CSGS Options History — January 2008

In January 2008, CSGS traded between $12.49 and $14.29. ATM implied volatility averaged 51.2%, placing in the 83.4% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded above realized volatility by 6.9% (HV 20d: 44.3%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 14.21.

Notable Days

  • 2008-01-23: Highest Volume — 1,557 contracts
  • 2008-01-30: Largest IV drop — 15.1% change
  • 2008-01-23: Highest IV Rank — 100.0%
  • 2008-01-29: Largest Expected Move — 17.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.14$12.49$14.29$14.29$12.76
Max Pain$15.24$15.00$17.50$17.50$15.00
ATM IV51.2%43.1%60.3%43.1%53.6%
Expected Move14.6%12.4%17.3%12.4%15.4%
HV 20d44.3%28.1%54.4%28.1%54.1%
HV 60d33.8%27.9%36.9%27.9%36.8%
IV Rank83.4%65.4%100.0%65.4%85.2%
IV Percentile97.8%95.2%100.0%96.4%96.8%
Term Structure-4.3%-11.0%-1.5%-1.5%-6.4%
VWIV50.8%43.1%61.4%43.2%61.4%
Skew 25d6.6%-7.3%16.7%-7.3%6.4%
Skew 10d17.5%-8.2%29.4%-8.2%17.6%
Call IV 25d42.9%32.4%49.0%42.1%44.7%
Put IV 25d49.5%34.8%57.0%34.8%51.1%
Bid-Ask Spread %22.5011.2545.8211.2518.91
Gamma HHI0.330.210.530.370.51
Net GEX-20.8K-41.3K86-12.2K-39.5K
Net DEX1.9M1.2M2.8M2.7M1.7M
Net VEX-13.7K-18.7K-10.1K-14.8K-16.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio14.210.00149.000.000.58
Total Volume238.8101,5571300
Total OI12,466.197,77614,80414,48810,029

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-01-02$14.29$17.5043.1%12.4%28.1%65.4%43.2%-7.3%-1.5%-12.2K2.7M-14.8K0.0011.25N/AN/A13009,7854,703
2008-01-03$13.83$17.5046.7%13.4%28.9%73.9%46.9%1.8%-4.0%-7.3K2.8M-13.4K9.4018.72N/AN/A302829,8954,703
2008-01-04$13.12$15.0044.3%13.1%32.5%68.2%43.1%11.8%-2.3%-13.0K2.8M-11.7K0.0322.55N/AN/A20059,9154,676
2008-01-07$13.86$15.0049.8%12.6%39.6%81.2%43.7%8.1%-2.5%862.3M-15.3K0.0017.29N/AN/A01810,1154,676
2008-01-08$13.19$15.0046.2%13.3%42.1%72.7%0.0%6.9%-2.7%-5.5K2.6M-12.1K0.0016.82N/AN/A07210,1154,664
2008-01-09$13.20$15.0051.3%13.5%41.7%84.5%47.5%16.7%-2.6%-6.8K1.7M-11.3K1.5516.82N/AN/A111710,1153,944
2008-01-10$13.41$15.0048.8%14.0%42.2%78.8%47.6%13.9%-3.7%-3.6K1.6M-12.9K3.2715.18N/AN/A309810,1213,957
2008-01-11$12.90$15.0047.3%13.5%42.5%75.1%0.0%8.6%-2.3%-7.8K1.7M-11.3K25.0017.41N/AN/A25010,1013,906
2008-01-14$12.91$15.0050.8%14.6%42.3%83.5%50.6%2.7%-4.8%-8.2K1.7M-10.7K0.0030.00N/AN/A078010,1033,894
2008-01-15$12.49$15.0049.0%14.0%42.9%79.1%49.0%3.2%-3.1%-29.8K2.3M-10.1K149.0032.48N/AN/A114910,1034,597
2008-01-16$13.04$15.0049.0%14.1%47.3%79.3%48.8%5.0%-3.2%-28.4K2.0M-12.2K4.0025.86N/AN/A4016010,1034,522
2008-01-17$12.84$15.0052.8%15.1%47.0%88.1%52.3%6.1%-6.3%-27.5K2.0M-11.3K6.5517.45N/AN/A2013110,1434,521
2008-01-18$13.00$15.0050.8%14.6%47.6%83.5%50.6%3.9%-3.2%-33.3K2.0M-11.8K0.1016.48N/AN/A981010,1534,651
2008-01-22$12.85$15.0056.1%16.1%47.6%96.0%56.1%5.1%-8.0%-31.3K1.7M-11.4K0.1022.09N/AN/A4145,0432,733
2008-01-23$13.35$15.0058.5%16.8%50.2%100.0%59.4%5.8%-5.2%-25.8K1.4M-13.5K0.7422.18N/AN/A8966615,0842,728
2008-01-24$13.18$15.0054.5%15.6%49.1%91.0%0.0%11.0%-2.4%-23.0K1.2M-18.3K1.0826.55N/AN/A48525,9203,348
2008-01-25$12.73$15.0056.0%16.1%49.7%94.4%56.1%5.9%-4.8%-25.8K1.5M-17.1K25.8230.66N/AN/A112845,9563,380
2008-01-28$12.94$15.0055.2%15.8%50.3%92.6%57.1%8.5%-5.1%-37.7K1.6M-17.2K0.1033.25N/AN/A100105,9573,635
2008-01-29$13.43$15.0060.3%17.3%51.0%100.0%61.4%8.4%-11.0%-30.0K1.2M-18.7K0.5814.69N/AN/A2941706,0573,645
2008-01-30$12.65$15.0051.2%14.7%54.4%79.8%0.0%6.8%-4.7%-41.3K1.8M-16.3K0.0045.82N/AN/A01106,3093,785
2008-01-31$12.76$15.0053.6%15.4%54.1%85.2%0.0%6.4%-6.4%-39.5K1.7M-16.8K0.0018.91N/AN/A006,3093,720