CSGS Options History — January 2017

In January 2017, CSGS traded between $48.46 and $50.67. ATM implied volatility averaged 25.5%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 7.7% (HV 20d: 17.9%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 1.72.

Notable Days

  • 2017-01-09: Highest Volume — 686 contracts
  • 2017-01-11: Largest IV spike — 27.8% change
  • 2017-01-30: Highest IV Rank — 22.6%
  • 2017-01-30: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.65$48.46$50.67$48.51$48.52
Max Pain$49.50$45.00$50.00$45.00$50.00
ATM IV25.5%16.4%31.5%16.4%31.2%
Expected Move7.6%4.7%9.0%4.7%8.9%
HV 20d17.9%15.6%20.8%18.4%16.4%
HV 60d32.7%31.8%33.5%32.9%31.8%
IV Rank14.8%2.8%22.6%2.8%22.2%
IV Percentile44.3%5.2%76.2%5.2%74.6%
Term Structure-1.9%-6.4%6.3%6.0%-6.0%
VWIV27.0%20.5%31.2%22.5%31.2%
Skew 25d6.0%1.1%43.1%4.7%6.3%
Skew 10d11.0%3.0%74.4%4.2%9.9%
Call IV 25d25.6%19.1%29.5%19.1%28.7%
Put IV 25d31.7%23.8%62.7%23.8%35.0%
Bid-Ask Spread %91.7577.48109.66102.1199.41
Gamma HHI0.510.350.650.570.36
Net GEX142.1K39.8K360.3K93.0K47.0K
Net DEX-1.4M-2.5M-109.5K-1.1M-193.7K
Net VEX-11.4K-12.5K-10.7K-10.9K-10.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.721.242.681.591.57
Total Volume514.15423686456543
Total OI1,995.151,7092,1991,7092,059

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$48.51$45.0016.4%4.7%18.4%2.8%22.5%4.7%6.0%93.0K-1.1M-10.9K1.59102.11N/AN/A176280820889
2017-01-04$50.26$45.0020.4%5.9%20.8%8.1%20.5%43.1%6.3%107.4K-1.9M-10.8K2.66109.66N/AN/A146388820889
2017-01-05$49.91$50.0020.4%7.4%19.7%8.0%25.9%4.1%-1.1%109.1K-1.6M-11.7K2.6677.48N/AN/A146388882999
2017-01-06$50.17$50.0019.7%7.3%19.5%7.1%25.5%2.6%-0.8%118.9K-1.8M-11.3K2.6886.93N/AN/A145388882999
2017-01-09$50.23$50.0021.1%7.5%19.0%8.9%26.4%3.6%-1.2%126.3K-1.9M-10.7K1.3085.70N/AN/A298388882999
2017-01-10$49.95$50.0020.4%7.6%19.1%8.0%26.6%3.7%-1.7%148.2K-1.9M-12.5K1.9384.50N/AN/A2013881,035999
2017-01-11$50.10$50.0026.1%7.5%18.4%15.5%26.5%4.0%-1.4%163.9K-2.0M-12.2K1.4189.72N/AN/A2012831,0381,004
2017-01-12$50.08$50.0025.9%7.4%17.7%15.3%26.3%3.1%-0.1%178.9K-1.9M-12.0K1.2487.00N/AN/A2282831,0381,004
2017-01-13$50.67$50.0026.7%7.6%17.8%16.2%26.3%3.4%-1.4%191.0K-2.5M-12.0K1.4492.98N/AN/A1962831,1181,004
2017-01-17$50.36$50.0027.5%7.9%17.6%17.4%27.4%3.6%-2.4%250.4K-2.4M-11.7K1.4487.65N/AN/A1962831,1951,004
2017-01-18$49.81$50.0027.5%7.9%18.0%17.4%27.8%3.0%-3.0%280.8K-2.0M-11.7K1.4488.59N/AN/A1962831,1951,004
2017-01-19$49.80$50.0028.4%8.2%18.0%18.6%28.1%3.8%-3.2%353.4K-1.9M-11.7K1.4488.14N/AN/A1962831,1951,004
2017-01-20$49.59$50.0026.6%7.6%18.0%16.2%27.2%3.4%-2.2%360.3K-1.7M-11.4K1.4496.31N/AN/A1962831,1951,004
2017-01-23$49.26$50.0028.7%8.2%18.0%18.9%29.4%2.8%-4.5%49.5K-555.3K-11.1K1.9088.21N/AN/A146277879998
2017-01-24$49.46$50.0028.7%8.2%16.3%18.9%28.8%2.7%-4.2%57.4K-755.6K-10.7K1.7591.68N/AN/A184322879998
2017-01-25$49.44$50.0027.2%7.8%16.2%16.9%26.8%8.3%-3.3%59.8K-672.3K-11.2K1.5994.00N/AN/A2033229441,048
2017-01-26$49.14$50.0027.8%8.0%16.3%17.8%28.1%1.1%-3.8%51.8K-454.7K-11.3K1.5991.59N/AN/A2033229441,048
2017-01-27$49.19$50.0028.1%8.1%15.6%18.2%27.8%8.4%-4.4%54.4K-503.2K-11.2K1.7692.50N/AN/A1833229441,048
2017-01-30$48.46$50.0031.5%9.0%16.5%22.6%31.1%4.9%-6.4%39.8K-109.5K-10.9K1.53100.77N/AN/A2113239691,048
2017-01-31$48.52$50.0031.2%8.9%16.4%22.2%31.2%6.3%-6.0%47.0K-193.7K-10.7K1.5799.41N/AN/A2113329991,060