CSGS Options History — October 2016

In October 2016, CSGS traded between $37.65 and $41.35. ATM implied volatility averaged 27.3%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 4.2% (HV 20d: 23.1%). 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 3 of 21 days. Put/call ratio averaged 2.90.

Notable Days

  • 2016-10-20: Highest Volume — 279 contracts
  • 2016-10-12: Largest IV spike — 20.3% change
  • 2016-10-31: Highest IV Rank — 24.2%
  • 2016-10-31: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.58$37.65$41.35$41.35$38.02
Max Pain$40.71$40.00$45.00$45.00$40.00
ATM IV27.3%21.7%32.7%23.6%32.7%
Expected Move8.1%6.6%9.4%6.8%9.4%
HV 20d23.1%16.3%27.4%27.3%16.9%
HV 60d21.2%20.7%22.0%20.8%20.7%
IV Rank17.1%9.7%24.2%12.3%24.2%
IV Percentile54.9%20.6%82.5%36.5%82.5%
Term Structure-2.0%-6.4%4.5%4.5%-6.4%
VWIV29.4%18.3%37.9%18.3%37.9%
Skew 25d5.0%1.6%10.8%4.5%3.9%
Skew 10d10.3%1.5%45.8%9.3%8.9%
Call IV 25d26.7%19.5%33.2%19.5%33.2%
Put IV 25d31.7%23.9%37.1%23.9%37.1%
Bid-Ask Spread %97.1483.28116.60115.3189.96
Gamma HHI0.590.440.750.570.45
Net GEX-37.1K-54.3K-19.4K-19.4K-52.4K
Net DEX599.5K298.1K928.3K298.1K872.5K
Net VEX-3.2K-3.5K-2.8K-3.4K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.900.428.960.426.79
Total Volume149.7147527975257
Total OI574.476462728462721

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$41.35$45.0023.6%6.8%27.3%12.3%18.3%4.5%4.5%-19.4K298.1K-3.4K0.42115.31N/AN/A5322162300
2016-10-04$40.93$45.0023.1%6.6%27.4%11.5%19.5%3.5%4.4%-22.4K356.8K-3.4K0.42109.06N/AN/A5322166311
2016-10-05$41.06$45.0023.1%6.6%26.9%11.6%20.1%10.8%4.3%-22.3K343.7K-3.4K0.84116.60N/AN/A4437166311
2016-10-06$41.02$40.0023.1%7.8%26.5%11.5%26.8%4.6%-2.0%-26.6K393.3K-3.5K0.8493.21N/AN/A4437170330
2016-10-07$40.53$40.0021.7%8.1%26.1%9.7%27.7%4.1%-2.6%-28.4K447.1K-3.4K0.7994.48N/AN/A4737170330
2016-10-10$40.69$40.0024.0%8.1%26.2%12.7%27.5%5.1%-2.1%-27.3K420.6K-3.4K0.8288.56N/AN/A4537180330
2016-10-11$39.87$40.0023.5%7.9%25.3%12.2%27.8%2.9%-1.4%-30.1K521.2K-3.3K0.8286.22N/AN/A4537181330
2016-10-12$40.28$40.0028.3%8.1%25.3%18.4%28.0%4.2%-2.1%-29.2K465.1K-3.3K0.8294.34N/AN/A4537181330
2016-10-13$40.07$40.0028.4%8.1%24.7%18.5%28.0%4.6%-2.5%-29.9K487.2K-3.3K0.7699.24N/AN/A4534182330
2016-10-14$39.80$40.0028.3%8.1%24.6%18.5%28.3%3.8%-2.4%-34.1K563.5K-3.3K0.7695.10N/AN/A4534182346
2016-10-17$39.89$40.0029.1%8.3%24.6%19.5%29.1%3.5%-2.5%-34.2K550.1K-3.2K0.76101.76N/AN/A4534182346
2016-10-18$39.56$40.0029.2%8.4%24.1%19.6%29.5%1.6%-2.7%-34.9K582.6K-3.2K0.7696.55N/AN/A4534182346
2016-10-19$39.65$40.0029.5%8.5%23.1%20.0%27.7%9.1%-3.1%-35.4K586.7K-3.1K0.76100.19N/AN/A4534182346
2016-10-20$38.44$40.0028.4%8.1%24.1%18.5%33.6%6.8%-2.9%-36.1K737.5K-2.8K5.2092.72N/AN/A45234182346
2016-10-21$38.68$40.0028.5%8.2%20.5%18.7%33.7%6.8%-2.6%-53.8K813.6K-3.2K5.2090.14N/AN/A45234182546
2016-10-24$38.93$40.0029.6%8.5%20.7%20.1%34.8%7.8%-3.9%-51.7K729.9K-3.1K8.9683.28N/AN/A25224156530
2016-10-25$38.75$40.0028.6%8.2%20.4%18.8%36.5%8.0%-2.8%-52.2K761.3K-3.0K7.2397.40N/AN/A31224156536
2016-10-26$38.34$40.0031.0%8.9%16.7%22.0%33.2%3.5%-5.2%-54.3K838.1K-3.0K4.4897.54N/AN/A50224162536
2016-10-27$37.65$40.0030.4%8.7%16.3%21.1%34.0%2.3%-5.2%-53.0K928.3K-2.9K6.7997.80N/AN/A33224182536
2016-10-28$37.73$40.0029.2%8.4%16.4%19.6%34.9%4.7%-3.7%-51.8K893.4K-2.9K6.79100.49N/AN/A33224185536
2016-10-31$38.02$40.0032.7%9.4%16.9%24.2%37.9%3.9%-6.4%-52.4K872.5K-2.8K6.7989.96N/AN/A33224185536