CSGS Options History — February 2017

In February 2017, CSGS traded between $38.44 and $48.21. ATM implied volatility averaged 24.7%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 46.4% (HV 20d: 71.0%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 1.06.

Notable Days

  • 2017-02-14: Highest Volume — 1,291 contracts
  • 2017-02-03: Largest IV drop — 15.2% change
  • 2017-02-01: Highest IV Rank — 24.2%
  • 2017-02-01: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.00$38.44$48.21$48.21$39.42
Max Pain$45.26$45.00$50.00$50.00$45.00
ATM IV24.7%22.9%32.7%32.7%23.5%
Expected Move6.9%6.6%9.4%9.4%6.7%
HV 20d71.0%16.5%75.0%16.5%74.9%
HV 60d44.5%20.1%46.2%20.1%45.8%
IV Rank13.6%11.3%24.2%24.2%12.2%
IV Percentile44.8%36.5%82.5%82.5%40.1%
Term Structure1.9%-8.2%5.4%-8.2%-1.1%
VWIV26.0%22.7%33.7%33.7%27.8%
Skew 25d4.4%-2.3%8.7%1.7%-0.6%
Skew 10d8.4%-3.4%31.4%31.4%-1.4%
Call IV 25d23.2%20.1%35.6%35.6%24.3%
Put IV 25d27.6%21.4%37.3%37.3%23.7%
Bid-Ask Spread %98.6477.69112.2777.69111.75
Gamma HHI0.360.290.630.360.32
Net GEX-7.7K-70.4K135.8K35.4K-8.1K
Net DEX2.8M34.8K3.7M34.8K2.5M
Net VEX-12.6K-14.6K-5.3K-10.6K-12.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.631.991.170.70
Total Volume912.2636351,291635692
Total OI3,151.6322,0593,8122,0592,968

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-02-01$48.21$50.0032.7%9.4%16.5%24.2%33.7%1.7%-8.2%35.4K34.8K-10.6K1.1777.69N/AN/A2923439991,060
2017-02-02$39.37$45.0030.1%7.7%71.8%20.8%27.1%3.7%2.7%-64.8K3.1M-5.3K1.9981.33N/AN/A4007971,1271,080
2017-02-03$40.35$45.0025.5%7.0%72.9%14.8%24.2%4.5%3.9%-70.4K3.4M-11.3K1.2599.49N/AN/A5546911,2921,605
2017-02-06$39.19$45.0026.6%7.0%73.0%16.2%22.7%2.4%3.7%-47.8K3.6M-12.1K1.2090.03N/AN/A3714471,4361,655
2017-02-07$39.01$45.0024.7%6.7%72.9%13.7%23.2%7.1%4.9%-46.3K3.7M-11.9K1.0293.06N/AN/A4314411,4261,664
2017-02-08$38.44$45.0025.0%7.2%72.8%14.0%29.1%4.8%3.4%-28.5K3.7M-11.7K1.7896.05N/AN/A3706601,5391,663
2017-02-09$39.64$45.0023.8%6.8%74.3%12.6%29.0%6.5%4.4%-19.5K3.3M-13.1K1.91100.93N/AN/A3326331,5651,907
2017-02-10$39.24$45.0023.6%6.8%74.2%12.2%27.6%5.6%4.4%-19.3K3.5M-12.7K1.6993.75N/AN/A3746321,5671,910
2017-02-13$39.57$45.0023.9%6.9%74.0%12.7%28.3%7.0%3.3%1.1K3.4M-12.5K1.02102.26N/AN/A6226321,5671,910
2017-02-14$39.19$45.0022.9%6.6%74.0%11.4%27.0%5.0%5.4%22.4K3.2M-14.0K0.96101.81N/AN/A6596321,8171,903
2017-02-15$39.57$45.0023.3%6.7%74.4%11.9%25.4%7.9%4.8%57.4K3.0M-14.1K0.63106.16N/AN/A5843691,8601,907
2017-02-16$40.02$45.0022.9%6.6%74.8%11.4%23.5%8.0%5.2%135.8K2.7M-14.6K0.6599.54N/AN/A5673691,9051,907
2017-02-17$39.75$45.0022.9%6.6%74.7%11.3%23.5%7.5%5.0%-20.7K3.0M-14.3K0.69103.62N/AN/A5423741,9021,907
2017-02-21$39.99$45.0023.1%6.6%75.0%11.6%24.0%8.7%-1.5%-19.2K2.2M-13.9K0.6997.67N/AN/A4162891,2641,677
2017-02-22$39.72$45.0023.0%6.6%74.8%11.5%24.2%6.7%-1.3%-16.2K2.2M-14.0K0.69101.51N/AN/A4162891,2831,690
2017-02-23$39.64$45.0023.2%6.7%74.8%11.8%23.7%-0.7%-1.2%-14.8K2.3M-13.8K0.69105.33N/AN/A4162891,2831,690
2017-02-24$39.85$45.0023.6%6.8%75.0%12.2%25.4%0.4%-1.2%-12.8K2.2M-13.8K0.69112.27N/AN/A4162891,2831,690
2017-02-27$39.81$45.0024.0%6.9%74.9%12.8%24.3%-2.3%-1.5%-9.2K2.2M-13.2K0.6999.89N/AN/A4172861,2831,690
2017-02-28$39.42$45.0023.5%6.7%74.9%12.2%27.8%-0.6%-1.1%-8.1K2.5M-12.9K0.70111.75N/AN/A4062861,2781,690