CSGS Options History — February 2008

In February 2008, CSGS traded between $11.35 and $12.79. ATM implied volatility averaged 45.5%, placing in the 67.2% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 5.4% (HV 20d: 40.1%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.58.

Notable Days

  • 2008-02-05: Highest Volume — 1,010 contracts
  • 2008-02-14: Largest IV drop — 11.9% change
  • 2008-02-01: Highest IV Rank — 80.2%
  • 2008-02-01: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.10$11.35$12.79$12.79$11.35
Max Pain$17.38$15.00$17.50$15.00$17.50
ATM IV45.5%39.8%51.4%51.4%42.3%
Expected Move12.5%11.4%14.7%14.7%12.1%
HV 20d40.1%28.4%53.2%53.2%28.7%
HV 60d37.6%36.8%38.8%36.9%38.2%
IV Rank67.2%54.5%80.2%80.2%60.0%
IV Percentile86.5%75.8%95.6%95.6%80.6%
Term Structure0.9%-3.3%3.4%-3.3%-0.5%
VWIV41.2%25.2%55.6%42.5%25.2%
Skew 25d2.7%-10.4%14.9%7.6%-10.4%
Skew 10d6.3%-14.9%24.1%16.4%-14.9%
Call IV 25d40.4%34.4%45.7%43.0%42.3%
Put IV 25d43.0%31.9%52.5%50.7%31.9%
Bid-Ask Spread %22.058.9943.6118.6121.17
Gamma HHI0.560.390.740.510.49
Net GEX-41.4K-88.2K-16.8K-42.1K-17.0K
Net DEX1.7M1.2M2.1M1.7M1.6M
Net VEX-13.6K-16.6K-10.4K-16.6K-10.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.003.080.180.00
Total Volume93.0501,0102010
Total OI9,5088,80410,11010,0298,977

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-02-01$12.79$15.0051.4%14.7%53.2%80.2%42.5%7.6%-3.3%-42.1K1.7M-16.6K0.1818.61N/AN/A1736,3093,720
2008-02-04$12.73$17.5050.0%13.4%50.0%77.2%0.0%7.3%-0.4%-45.2K1.7M-16.5K0.8924.38N/AN/A986,3263,717
2008-02-05$12.33$17.5046.0%12.6%46.3%68.2%44.3%3.1%1.6%-52.7K2.0M-15.1K0.0028.46N/AN/A01,0106,3283,720
2008-02-06$12.32$17.5048.1%12.8%43.4%72.9%55.6%6.7%1.7%-49.6K1.8M-14.6K0.0022.73N/AN/A0206,3283,473
2008-02-07$12.30$17.5048.4%12.1%43.3%73.5%0.0%3.3%3.0%-52.1K1.9M-14.5K0.0028.96N/AN/A046,3283,493
2008-02-08$12.12$17.5048.6%12.1%42.9%74.1%0.0%11.8%3.2%-51.7K2.0M-13.6K0.3834.48N/AN/A105406,3283,497
2008-02-11$12.14$17.5048.7%12.6%41.0%74.3%0.0%14.9%3.4%-59.2K2.0M-14.5K0.5835.97N/AN/A120706,4333,537
2008-02-12$12.16$17.5050.3%13.0%41.0%77.7%0.0%12.8%2.0%-60.8K2.0M-14.7K0.0035.53N/AN/A006,5333,577
2008-02-13$12.54$17.5049.3%12.9%41.1%75.5%0.0%8.4%1.7%-79.8K1.6M-15.7K0.0025.90N/AN/A006,5333,577
2008-02-14$12.28$17.5043.4%12.4%38.4%62.5%0.0%14.2%2.8%-88.2K1.9M-14.7K0.0017.41N/AN/A1006,5333,577
2008-02-15$12.18$17.5043.8%12.6%38.2%63.5%0.0%-0.1%1.4%-79.1K2.1M-14.3K3.088.99N/AN/A13406,5333,577
2008-02-19$12.10$17.5043.8%12.5%37.8%63.3%0.0%0.0%1.2%-18.6K1.3M-13.4K0.5043.61N/AN/A20106,0722,792
2008-02-20$12.28$17.5043.9%12.6%38.2%63.6%0.0%0.8%0.8%-17.8K1.2M-13.7K0.109.07N/AN/A104106,0722,732
2008-02-21$11.62$17.5043.7%12.5%39.5%63.2%0.0%6.0%-1.4%-18.7K1.5M-11.1K0.8720.01N/AN/A90786,1762,742
2008-02-22$11.79$17.5039.8%11.4%40.1%54.5%0.0%-6.9%2.3%-20.1K1.5M-11.3K0.009.10N/AN/A506,2262,696
2008-02-25$11.81$17.5043.5%12.5%38.7%62.8%0.0%-7.6%-0.5%-17.2K1.4M-12.4K0.0010.72N/AN/A006,2262,696
2008-02-26$11.79$17.5042.9%12.3%38.0%61.4%0.0%-6.4%-0.1%-16.8K1.3M-12.6K0.0012.98N/AN/A006,2262,696
2008-02-27$11.71$17.5040.9%11.7%34.6%57.0%0.0%-5.1%-0.1%-21.2K1.5M-10.9K0.0014.98N/AN/A0106,2262,696
2008-02-28$11.62$17.5041.4%11.9%28.4%58.2%38.4%-6.9%-0.4%-20.4K1.5M-10.7K0.3818.01N/AN/A40156,2262,706
2008-02-29$11.35$17.5042.3%12.1%28.7%60.0%25.2%-10.4%-0.5%-17.0K1.6M-10.4K0.0021.17N/AN/A1006,2562,721