CSGS Options History — November 2016

In November 2016, CSGS traded between $36.76 and $44.51. ATM implied volatility averaged 23.5%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 24.9% (HV 20d: 48.4%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 2.42.

Notable Days

  • 2016-11-03: Highest Volume — 367 contracts
  • 2016-11-03: Largest IV drop — 38.1% change
  • 2016-11-02: Highest IV Rank — 32.2%
  • 2016-11-02: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.63$36.76$44.51$37.38$44.51
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV23.5%16.8%38.8%38.8%19.4%
Expected Move6.6%4.8%11.1%11.1%5.6%
HV 20d48.4%17.4%53.0%17.4%49.8%
HV 60d33.6%20.9%35.2%20.9%35.1%
IV Rank12.1%3.3%32.2%32.2%6.7%
IV Percentile30.5%5.6%96.8%96.8%9.5%
Term Structure0.2%-8.1%2.6%-7.0%-0.1%
VWIV23.7%18.6%38.9%38.9%21.4%
Skew 25d6.8%-1.9%33.0%3.8%-0.3%
Skew 10d15.8%-5.1%87.4%42.9%-1.9%
Call IV 25d21.3%14.1%38.7%34.8%21.1%
Put IV 25d28.1%16.9%52.7%38.5%20.9%
Bid-Ask Spread %100.6284.83111.8896.49100.99
Gamma HHI0.450.370.510.440.45
Net GEX-14.1K-55.9K20.7K-54.3K20.7K
Net DEX92.9K-352.5K1.1M981.4K-129.7K
Net VEX-3.4K-4.3K-2.3K-2.6K-3.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.420.286.926.792.66
Total Volume289.905139367257238
Total OI907.8575331,157721634

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$37.38$40.0038.8%11.1%17.4%32.2%38.9%3.8%-7.0%-54.3K981.4K-2.6K6.7996.49N/AN/A33224185536
2016-11-02$36.76$40.0038.8%11.1%17.7%32.2%38.0%2.5%-8.1%-55.9K1.1M-2.3K0.2885.61N/AN/A13337185536
2016-11-03$41.57$40.0024.0%7.1%49.0%12.8%24.7%4.3%0.0%-8.1K-137.6K-3.2K0.6693.48N/AN/A221146285549
2016-11-04$39.42$40.0027.7%6.9%52.4%17.7%24.2%2.9%0.8%-23.4K535.9K-4.3K0.5987.02N/AN/A222132490656
2016-11-07$39.64$40.0025.9%6.8%52.5%15.3%23.2%6.6%0.9%-18.6K527.7K-4.2K0.5984.83N/AN/A222131495662
2016-11-08$40.09$40.0026.4%6.9%52.1%15.9%23.0%9.3%0.7%-16.5K358.0K-4.3K0.5990.53N/AN/A222131495662
2016-11-09$40.73$40.0022.7%6.5%52.3%11.0%21.7%10.4%1.6%-13.3K145.6K-4.1K0.5999.27N/AN/A222131495662
2016-11-10$40.60$40.0022.9%6.6%52.3%11.4%22.0%10.5%0.8%-13.9K146.3K-4.0K0.59101.13N/AN/A222131495662
2016-11-11$41.66$40.0022.4%6.4%52.9%10.6%22.1%6.3%2.4%-9.0K-144.4K-3.8K0.5997.25N/AN/A222131495662
2016-11-14$41.43$40.0023.5%6.7%53.0%12.1%23.4%1.1%1.7%-18.9K-172.6K-3.6K0.59104.77N/AN/A222131495662
2016-11-15$41.45$40.0022.4%6.4%52.9%10.7%22.4%25.5%2.6%-28.9K-191.2K-3.5K0.59108.65N/AN/A222131495662
2016-11-16$41.58$40.0023.6%6.8%52.9%12.2%23.4%0.9%1.3%-21.8K-208.5K-3.5K0.59104.70N/AN/A222131495662
2016-11-17$41.79$40.0022.8%6.5%51.4%11.2%21.4%7.8%2.1%-25.4K-272.8K-3.4K0.59109.50N/AN/A222131495662
2016-11-18$42.19$40.0022.6%6.5%51.4%10.9%20.8%8.5%2.5%-28.2K-352.5K-3.2K0.59108.45N/AN/A222131495662
2016-11-21$42.66$40.0017.6%5.1%51.5%4.4%18.7%3.0%-0.4%-22.6K104.2K-3.0K4.35104.12N/AN/A26113153380
2016-11-22$43.62$40.0016.8%4.8%51.7%3.3%22.6%2.5%0.1%-2.3K-41.7K-2.8K6.65102.75N/AN/A26173153380
2016-11-23$44.06$40.0017.6%5.0%51.4%4.3%20.0%-1.3%1.4%4.8K-49.2K-3.2K6.65111.88N/AN/A26173153440
2016-11-25$44.23$40.0018.1%5.2%50.5%5.1%18.6%33.0%0.2%14.2K-63.5K-3.1K6.65108.05N/AN/A26173153440
2016-11-28$44.26$40.0019.4%5.6%50.6%6.7%24.2%7.1%-0.1%10.2K-79.0K-3.1K6.92103.34N/AN/A25173153440
2016-11-29$44.51$40.0019.5%5.6%50.6%6.8%23.0%-1.9%0.5%15.2K-109.1K-3.0K2.66110.18N/AN/A65173154440
2016-11-30$44.51$40.0019.4%5.6%49.8%6.7%21.4%-0.3%-0.1%20.7K-129.7K-3.3K2.66100.99N/AN/A65173194440