CSGS Options History — March 2017

In March 2017, CSGS traded between $36.63 and $39.77. ATM implied volatility averaged 23.6%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 1.0% (HV 20d: 22.6%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 0.80.

Notable Days

  • 2017-03-01: Highest Volume — 692 contracts
  • 2017-03-29: Largest IV drop — 26.4% change
  • 2017-03-07: Highest IV Rank — 22.9%
  • 2017-03-21: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.07$36.63$39.77$39.77$37.94
Max Pain$40.65$40.00$45.00$45.00$40.00
ATM IV23.6%18.0%31.7%23.4%18.3%
Expected Move6.5%5.2%7.6%6.7%5.2%
HV 20d22.6%14.6%75.1%75.1%18.7%
HV 60d45.3%44.8%46.0%45.9%44.8%
IV Rank12.3%4.9%22.9%12.0%5.3%
IV Percentile37.8%8.7%78.6%39.3%10.7%
Term Structure7.9%-2.2%19.0%-0.9%10.7%
VWIV22.9%19.8%27.7%25.8%21.9%
Skew 25d2.7%-1.0%4.7%0.4%3.7%
Skew 10d6.7%-3.7%26.8%0.4%4.2%
Call IV 25d22.5%20.9%25.1%24.2%21.7%
Put IV 25d25.2%24.0%26.4%24.7%25.4%
Bid-Ask Spread %99.7893.08108.93106.1395.10
Gamma HHI0.410.310.490.330.49
Net GEX-23.5K-39.0K-3.5K-3.5K-32.7K
Net DEX2.4M1.5M3.2M2.3M1.7M
Net VEX-10.3K-12.9K-8.6K-12.9K-9.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.471.430.701.43
Total Volume492.609278692692314
Total OI2,383.1741,5962,9832,9681,643

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-03-01$39.77$45.0023.4%6.7%75.1%12.0%25.8%0.4%-0.9%-3.5K2.3M-12.9K0.70106.13N/AN/A4062861,2781,690
2017-03-02$39.17$45.0024.0%6.9%75.1%12.7%25.6%-0.8%-1.8%-7.8K2.6M-12.7K0.7098.84N/AN/A4062861,2781,690
2017-03-03$38.97$45.0024.0%6.9%22.2%12.8%27.7%-1.0%-2.2%-8.1K2.7M-12.5K0.68108.93N/AN/A4062761,2781,690
2017-03-06$38.16$40.0027.5%6.7%21.2%17.4%23.3%3.6%5.8%-29.7K3.1M-11.4K0.7693.70N/AN/A3642761,2781,693
2017-03-07$37.88$40.0031.7%6.8%18.9%22.9%23.9%2.2%5.2%-39.0K3.1M-11.2K0.7899.76N/AN/A3532761,2831,694
2017-03-08$38.36$40.0024.3%6.4%19.6%13.2%22.2%4.3%7.0%-16.3K2.9M-11.6K0.7897.38N/AN/A3532761,2831,694
2017-03-09$38.54$40.0022.6%6.5%18.9%10.9%22.6%4.4%6.2%-9.2K2.9M-11.1K0.7897.29N/AN/A3532761,2781,694
2017-03-10$38.25$40.0026.1%6.3%15.2%15.5%22.1%4.3%6.9%-23.5K3.1M-11.0K0.7897.98N/AN/A3532761,2781,694
2017-03-13$38.33$40.0023.5%6.2%15.0%12.1%21.8%4.7%7.9%-14.4K3.2M-10.3K0.4793.08N/AN/A3551661,2781,694
2017-03-14$38.10$40.0027.5%6.3%14.6%17.3%22.2%4.0%6.8%-17.2K3.1M-10.2K0.4795.17N/AN/A3551661,2881,695
2017-03-15$38.67$40.0021.6%6.2%15.4%9.6%21.6%4.1%6.9%-11.9K3.0M-10.8K0.47102.83N/AN/A3551681,2881,695
2017-03-16$38.30$40.0021.8%6.3%15.3%9.9%21.9%3.4%7.5%-27.9K3.2M-10.1K0.47101.89N/AN/A3551681,2881,687
2017-03-17$38.69$40.0021.4%6.2%15.1%9.4%21.5%3.9%7.7%-28.4K3.1M-10.3K0.4798.95N/AN/A3551681,2881,687
2017-03-20$38.44$40.0021.3%6.1%15.1%9.3%21.4%3.9%10.8%-28.8K1.5M-10.1K0.5396.83N/AN/A2711445911,005
2017-03-21$37.48$40.0026.7%7.6%17.0%16.2%22.7%3.3%8.6%-29.3K1.7M-9.7K0.5495.72N/AN/A2711455911,005
2017-03-22$36.99$40.0025.2%7.2%17.3%14.4%23.3%1.7%10.9%-28.9K1.9M-8.8K0.54102.58N/AN/A2781495911,006
2017-03-23$36.63$40.0024.5%7.0%17.4%13.4%23.9%0.1%11.8%-29.6K1.9M-8.6K0.5499.95N/AN/A2781495981,010
2017-03-24$37.21$40.0024.9%7.1%18.5%13.9%22.5%2.1%11.6%-29.5K1.8M-9.1K1.1697.31N/AN/A1291495981,010
2017-03-27$37.16$40.0022.0%6.3%18.5%10.1%21.2%2.8%19.0%-29.3K1.8M-9.0K1.16107.50N/AN/A1291495981,010
2017-03-28$37.13$40.0024.8%7.1%18.4%13.8%23.7%-0.1%11.7%-30.1K1.8M-8.7K1.43106.53N/AN/A1291855981,010
2017-03-29$37.53$40.0018.2%5.2%18.5%5.2%19.8%3.0%11.0%-32.9K1.8M-9.2K1.4399.90N/AN/A1291855981,046
2017-03-30$38.01$40.0018.0%5.2%18.7%4.9%23.5%3.1%11.7%-31.7K1.7M-9.4K1.43101.59N/AN/A1291855981,046
2017-03-31$37.94$40.0018.3%5.2%18.7%5.3%21.9%3.7%10.7%-32.7K1.7M-9.1K1.4395.10N/AN/A1291855971,046