CSGS Options History — March 2016

In March 2016, CSGS traded between $36.57 and $45.13. ATM implied volatility averaged 30.8%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 12.1% (HV 20d: 43.0%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.05.

Notable Days

  • 2016-03-10: Highest Volume — 1,300 contracts
  • 2016-03-10: Largest IV spike — 60.9% change
  • 2016-03-10: Highest IV Rank — 18.7%
  • 2016-03-10: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.71$36.57$45.13$38.52$45.13
Max Pain$39.55$35.00$40.00$35.00$40.00
ATM IV30.8%20.4%43.7%21.6%28.7%
Expected Move8.8%5.4%12.5%6.2%8.2%
HV 20d43.0%16.2%53.3%30.8%52.6%
HV 60d35.7%27.8%39.5%28.3%38.8%
IV Rank10.9%4.6%18.7%5.4%9.7%
IV Percentile73.5%27.0%93.7%33.7%74.2%
Term Structure0.2%-8.6%4.0%-1.9%4.0%
VWIV33.2%18.5%41.8%29.5%39.6%
Skew 25d4.5%1.2%12.6%3.3%12.6%
Skew 10d10.5%1.8%34.1%16.1%21.2%
Call IV 25d29.0%21.2%37.4%21.2%24.0%
Put IV 25d33.6%23.0%43.8%24.5%36.7%
Bid-Ask Spread %98.1286.93113.58113.5895.95
Gamma HHI0.590.390.770.690.55
Net GEX45.8K-10.5K279.3K22.8K24.3K
Net DEX-820.8K-3.6M673.4K-181.6K-1.3M
Net VEX-3.3K-6.1K-1.4K-1.6K-2.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.423.100.771.18
Total Volume528.1361991,300256513
Total OI1,298.7276862,3026861,238

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$38.52$35.0021.6%6.2%30.8%5.4%29.5%3.3%-1.9%22.8K-181.6K-1.6K0.77113.58N/AN/A145111301385
2016-03-02$38.45$35.0021.6%6.2%29.2%5.4%29.6%6.8%-1.0%21.5K-165.6K-1.5K0.77111.64N/AN/A145111301385
2016-03-03$38.28$40.0022.0%6.4%27.9%5.6%22.9%2.6%2.5%19.9K-152.4K-1.5K0.82104.01N/AN/A135111301385
2016-03-04$38.45$40.0020.4%6.3%17.1%4.6%22.5%2.1%3.0%23.2K-171.4K-1.5K0.82104.88N/AN/A135111303385
2016-03-07$38.33$40.0027.3%6.3%17.1%8.8%22.4%1.8%2.4%20.3K-172.2K-1.5K0.42102.84N/AN/A14059302385
2016-03-08$38.34$40.0020.8%5.4%16.2%4.9%18.5%1.2%2.8%20.8K-154.2K-1.4K0.42108.39N/AN/A14059308390
2016-03-09$40.81$40.0027.2%7.8%26.1%8.7%27.2%3.4%0.3%42.2K-488.5K-1.5K1.48107.44N/AN/A233345308390
2016-03-10$36.57$40.0043.7%12.5%48.2%18.7%41.8%8.2%-8.6%-10.5K673.4K-2.5K0.8497.05N/AN/A705595382648
2016-03-11$37.53$40.0035.2%10.1%49.1%13.6%37.4%2.5%-2.2%30.3K467.6K-5.0K3.1090.68N/AN/A1976109181,037
2016-03-14$39.05$40.0037.4%10.7%51.1%14.9%39.7%4.1%-2.5%129.1K-565.8K-4.9K1.1391.66N/AN/A341385936977
2016-03-15$39.44$40.0034.0%9.7%51.2%12.9%36.3%4.3%0.3%179.8K-886.8K-6.0K0.8186.93N/AN/A4603721,1051,112
2016-03-16$40.40$40.0035.4%10.2%51.6%13.7%36.5%3.3%-1.3%279.3K-2.0M-6.1K1.0191.64N/AN/A3683721,1901,112
2016-03-17$42.11$40.0035.7%10.2%53.3%13.9%38.2%5.0%-1.5%139.0K-3.1M-5.0K1.0888.39N/AN/A3453721,1791,101
2016-03-18$42.39$40.0034.5%9.9%53.2%13.2%36.7%3.7%-0.6%526-3.6M-4.3K1.0895.46N/AN/A3453721,1801,101
2016-03-21$42.29$40.0035.0%10.0%53.2%13.5%34.5%2.5%-0.0%978-718.4K-4.1K0.9395.66N/AN/A232215397811
2016-03-22$42.33$40.0034.6%9.9%53.1%13.2%34.6%2.3%1.0%2.2K-730.4K-4.0K0.9289.57N/AN/A233215397811
2016-03-23$42.27$40.0034.2%9.8%53.2%13.0%34.0%3.0%0.9%3.7K-730.1K-3.9K0.9292.20N/AN/A233215399811
2016-03-24$42.19$40.0034.6%9.9%52.8%13.2%34.5%2.4%1.2%2.4K-701.8K-3.9K0.9197.82N/AN/A235215399811
2016-03-28$43.37$40.0032.5%9.3%53.0%11.9%37.4%6.1%1.5%15.2K-975.6K-3.3K1.2199.64N/AN/A225273402811
2016-03-29$44.25$40.0032.3%9.3%52.6%11.8%37.3%7.7%1.3%17.1K-1.1M-3.1K1.2197.19N/AN/A225273403837
2016-03-30$45.05$40.0029.2%8.4%52.7%9.9%39.4%11.0%2.9%22.6K-1.3M-2.8K1.2195.95N/AN/A225273403835
2016-03-31$45.13$40.0028.7%8.2%52.6%9.7%39.6%12.6%4.0%24.3K-1.3M-2.6K1.1895.95N/AN/A235278403835