CSGS Options History — December 2016

In December 2016, CSGS traded between $44.33 and $49.72. ATM implied volatility averaged 22.8%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 4.9% (HV 20d: 17.9%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.34.

Notable Days

  • 2016-12-29: Highest Volume — 604 contracts
  • 2016-12-09: Largest IV spike — 87.5% change
  • 2016-12-13: Highest IV Rank — 43.7%
  • 2016-12-12: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.85$44.33$49.72$44.44$48.33
Max Pain$44.52$40.00$45.00$40.00$45.00
ATM IV22.8%14.8%47.5%19.0%14.8%
Expected Move5.4%4.2%5.7%5.4%4.2%
HV 20d17.9%13.9%49.1%49.1%18.5%
HV 60d34.1%32.9%35.2%35.0%33.0%
IV Rank11.2%0.7%43.7%6.2%0.7%
IV Percentile24.1%2.0%99.2%9.1%2.0%
Term Structure4.0%-0.7%7.0%1.6%7.0%
VWIV19.6%18.2%24.1%19.3%18.5%
Skew 25d8.1%0.1%57.5%46.6%3.9%
Skew 10d12.4%0.6%68.2%59.3%0.6%
Call IV 25d18.1%12.1%22.0%22.0%17.2%
Put IV 25d26.2%19.2%79.0%68.6%21.1%
Bid-Ask Spread %102.0993.53114.14108.91107.27
Gamma HHI0.560.310.680.440.56
Net GEX54.2K13.6K87.1K20.6K87.1K
Net DEX-885.0K-1.4M-101.5K-101.5K-1.0M
Net VEX-7.8K-11.4K-3.3K-3.5K-11.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.341.187.191.211.59
Total Volume482.429365604365456
Total OI1,238.4766661,7076661,707

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$44.44$40.0019.0%5.4%49.1%6.2%19.3%46.6%1.6%20.6K-101.5K-3.5K1.21108.91N/AN/A165200194472
2016-12-02$44.33$40.0019.3%5.5%24.8%6.5%19.4%57.5%-0.7%44.0K-249.2K-4.0K1.18114.14N/AN/A170200294472
2016-12-05$45.21$45.0019.0%5.6%13.9%6.2%19.5%7.0%3.2%59.0K-497.7K-3.9K1.18107.77N/AN/A170200294472
2016-12-06$46.41$45.0018.8%5.6%15.5%6.0%19.5%9.6%4.1%46.6K-761.4K-3.3K7.19104.03N/AN/A57410294472
2016-12-07$46.94$45.0022.4%5.5%15.5%10.7%18.6%1.7%3.9%22.5K-550.9K-6.1K2.24101.05N/AN/A123275321682
2016-12-08$47.66$45.0022.4%5.6%15.5%10.6%19.5%0.7%3.7%13.6K-678.3K-7.0K2.3693.53N/AN/A119281378753
2016-12-09$48.01$45.0041.9%5.6%14.9%36.3%18.2%0.5%3.6%29.4K-818.0K-7.2K2.96100.06N/AN/A119352441753
2016-12-12$47.46$45.0047.4%5.7%15.0%43.5%19.4%0.1%2.9%19.8K-585.1K-7.9K2.08100.26N/AN/A169352442834
2016-12-13$48.25$45.0047.5%5.5%14.7%43.7%18.8%2.1%4.1%43.0K-963.2K-8.4K1.6399.05N/AN/A216352554834
2016-12-14$47.99$45.0019.4%5.6%15.2%6.7%19.6%1.8%3.8%53.6K-1.1M-9.2K1.6397.74N/AN/A216352634834
2016-12-15$48.64$45.0018.9%5.4%15.3%6.0%18.6%2.8%4.1%60.4K-1.2M-8.9K1.63100.84N/AN/A216352634834
2016-12-16$49.04$45.0018.9%5.4%15.3%6.0%18.4%2.7%4.0%54.3K-1.4M-8.7K2.39100.73N/AN/A147352634834
2016-12-19$49.20$45.0017.5%5.0%15.3%4.2%19.4%4.8%5.2%63.3K-1.1M-8.4K2.46105.80N/AN/A142350553682
2016-12-20$49.40$45.0018.7%5.4%15.3%5.9%18.9%4.5%3.8%68.3K-1.1M-8.7K2.46100.35N/AN/A142350564683
2016-12-21$49.72$45.0018.3%5.2%14.3%5.3%19.9%6.0%5.3%68.8K-1.2M-8.3K1.7298.43N/AN/A208357564683
2016-12-22$48.67$45.0018.5%5.3%17.3%5.6%18.3%2.5%4.7%74.0K-1.0M-9.1K2.5197.63N/AN/A132331630690
2016-12-23$48.88$45.0019.2%5.5%17.3%6.4%18.8%3.0%4.9%72.3K-1.0M-9.3K2.6697.67N/AN/A125333634745
2016-12-27$49.15$45.0019.1%5.5%17.2%6.4%21.9%5.0%4.6%86.4K-1.3M-9.7K2.66103.06N/AN/A125333694747
2016-12-28$48.55$45.0019.3%5.5%18.3%6.5%23.5%3.1%4.5%77.7K-1.0M-9.7K2.85100.87N/AN/A150428694747
2016-12-29$48.64$45.0018.9%5.4%18.3%6.1%24.1%3.2%5.0%74.5K-974.9K-10.9K2.43104.66N/AN/A176428744887
2016-12-30$48.33$45.0014.8%4.2%18.5%0.7%18.5%3.9%7.0%87.1K-1.0M-11.4K1.59107.27N/AN/A176280820887