CSGS Options History — June 2016

In June 2016, CSGS traded between $38.64 and $43.20. ATM implied volatility averaged 29.0%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 9.0% (HV 20d: 20.1%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 11.74.

Notable Days

  • 2016-06-01: Highest Volume — 273 contracts
  • 2016-06-24: Largest IV spike — 101.0% change
  • 2016-06-27: Highest IV Rank — 22.4%
  • 2016-06-27: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.33$38.64$43.20$42.59$40.18
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV29.0%20.6%52.2%21.1%31.7%
Expected Move8.2%5.7%15.0%6.1%9.1%
HV 20d20.1%15.8%30.7%30.7%24.0%
HV 60d24.9%21.8%36.5%36.5%23.6%
IV Rank8.2%3.0%22.4%3.3%9.8%
IV Percentile54.7%12.3%94.8%15.9%76.2%
Term Structure-0.5%-14.3%8.7%-3.1%-3.5%
VWIV31.7%22.5%45.6%26.4%31.7%
Skew 25d8.4%-26.5%56.2%-0.2%56.2%
Skew 10d19.4%-53.9%92.0%-11.1%92.0%
Call IV 25d28.6%19.4%67.6%25.6%28.7%
Put IV 25d37.0%21.2%84.9%25.4%84.9%
Bid-Ask Spread %117.27104.45129.93106.89123.51
Gamma HHI0.760.560.950.660.80
Net GEX7.8K-16.4K28.7K17.1K8.1K
Net DEX-222.7K-423.7K-58.5K-359.3K-88.1K
Net VEX-1.1K-1.6K-804-1.6K-804
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.743.3818.5015.063.38
Total Volume183.7735427327357
Total OI516.364202739739205

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$42.59$40.0021.1%6.1%30.7%3.3%26.4%-0.2%-3.1%17.1K-359.3K-1.6K15.06106.89N/AN/A17256268471
2016-06-02$42.59$0.0023.6%6.6%30.7%4.9%0.0%-4.7%0.2%18.0K-360.9K-1.5K15.06110.77N/AN/A17256268471
2016-06-03$42.43$0.0023.4%8.9%19.2%4.7%0.0%2.1%-9.0%13.5K-332.1K-1.4K15.06123.92N/AN/A17256268471
2016-06-06$42.53$0.0022.7%6.1%18.4%4.3%0.0%7.9%5.3%14.6K-342.6K-1.3K15.06114.02N/AN/A17256268471
2016-06-07$42.94$0.0032.8%5.7%18.6%10.5%0.0%6.8%5.0%23.9K-402.3K-1.3K18.29109.98N/AN/A14256268471
2016-06-08$43.20$0.0020.6%5.9%18.2%3.0%0.0%1.6%2.9%28.7K-419.8K-1.1K18.29108.02N/AN/A14256265471
2016-06-09$43.07$0.0027.9%8.0%17.4%7.5%0.0%-4.8%-1.7%26.7K-423.7K-1.2K18.29112.27N/AN/A14256265471
2016-06-10$42.15$0.0030.9%8.9%19.2%9.3%0.0%0.9%-8.5%8.7K-304.1K-1.2K18.29127.34N/AN/A14256265471
2016-06-13$41.56$0.0026.2%7.5%19.7%6.4%0.0%-0.1%1.8%-10.6K-237.6K-99918.50114.08N/AN/A14259250471
2016-06-14$41.86$0.0035.5%10.2%19.3%12.1%0.0%-23.3%-4.4%-4.5K-235.8K-98718.50119.14N/AN/A14259250476
2016-06-15$41.34$0.0033.9%9.7%19.7%11.2%0.0%9.0%-9.3%-15.5K-199.1K-98818.50128.24N/AN/A14259250476
2016-06-16$41.38$0.0022.8%6.5%16.1%4.4%0.0%19.9%8.7%-16.4K-184.4K-98618.50119.76N/AN/A14259250474
2016-06-17$40.43$0.0027.1%7.8%18.2%7.0%0.0%-3.3%-0.2%6.0K-212.0K-92518.43113.30N/AN/A14258250474
2016-06-20$41.02$0.0026.5%7.6%17.8%6.6%0.0%23.3%-0.7%6.1K-116.5K-9174.40121.46N/AN/A104486116
2016-06-21$40.67$0.0025.8%7.4%18.0%6.2%0.0%4.1%4.4%6.5K-105.6K-8824.40118.86N/AN/A104486116
2016-06-22$40.86$0.0034.2%9.8%15.8%11.3%34.1%25.5%-3.8%6.6K-113.2K-8713.38114.41N/AN/A134486116
2016-06-23$41.11$40.0022.4%6.4%15.9%4.1%22.5%14.3%8.3%7.4K-130.4K-8843.38119.81N/AN/A134489116
2016-06-24$40.11$40.0045.1%12.9%17.7%18.0%41.7%51.1%1.1%5.0K-105.5K-9533.38129.93N/AN/A134489116
2016-06-27$38.64$40.0052.2%15.0%21.4%22.4%45.6%-10.1%-14.3%6.5K-99.0K-8453.38126.14N/AN/A134489116
2016-06-28$39.24$40.0026.9%7.7%22.5%6.9%26.9%34.2%3.8%7.2K-58.5K-8123.38104.45N/AN/A134489116
2016-06-29$39.43$40.0024.9%7.1%22.7%5.6%24.9%-26.5%5.7%7.6K-68.3K-8173.38113.55N/AN/A134489116
2016-06-30$40.18$40.0031.7%9.1%24.0%9.8%31.7%56.2%-3.5%8.1K-88.1K-8043.38123.51N/AN/A134489116