CSGS Options History — December 2015

In December 2015, CSGS traded between $33.83 and $36.28. ATM implied volatility averaged 23.3%, placing in the 6.4% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 0.0% (HV 20d: 23.3%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.46.

Notable Days

  • 2015-12-04: Highest Volume — 524 contracts
  • 2015-12-11: Largest IV spike — 27.0% change
  • 2015-12-08: Highest IV Rank — 8.7%
  • 2015-12-11: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.17$33.83$36.28$35.75$36.04
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV23.3%20.2%27.1%25.2%21.4%
Expected Move6.4%5.8%7.6%7.2%6.1%
HV 20d23.3%11.7%48.8%48.8%22.2%
HV 60d31.8%31.1%32.5%31.1%32.4%
IV Rank6.4%4.5%8.7%7.6%5.3%
IV Percentile51.6%34.1%79.0%62.3%39.7%
Term Structure3.2%-3.2%8.4%-3.2%7.2%
VWIV22.2%20.2%26.6%23.4%21.5%
Skew 25d4.8%-2.9%44.2%3.4%1.1%
Skew 10d11.4%-3.8%91.1%7.2%11.7%
Call IV 25d21.5%17.6%25.1%24.0%22.2%
Put IV 25d26.3%20.1%68.7%27.5%23.3%
Bid-Ask Spread %112.04102.01119.99107.92111.95
Gamma HHI0.350.290.490.340.29
Net GEX15.8K-4.5K41.4K26.8K12.7K
Net DEX-197.6K-745.7K353.6K-745.7K-188.0K
Net VEX-2.2K-3.0K-1.6K-3.0K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.000.730.000.15
Total Volume381.36425242318
Total OI942.3185331,2601,255553

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$35.75$35.0025.2%7.2%48.8%7.6%0.0%3.4%-3.2%26.8K-745.7K-3.0K0.00107.92N/AN/A20565690
2015-12-02$35.61$35.0023.4%6.7%48.8%6.5%23.4%44.2%-1.7%29.6K-688.6K-3.0K0.63102.01N/AN/A321201567690
2015-12-03$35.22$35.0026.8%6.1%48.7%8.5%21.3%1.7%2.8%23.2K-556.2K-3.0K0.66113.73N/AN/A308204567693
2015-12-04$35.53$35.0026.5%5.9%21.7%8.3%20.7%2.9%4.0%22.5K-633.2K-2.8K0.64114.66N/AN/A320204535699
2015-12-07$35.16$35.0025.6%6.3%20.5%7.8%0.0%2.3%2.3%20.5K-283.6K-2.6K0.50114.41N/AN/A63441699
2015-12-08$34.55$35.0027.1%6.3%21.0%8.7%22.0%-0.0%3.6%14.8K-37.6K-2.6K0.73113.88N/AN/A275201435702
2015-12-09$34.46$35.0023.1%6.6%21.0%6.3%23.0%-0.4%1.1%14.4K-22.2K-2.4K0.73117.84N/AN/A275201435702
2015-12-10$34.44$35.0021.0%6.0%21.0%5.0%21.0%-0.3%3.3%15.1K-1.1K-2.4K0.73104.37N/AN/A275201435702
2015-12-11$34.19$35.0026.6%7.6%11.7%8.4%26.6%5.6%-0.2%11.1K45.6K-2.5K0.73102.47N/AN/A275201435702
2015-12-14$34.65$35.0025.4%7.3%12.5%7.7%25.4%7.9%1.3%17.6K-76.7K-2.3K0.73112.72N/AN/A277201435702
2015-12-15$35.42$35.0022.8%6.5%14.8%6.1%22.8%3.3%3.0%24.2K-361.6K-2.2K0.73107.25N/AN/A277201437702
2015-12-16$35.36$35.0022.1%6.3%14.8%5.7%21.8%2.7%3.6%41.4K-367.7K-2.1K0.71115.73N/AN/A279198437702
2015-12-17$34.45$35.0021.4%6.1%17.4%5.3%21.4%0.0%3.6%27.6K35.6K-2.0K0.71110.80N/AN/A279198439702
2015-12-18$33.83$35.0024.5%7.0%18.1%7.1%24.5%-2.9%0.2%-4.5K353.6K-1.8K0.71104.62N/AN/A279198439702
2015-12-21$34.58$35.0021.1%6.1%19.8%5.1%21.2%0.6%4.7%-374-17.3K-1.7K0.16111.11N/AN/A26642268265
2015-12-22$34.83$35.0020.2%5.8%19.9%4.5%20.2%1.4%5.2%1.3K-40.1K-1.6K0.16116.49N/AN/A26642268265
2015-12-23$35.66$35.0021.8%6.2%21.7%5.5%21.7%2.8%4.3%6.3K-101.6K-1.7K0.16111.73N/AN/A26642268265
2015-12-24$35.93$35.0022.2%6.4%21.9%5.7%22.1%19.1%5.5%7.7K-125.8K-1.7K0.15117.25N/AN/A28442268265
2015-12-28$35.80$35.0022.7%6.5%21.8%6.1%22.4%2.4%3.8%10.5K-157.1K-1.8K0.15119.99N/AN/A28442286265
2015-12-29$36.28$35.0020.7%5.9%22.1%4.9%20.7%4.6%8.1%12.4K-191.3K-1.7K0.15118.45N/AN/A27642286265
2015-12-30$36.07$35.0021.1%6.0%22.2%5.1%21.1%3.0%8.4%12.4K-187.1K-1.7K0.15115.46N/AN/A27642288265
2015-12-31$36.04$35.0021.4%6.1%22.2%5.3%21.5%1.1%7.2%12.7K-188.0K-1.7K0.15111.95N/AN/A27642288265