CSGS Options History — May 2017

In May 2017, CSGS traded between $36.40 and $40.70. ATM implied volatility averaged 25.3%, placing in the 14.5% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 9.1% (HV 20d: 34.5%). Max pain ranged from $35.00 to $45.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 2.11.

Notable Days

  • 2017-05-19: Highest Volume — 548 contracts
  • 2017-05-04: Largest IV drop — 54.2% change
  • 2017-05-03: Highest IV Rank — 61.9%
  • 2017-05-03: Largest Expected Move — 17.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.37$36.40$40.70$37.62$39.94
Max Pain$43.64$35.00$45.00$35.00$45.00
ATM IV25.3%16.9%61.4%45.6%19.7%
Expected Move7.1%4.8%17.6%13.1%5.7%
HV 20d34.5%14.0%38.0%15.7%38.0%
HV 60d24.6%18.0%26.2%18.7%25.4%
IV Rank14.5%3.4%61.9%41.1%7.1%
IV Percentile37.2%6.7%99.6%98.0%21.0%
Term Structure1.9%-14.9%8.6%-9.4%-0.8%
VWIV28.3%18.1%51.6%48.2%20.6%
Skew 25d12.5%-4.4%34.4%6.4%34.4%
Skew 10d16.6%-26.6%50.8%10.7%50.5%
Call IV 25d23.9%17.8%59.1%42.2%21.4%
Put IV 25d36.4%15.4%81.0%48.6%55.8%
Bid-Ask Spread %96.3368.20119.17106.1669.86
Gamma HHI0.530.440.700.630.53
Net GEX-15.6K-60.5K22.8K-60.5K21.3K
Net DEX1.5M1.2M2.1M2.1M1.4M
Net VEX-6.2K-9.2K-4.8K-8.3K-4.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.111.062.952.951.15
Total Volume448.636280548498280
Total OI1,866.6821,7441,9291,9081,761

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$37.62$35.0045.6%13.1%15.7%41.1%48.2%6.4%-9.4%-60.5K2.1M-8.3K2.95106.16N/AN/A1263726051,303
2017-05-02$37.69$35.0044.9%12.9%14.0%40.2%49.4%4.8%-14.9%-56.5K2.0M-8.3K2.9597.91N/AN/A1263726051,303
2017-05-03$36.40$35.0061.4%17.6%17.7%61.9%51.6%21.9%-1.7%-45.9K1.7M-9.2K2.40119.17N/AN/A1553726051,303
2017-05-04$39.84$45.0028.1%7.8%36.6%18.1%34.3%11.9%2.0%-47.3K1.4M-7.8K2.70114.32N/AN/A1383726091,301
2017-05-05$39.36$45.0032.7%7.1%37.0%24.2%31.6%6.6%2.5%-45.0K1.6M-7.3K2.70115.44N/AN/A1383736161,295
2017-05-08$39.32$45.0025.2%5.6%37.0%14.3%25.5%7.1%6.7%-32.4K1.6M-6.3K2.4970.80N/AN/A1523796161,292
2017-05-09$39.42$45.0021.3%5.9%37.0%9.3%26.1%7.5%5.8%-25.9K1.5M-6.4K2.4996.91N/AN/A1523796421,287
2017-05-10$39.54$45.0020.4%5.9%37.0%8.1%26.3%8.0%5.5%-24.4K1.5M-6.2K2.4971.08N/AN/A1523796421,287
2017-05-11$39.24$45.0020.1%5.8%36.9%7.7%26.6%7.4%8.6%-20.4K1.5M-6.4K2.4991.93N/AN/A1523796421,281
2017-05-12$39.16$45.0020.3%5.8%36.8%7.9%26.6%7.4%6.6%-23.5K1.6M-6.1K2.48101.36N/AN/A1533796421,281
2017-05-15$39.82$45.0019.9%5.7%37.0%7.3%28.5%9.4%6.5%-14.2K1.4M-5.8K2.4568.20N/AN/A1553796441,281
2017-05-16$39.90$45.0022.7%6.5%36.8%11.0%25.8%6.8%3.6%-28.3K1.4M-5.8K2.4579.80N/AN/A1553796461,281
2017-05-17$39.30$45.0021.1%6.1%37.4%9.0%28.3%6.3%4.4%-20.2K1.5M-5.8K2.45109.22N/AN/A1553796461,281
2017-05-18$38.89$45.0016.9%4.8%37.6%3.4%18.1%-4.4%5.9%-17.1K1.6M-5.5K2.4999.47N/AN/A1553866411,281
2017-05-19$39.49$45.0019.2%5.5%37.8%6.4%22.6%28.1%6.8%3.3K1.6M-4.9K2.38100.02N/AN/A1623866411,281
2017-05-22$40.03$45.0018.6%5.3%37.9%5.7%19.9%22.2%6.1%14.0K1.5M-5.1K1.0681.33N/AN/A1431515931,151
2017-05-23$40.00$45.0018.7%5.4%37.9%5.8%22.8%23.3%0.3%14.8K1.5M-5.1K1.15106.44N/AN/A1311515931,151
2017-05-24$40.39$45.0019.7%5.6%38.0%7.0%22.6%30.7%-0.7%16.4K1.3M-5.3K1.16108.06N/AN/A1301516071,151
2017-05-25$40.70$45.0019.0%5.4%38.0%6.2%20.4%26.3%0.6%22.8K1.2M-5.3K1.16104.66N/AN/A1301516091,151
2017-05-26$40.05$45.0019.8%5.7%37.9%7.3%22.9%1.3%-0.6%12.3K1.4M-5.2K1.16103.98N/AN/A1301516091,151
2017-05-30$40.00$45.0021.6%6.2%38.0%9.6%24.0%2.6%-2.1%13.0K1.4M-5.0K1.15103.19N/AN/A1301506091,151
2017-05-31$39.94$45.0019.7%5.7%38.0%7.1%20.6%34.4%-0.8%21.3K1.4M-4.8K1.1569.86N/AN/A1301506091,152