CSGS Options History — September 2016

In September 2016, CSGS traded between $41.23 and $44.65. ATM implied volatility averaged 20.8%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 1.0% (HV 20d: 19.8%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 3.20.

Notable Days

  • 2016-09-01: Highest Volume — 277 contracts
  • 2016-09-09: Largest IV spike — 72.8% change
  • 2016-09-13: Highest IV Rank — 32.1%
  • 2016-09-26: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.90$41.23$44.65$44.18$41.35
Max Pain$44.52$40.00$45.00$40.00$45.00
ATM IV20.8%14.8%38.7%16.4%22.4%
Expected Move5.6%4.2%6.6%4.7%6.4%
HV 20d19.8%13.9%27.8%15.4%27.4%
HV 60d20.7%18.8%22.0%20.7%22.0%
IV Rank8.5%0.7%32.1%2.8%10.6%
IV Percentile21.4%2.0%95.2%3.6%28.2%
Term Structure4.7%1.3%9.8%1.3%5.0%
VWIV18.3%14.7%25.8%16.2%16.4%
Skew 25d8.1%-1.6%57.0%53.3%4.9%
Skew 10d10.7%0.2%68.5%23.7%9.2%
Call IV 25d18.5%15.1%24.7%18.4%17.9%
Put IV 25d26.6%20.1%72.9%71.7%22.7%
Bid-Ask Spread %102.9786.01116.73115.60116.73
Gamma HHI0.560.500.610.560.58
Net GEX-11.9K-19.8K-1.4K-9.6K-19.8K
Net DEX56.9K-236.7K326.1K-203.2K311.5K
Net VEX-2.8K-3.3K-2.5K-2.7K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.200.346.916.910.34
Total Volume164.8576727727767
Total OI449.286323534514433

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$44.18$40.0016.4%4.7%15.4%2.8%16.2%53.3%1.3%-9.6K-203.2K-2.7K6.91115.60N/AN/A35242172342
2016-09-02$44.39$40.0014.8%4.2%14.1%0.7%14.7%57.0%2.8%-9.9K-226.5K-2.7K4.63102.59N/AN/A35162172342
2016-09-06$44.14$45.0014.9%5.3%13.9%0.8%15.9%5.0%4.1%-12.2K-187.6K-2.8K4.6386.01N/AN/A35162172362
2016-09-07$44.65$45.0015.0%5.3%14.0%0.9%14.9%5.8%3.9%-12.6K-236.7K-2.6K4.63104.41N/AN/A35162172362
2016-09-08$43.92$45.0016.8%5.3%15.9%3.2%17.3%3.4%3.4%-12.5K-181.0K-2.7K4.63106.51N/AN/A35162172362
2016-09-09$43.08$45.0028.9%5.2%17.8%19.2%17.4%3.1%3.7%-8.6K-76.1K-2.8K3.7793.64N/AN/A43162172362
2016-09-12$43.09$45.0028.7%5.1%16.8%18.9%17.5%3.7%4.7%-12.5K52.9K-2.8K3.7795.12N/AN/A43162135362
2016-09-13$41.90$45.0038.7%6.4%20.0%32.1%20.1%2.3%3.3%-13.9K159.0K-2.8K3.77102.52N/AN/A43162135362
2016-09-14$42.37$45.0022.4%6.4%20.2%10.7%19.0%3.0%3.8%-12.8K109.6K-2.7K3.7792.35N/AN/A43162135361
2016-09-15$42.87$45.0018.3%5.2%20.0%5.3%18.3%3.0%4.2%-13.1K68.9K-2.7K3.4595.08N/AN/A47162135361
2016-09-16$42.45$45.0021.5%6.2%18.2%9.5%21.1%1.2%3.0%-11.9K99.4K-2.7K3.45101.35N/AN/A47162139361
2016-09-19$42.50$45.0021.1%6.0%18.2%8.9%18.9%3.1%7.0%-12.0K169.2K-2.7K3.90101.97N/AN/A31121100223
2016-09-20$42.97$45.0015.2%4.4%18.4%1.3%18.2%2.0%4.8%-9.8K122.7K-2.6K4.0397.93N/AN/A30121100223
2016-09-21$43.67$45.0017.6%5.0%18.6%4.3%17.7%4.3%6.3%-7.4K69.3K-2.5K2.88108.02N/AN/A42121102223
2016-09-22$44.11$45.0016.9%4.8%18.8%3.4%16.9%6.2%6.3%-1.4K-6.7K-2.7K2.88104.66N/AN/A42121126223
2016-09-23$42.28$45.0018.2%5.2%24.1%5.2%18.6%2.5%9.8%-8.3K136.4K-2.8K0.72104.94N/AN/A4633133223
2016-09-26$41.79$45.0022.9%6.6%24.4%11.4%23.4%0.3%3.7%-9.6K198.4K-3.0K0.96105.26N/AN/A4644143235
2016-09-27$41.23$45.0022.8%6.5%24.7%11.2%15.9%5.6%4.0%-19.5K326.1K-3.2K1.39115.73N/AN/A4157144288
2016-09-28$42.42$45.0020.5%5.9%26.9%8.1%20.3%1.8%8.6%-14.2K199.8K-3.3K1.39103.98N/AN/A4157144289
2016-09-29$41.49$45.0022.4%6.4%27.8%10.7%25.8%-1.6%5.0%-18.7K288.8K-3.2K1.39108.08N/AN/A4157144289
2016-09-30$41.35$45.0022.4%6.4%27.4%10.6%16.4%4.9%5.0%-19.8K311.5K-3.2K0.34116.73N/AN/A5017144289