CSGS Options History — March 2018

In March 2018, CSGS traded between $44.20 and $47.34. ATM implied volatility averaged 22.2%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 1.4% (HV 20d: 23.7%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.47.

Notable Days

  • 2018-03-26: Highest Volume — 190 contracts
  • 2018-03-14: Largest IV drop — 29.9% change
  • 2018-03-13: Highest IV Rank — 25.4%
  • 2018-03-27: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.29$44.20$47.34$45.84$45.32
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV22.2%17.4%29.4%23.3%23.2%
Expected Move6.2%5.0%6.8%6.7%6.6%
HV 20d23.7%20.5%26.3%24.6%24.4%
HV 60d17.9%16.5%21.0%16.5%20.8%
IV Rank14.7%7.4%25.4%16.3%16.1%
IV Percentile37.1%4.8%63.1%42.5%45.6%
Term Structure9.0%-0.9%16.0%-0.9%11.4%
VWIV21.3%19.2%23.3%23.3%21.5%
Skew 25d3.8%-1.0%10.2%4.0%9.6%
Skew 10d6.0%-2.1%16.4%4.8%15.5%
Call IV 25d19.2%15.6%22.5%18.9%17.3%
Put IV 25d23.0%20.2%27.4%22.9%26.9%
Bid-Ask Spread %48.4615.6399.9117.6046.93
Gamma HHI0.490.340.700.490.53
Net GEX7.6K-9.3K20.7K-45618.8K
Net DEX-252.7K-387.8K-111.2K-111.2K-308.4K
Net VEX-1.4K-2.5K-517-696-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.091.621.620.12
Total Volume151.5716819068181
Total OI299.952146396294289

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$45.84$45.0023.3%6.7%24.6%16.3%23.3%4.0%-0.9%-456-111.2K-6961.6217.60N/AN/A2642193101
2018-03-02$46.67$45.0020.7%5.9%25.4%12.5%22.6%8.1%4.9%7.2K-184.6K-7071.6224.72N/AN/A2642193103
2018-03-05$46.54$45.0023.0%6.5%25.4%15.8%22.6%3.5%6.6%2.7K-182.3K-5781.1726.29N/AN/A3642193103
2018-03-06$46.49$45.0022.3%6.4%24.0%14.8%22.0%4.0%6.6%2.7K-220.3K-5801.1460.16N/AN/A3742203103
2018-03-07$46.41$45.0021.4%6.3%23.9%13.5%22.0%3.6%6.8%-2.2K-205.3K-5611.1449.39N/AN/A3742204103
2018-03-08$46.10$45.0021.1%6.4%24.1%13.0%22.1%3.7%6.6%-9.3K-173.6K-5170.3549.70N/AN/A11942204103
2018-03-09$47.04$45.0021.8%6.1%23.8%14.1%20.6%2.0%7.5%8.3K-358.6K-1.3K0.3332.92N/AN/A12642286103
2018-03-12$47.04$45.0024.9%6.3%23.7%18.8%20.9%1.3%6.4%4.0K-387.8K-1.2K0.3126.03N/AN/A13542293103
2018-03-13$47.01$45.0029.4%6.2%23.6%25.4%20.7%1.4%7.8%2.5K-273.4K-1.2K0.3189.38N/AN/A13542265103
2018-03-14$46.98$45.0020.6%5.9%23.4%12.2%20.2%1.5%9.1%2.4K-271.7K-1.2K0.3189.82N/AN/A13542265109
2018-03-15$46.84$45.0021.4%6.1%21.7%13.5%20.2%2.1%8.2%2.8K-266.3K-1.2K0.3297.87N/AN/A13342264109
2018-03-16$47.34$45.0017.4%5.0%21.7%7.4%19.2%1.5%16.0%8.0K-285.0K-1.2K0.3199.91N/AN/A13542264109
2018-03-19$46.90$45.0022.2%6.4%20.9%14.7%21.0%1.9%10.2%7.1K-182.8K-1.2K0.1315.63N/AN/A1211612521
2018-03-20$46.66$45.0022.0%6.3%20.9%14.4%20.4%2.6%10.6%6.8K-179.3K-1.1K0.1059.29N/AN/A1591612521
2018-03-21$47.25$45.0019.9%5.7%20.5%11.2%19.6%2.0%15.0%17.7K-348.3K-2.5K0.1065.80N/AN/A1591624521
2018-03-22$45.74$45.0022.1%6.3%22.9%14.6%22.3%-1.0%11.0%13.6K-278.1K-2.2K0.1042.68N/AN/A1591624521
2018-03-23$44.20$45.0021.4%6.1%25.2%13.5%21.1%6.2%11.4%10.1K-185.1K-1.7K0.0930.12N/AN/A1701624521
2018-03-26$45.55$45.0022.0%6.3%26.3%14.4%21.0%9.4%10.9%15.9K-289.1K-2.2K0.1218.11N/AN/A1702025621
2018-03-27$45.00$45.0023.6%6.8%25.2%16.7%22.6%3.1%9.8%20.2K-294.9K-2.1K0.1239.66N/AN/A1702026814
2018-03-28$45.20$45.0023.3%6.7%25.3%16.3%22.3%10.2%12.3%20.7K-319.9K-2.1K0.1235.72N/AN/A1702026814
2018-03-29$45.32$45.0023.2%6.6%24.4%16.1%21.5%9.6%11.4%18.8K-308.4K-2.3K0.1246.93N/AN/A1612026821