A1498278628