CSGS Options History — May 2016

In May 2016, CSGS traded between $40.81 and $45.08. ATM implied volatility averaged 28.0%, placing in the 8.9% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 0.8% (HV 20d: 27.2%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 7.22.

Notable Days

  • 2016-05-11: Highest Volume — 297 contracts
  • 2016-05-05: Largest IV drop — 17.9% change
  • 2016-05-04: Highest IV Rank — 14.4%
  • 2016-05-04: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.33$40.81$45.08$45.08$42.52
Max Pain$39.76$35.00$40.00$40.00$40.00
ATM IV28.0%21.2%36.5%32.5%22.1%
Expected Move8.1%6.1%10.5%9.3%6.3%
HV 20d27.2%14.0%32.0%14.0%31.1%
HV 60d35.9%33.1%36.8%33.1%36.5%
IV Rank8.9%3.3%14.4%12.0%3.9%
IV Percentile60.1%17.1%91.3%82.9%23.4%
Term Structure0.6%-7.3%21.1%-2.8%-1.1%
VWIV28.1%22.5%34.3%33.5%27.1%
Skew 25d2.8%-1.1%11.3%4.0%3.5%
Skew 10d3.0%-22.9%19.0%6.7%4.4%
Call IV 25d26.5%22.9%36.1%33.1%22.9%
Put IV 25d29.4%25.1%41.0%37.0%26.5%
Bid-Ask Spread %100.4991.15107.9997.86107.99
Gamma HHI0.490.340.630.470.61
Net GEX13.5K-5.5K32.1K32.1K14.7K
Net DEX-361.3K-788.9K-97.8K-788.9K-339.5K
Net VEX-2.2K-2.8K-1.6K-2.2K-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.222.1415.062.9615.06
Total Volume222.857162297198273
Total OI784.238690840690752

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$45.08$40.0032.5%9.3%14.0%12.0%33.5%4.0%-2.8%32.1K-788.9K-2.2K2.9697.86N/AN/A50148311379
2016-05-03$44.32$40.0033.7%9.7%15.1%12.7%34.0%1.2%-5.5%30.9K-701.2K-2.2K3.02100.05N/AN/A49148311379
2016-05-04$44.07$40.0036.5%10.5%14.6%14.4%33.7%11.3%-7.3%30.8K-686.7K-2.4K2.1496.86N/AN/A69148316379
2016-05-05$41.26$35.0030.0%8.2%27.0%10.4%29.4%1.8%0.7%20.2K-348.8K-2.4K9.5694.64N/AN/A27258344379
2016-05-06$41.96$40.0025.1%8.2%28.1%7.5%29.4%4.0%0.7%9.5K-284.3K-2.8K6.7999.93N/AN/A38258344479
2016-05-09$42.14$40.0027.5%8.3%28.1%8.9%30.0%2.9%0.9%16.1K-353.8K-2.7K6.7994.85N/AN/A38258353479
2016-05-10$42.68$40.0026.8%7.3%28.7%8.5%27.8%3.7%2.1%22.0K-430.7K-2.4K6.79102.43N/AN/A38258353479
2016-05-11$42.08$40.0028.7%8.2%27.5%9.7%27.5%1.5%0.3%14.6K-332.7K-2.5K6.82100.34N/AN/A38259353479
2016-05-12$41.98$40.0028.2%8.1%27.5%9.4%26.7%1.3%0.0%13.5K-320.2K-2.5K6.82101.82N/AN/A38259353480
2016-05-13$41.74$40.0028.0%8.0%27.5%9.3%26.9%-0.0%1.0%9.1K-268.5K-2.4K6.82100.00N/AN/A38259353480
2016-05-16$42.30$40.0029.0%8.3%27.9%9.8%25.9%2.8%0.3%16.0K-351.4K-2.1K5.7099.91N/AN/A27154353480
2016-05-17$42.21$40.0029.2%8.4%27.7%10.0%25.5%3.1%0.7%9.2K-327.2K-2.3K5.7091.15N/AN/A27154353480
2016-05-18$40.90$40.0028.2%8.1%29.4%9.3%25.0%-1.1%0.7%-2.5K-121.9K-2.2K6.26103.75N/AN/A27169353485
2016-05-19$40.81$40.0028.1%8.1%29.4%9.3%34.3%4.2%0.8%-5.5K-97.8K-2.2K6.57105.03N/AN/A23151353487
2016-05-20$41.54$40.0026.9%7.7%30.3%8.6%31.2%4.1%1.8%-1.1K-234.6K-1.9K4.7298.14N/AN/A32151353487
2016-05-23$41.52$40.0027.7%7.9%30.4%8.4%25.4%2.5%-2.9%2.6K-229.2K-2.0K10.57100.43N/AN/A14148263482
2016-05-24$42.50$40.0027.7%7.9%31.9%7.8%25.6%1.9%-4.7%12.3K-351.9K-2.0K10.57100.25N/AN/A14148267484
2016-05-25$42.25$40.0026.4%7.6%31.8%7.1%25.2%3.1%-4.7%11.3K-325.4K-1.8K10.57105.63N/AN/A14148267484
2016-05-26$42.46$40.0025.6%7.3%32.0%6.5%24.5%1.5%10.0%13.0K-338.5K-1.7K8.71102.14N/AN/A17148267484
2016-05-27$42.59$40.0021.2%6.1%31.8%3.3%22.5%2.2%21.1%15.5K-355.0K-1.7K8.71107.04N/AN/A17148268484
2016-05-31$42.52$40.0022.1%6.3%31.1%3.9%27.1%3.5%-1.1%14.7K-339.5K-1.6K15.06107.99N/AN/A17256268484