CSGS Options History — November 2015

In November 2015, CSGS traded between $33.68 and $37.95. ATM implied volatility averaged 26.6%, placing in the 8.4% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 18.0% (HV 20d: 44.6%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.47.

Notable Days

  • 2015-11-05: Highest Volume — 981 contracts
  • 2015-11-05: Largest IV spike — 27.7% change
  • 2015-11-05: Highest IV Rank — 12.8%
  • 2015-11-06: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.76$33.68$37.95$33.78$35.73
Max Pain$31.76$30.00$35.00$30.00$35.00
ATM IV26.6%22.0%33.9%22.0%26.8%
Expected Move7.4%6.3%8.4%6.3%7.7%
HV 20d44.6%19.5%50.7%19.5%48.8%
HV 60d30.2%19.2%33.2%19.2%31.8%
IV Rank8.4%5.7%12.8%5.7%8.5%
IV Percentile67.6%40.9%80.2%40.9%75.4%
Term Structure-1.5%-7.9%5.8%-4.0%-4.5%
VWIV28.1%24.9%35.8%30.5%26.8%
Skew 25d4.2%-12.9%48.8%-2.9%3.9%
Skew 10d5.4%-55.5%61.2%-10.5%6.8%
Call IV 25d25.8%21.1%49.9%25.7%24.5%
Put IV 25d30.0%22.8%74.0%22.8%28.4%
Bid-Ask Spread %105.2394.46118.57103.74109.51
Gamma HHI0.420.310.610.500.33
Net GEX40.4K-2.4K91.3K-2.4K27.1K
Net DEX-962.6K-1.6M-303.8K-303.8K-738.5K
Net VEX-3.8K-5.0K-2.3K-2.9K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.101.580.370.10
Total Volume532.3098121957
Total OI1,365.89661,6979661,272

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$33.78$0.0022.0%6.3%19.5%5.7%0.0%-2.9%-4.0%-2.4K-303.8K-2.9K0.37103.74N/AN/A16059313653
2015-11-03$34.14$0.0024.0%6.9%19.7%6.8%0.0%48.8%-3.6%4.1K-400.0K-2.5K0.37105.01N/AN/A16059313653
2015-11-04$33.68$0.0026.5%7.6%20.5%8.4%30.5%-12.9%-7.9%-628-310.1K-3.0K0.52112.89N/AN/A306159323653
2015-11-05$37.95$30.0033.9%7.1%46.2%12.8%33.4%3.3%-3.1%23.6K-1.4M-2.3K0.19103.60N/AN/A822159460753
2015-11-06$37.05$30.0030.0%8.4%47.6%10.5%26.0%0.7%-3.4%75.7K-1.5M-5.0K1.58101.89N/AN/A109172944753
2015-11-09$37.21$30.0025.6%7.2%47.6%7.8%26.8%1.6%2.9%60.6K-1.6M-4.3K0.00106.59N/AN/A062835617
2015-11-10$37.06$30.0032.4%8.0%46.7%11.9%27.3%0.7%-2.2%58.4K-1.5M-4.4K0.3494.46N/AN/A722245835663
2015-11-11$36.99$30.0024.2%6.9%46.4%7.0%25.9%6.6%5.8%62.8K-1.5M-4.4K0.34102.66N/AN/A722245835660
2015-11-12$35.16$30.0026.4%7.6%50.7%8.3%34.5%2.4%-0.6%50.2K-840.3K-4.6K0.3194.70N/AN/A708217835682
2015-11-13$35.40$30.0026.8%7.7%50.7%8.5%35.8%3.2%-0.3%52.4K-949.1K-4.6K0.31104.12N/AN/A708217835682
2015-11-16$35.62$30.0026.9%7.7%50.5%8.6%0.0%4.3%-1.6%56.7K-1.0M-4.2K0.00113.18N/AN/A010835682
2015-11-17$35.60$30.0026.6%7.6%50.2%8.4%25.4%-1.9%-1.0%58.7K-1.0M-4.1K0.29101.47N/AN/A708205835692
2015-11-18$35.60$30.0025.9%7.4%50.0%8.0%25.7%3.9%-0.4%65.5K-1.1M-4.0K0.29106.70N/AN/A708205835692
2015-11-19$35.26$30.0024.9%7.2%50.0%7.4%24.9%2.1%0.7%91.3K-918.0K-4.0K0.34102.64N/AN/A708241835692
2015-11-20$35.54$35.0024.7%7.1%50.0%7.3%25.0%1.5%0.1%22.1K-1.2M-3.7K0.46105.30N/AN/A526241835732
2015-11-23$35.74$35.0025.5%7.3%49.9%7.8%0.0%4.3%-1.1%24.4K-729.5K-3.6K0.00108.35N/AN/A00587683
2015-11-24$35.85$35.0025.2%7.2%49.7%7.6%0.0%4.5%-2.1%25.6K-764.0K-3.6K0.00107.51N/AN/A00587683
2015-11-25$35.76$35.0026.2%7.5%48.7%8.2%26.8%4.7%-1.8%24.9K-750.3K-3.6K0.83118.57N/AN/A280233587683
2015-11-27$35.99$35.0026.5%7.6%48.7%8.3%27.0%4.9%-2.3%26.2K-793.5K-3.4K0.83101.69N/AN/A280233587685
2015-11-30$35.73$35.0026.8%7.7%48.8%8.5%26.8%3.9%-4.5%27.1K-738.5K-3.2K0.10109.51N/AN/A525587685