CSGS Options History — December 2020

In December 2020, CSGS traded between $43.15 and $46.48. ATM implied volatility averaged 45.1%, placing in the 33.8% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 16.1% (HV 20d: 29.0%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 2.21.

Notable Days

  • 2020-12-02: Highest Volume — 197 contracts
  • 2020-12-09: Largest IV drop — 42.6% change
  • 2020-12-31: Highest IV Rank — 61.2%
  • 2020-12-31: Largest Expected Move — 19.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.71$43.15$46.48$43.32$45.06
Max Pain$44.55$40.00$45.00$40.00$45.00
ATM IV45.1%30.6%69.5%52.8%69.5%
Expected Move12.2%8.8%19.9%15.1%19.9%
HV 20d29.0%23.4%37.3%37.3%28.2%
HV 60d28.3%26.5%29.8%28.0%29.7%
IV Rank33.8%17.5%61.2%42.4%61.2%
IV Percentile59.4%32.9%89.7%72.2%89.7%
Term Structure-7.8%-36.5%9.7%-20.6%-29.5%
VWIV32.4%23.7%35.7%33.4%23.7%
Skew 25d1.5%-14.8%62.2%23.3%1.5%
Skew 10d3.2%-42.7%102.1%-20.7%0.0%
Call IV 25d49.8%29.3%79.4%39.6%29.3%
Put IV 25d51.3%29.5%102.2%62.9%30.8%
Bid-Ask Spread %124.71116.47129.99127.32124.39
Gamma HHI0.450.340.540.490.50
Net GEX65.9K23.8K96.4K23.8K68.0K
Net DEX-1.4M-1.7M-673.4K-673.4K-1.3M
Net VEX-7.7K-8.6K-6.6K-6.6K-7.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.210.0024.500.002.00
Total Volume23.2270197753
Total OI989.8648361,133836850

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$43.32$40.0052.8%15.1%37.3%42.4%0.0%23.3%-20.6%23.8K-673.4K-6.6K0.00127.32N/AN/A750601235
2020-12-02$43.33$40.0044.4%12.7%35.5%33.0%0.0%0.9%-18.6%33.0K-728.6K-6.8K0.00124.36N/AN/A1970676235
2020-12-03$43.15$45.0045.5%9.5%35.1%34.3%33.4%0.6%-0.9%46.1K-1.2M-8.1K0.00119.33N/AN/A30867235
2020-12-04$44.17$45.0037.3%9.1%34.8%25.0%0.0%1.3%0.5%72.8K-1.4M-7.9K0.00125.02N/AN/A20864235
2020-12-07$44.24$45.0043.0%10.2%34.4%31.4%35.7%3.6%-3.9%67.9K-1.4M-8.1K0.00116.47N/AN/A1640866235
2020-12-08$43.94$45.0060.8%9.2%27.4%51.4%0.0%-0.5%-0.8%65.7K-1.2M-7.8K0.00118.93N/AN/A00849235
2020-12-09$44.01$45.0034.9%10.0%26.1%22.3%0.0%-11.4%-2.6%71.3K-1.2M-7.8K0.00121.14N/AN/A00849235
2020-12-10$43.26$45.0037.9%10.9%26.7%25.7%0.0%13.9%-3.2%68.3K-1.3M-7.4K0.00125.63N/AN/A00849235
2020-12-11$43.33$45.0034.1%9.8%23.4%21.4%0.0%8.2%-0.1%54.9K-1.1M-7.2K0.00127.35N/AN/A00849235
2020-12-14$45.74$45.0030.6%8.8%28.1%17.5%33.7%62.2%6.9%96.4K-1.5M-8.2K24.50123.10N/AN/A249849235
2020-12-15$46.20$45.0036.1%10.3%27.6%23.6%0.0%0.9%9.7%67.2K-1.7M-8.4K0.00126.18N/AN/A40849284
2020-12-16$46.48$45.0042.2%12.1%25.2%30.5%35.5%-12.1%-1.9%65.3K-1.7M-8.6K0.00125.59N/AN/A30848284
2020-12-17$46.31$45.0038.9%11.1%25.2%26.8%0.0%-7.8%-2.7%67.5K-1.7M-8.2K0.00128.01N/AN/A30845284
2020-12-18$46.47$45.0039.5%11.3%25.1%27.5%0.0%-14.8%-2.7%65.3K-1.7M-8.2K0.00127.90N/AN/A00845284
2020-12-21$44.69$45.0038.5%11.0%29.4%26.3%0.0%-6.7%-19.7%69.3K-1.4M-7.5K0.00126.81N/AN/A3079651
2020-12-22$44.39$45.0040.1%11.5%29.3%28.2%0.0%1.7%-4.2%69.7K-1.2M-7.4K0.00123.98N/AN/A0079651
2020-12-23$44.97$45.0051.2%14.7%28.3%40.6%0.0%-14.0%-17.9%90.2K-1.3M-7.6K0.00122.55N/AN/A0079651
2020-12-24$45.13$45.0042.4%12.2%27.8%30.7%0.0%3.4%-4.7%72.5K-1.5M-7.7K0.00125.85N/AN/A0079651
2020-12-28$45.56$45.0051.1%14.6%27.9%40.5%0.0%-12.8%-4.7%74.3K-1.5M-7.6K0.00126.93N/AN/A3079651
2020-12-29$45.05$45.0065.8%18.9%28.0%57.0%0.0%2.8%-36.5%67.9K-1.6M-7.6K0.00129.99N/AN/A0079951
2020-12-30$44.75$45.0056.7%16.3%28.1%46.8%0.0%-10.9%-13.0%72.7K-1.3M-7.3K0.00126.70N/AN/A0079951
2020-12-31$45.06$45.0069.5%19.9%28.2%61.2%23.7%1.5%-29.5%68.0K-1.3M-7.1K2.00124.39N/AN/A1279951