CSGS Options History — March 2008

In March 2008, CSGS traded between $10.55 and $11.43. ATM implied volatility averaged 41.0%, placing in the 57.1% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 6.3% (HV 20d: 34.7%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.81.

Notable Days

  • 2008-03-06: Highest Volume — 559 contracts
  • 2008-03-13: Largest IV spike — 23.4% change
  • 2008-03-18: Highest IV Rank — 76.5%
  • 2008-03-18: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.08$10.55$11.43$10.88$11.37
Max Pain$13.50$12.50$17.50$17.50$12.50
ATM IV41.0%32.5%49.7%37.0%38.8%
Expected Move12.4%10.0%14.3%10.6%11.1%
HV 20d34.7%30.1%39.2%31.3%36.0%
HV 60d40.1%38.6%41.8%38.8%40.6%
IV Rank57.1%38.3%76.5%48.2%52.4%
IV Percentile72.3%46.8%92.1%64.3%65.5%
Term Structure1.6%-2.2%15.9%0.3%0.3%
VWIV38.0%26.7%59.0%59.0%26.7%
Skew 25d3.1%-28.1%13.6%-6.8%12.7%
Skew 10d6.8%-30.2%22.6%-3.6%21.1%
Call IV 25d39.1%31.7%57.0%34.6%36.1%
Put IV 25d42.2%27.8%49.4%27.8%48.8%
Bid-Ask Spread %46.1121.4774.4728.0774.47
Gamma HHI0.300.200.460.460.30
Net GEX-3.6K-13.6K9.2K-12.0K-3.0K
Net DEX1.5M527.0K1.9M1.8M999.0K
Net VEX-11.2K-15.9K-8.0K-8.4K-10.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.003.290.000.00
Total Volume55.4055950
Total OI9,071.658,1769,6638,9878,479

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$10.88$17.5037.0%10.6%31.3%48.2%0.0%-6.8%0.3%-12.0K1.8M-8.4K0.0028.07N/AN/A056,2662,721
2008-03-04$10.80$17.5043.1%12.3%31.3%61.8%0.0%6.8%3.5%-9.9K1.9M-8.0K0.0021.47N/AN/A2006,2662,721
2008-03-05$10.81$17.5038.0%10.9%30.1%50.6%0.0%10.1%15.9%-9.0K1.8M-9.0K0.0021.52N/AN/A006,2832,721
2008-03-06$11.01$17.5038.7%11.1%31.4%52.0%59.0%-28.1%-1.1%-13.0K1.8M-8.8K1.0221.61N/AN/A2772826,2832,721
2008-03-07$10.97$12.5038.0%13.8%31.3%50.5%0.0%-10.5%0.6%-9.4K1.8M-11.6K0.0039.02N/AN/A206,5603,001
2008-03-10$11.00$12.5032.7%13.3%31.3%38.9%0.0%-3.2%1.9%-6.8K1.9M-9.9K0.0042.28N/AN/A0106,5623,001
2008-03-11$11.42$12.5032.5%12.0%34.7%38.3%42.0%7.9%1.7%-13.6K1.8M-11.6K0.0043.11N/AN/A10006,5623,001
2008-03-12$11.29$12.5035.3%12.8%34.7%44.5%0.0%4.2%-1.2%-8.1K1.8M-11.3K3.0037.51N/AN/A136,6623,001
2008-03-13$11.33$12.5043.5%12.5%32.4%62.8%0.0%3.4%0.4%6331.3M-14.7K0.0042.41N/AN/A006,6632,862
2008-03-14$10.74$12.5046.7%13.4%36.4%69.8%0.0%-10.9%1.4%5.3K1.5M-13.5K0.0046.36N/AN/A006,6632,862
2008-03-17$10.55$12.5045.9%13.2%36.6%68.0%0.0%5.4%1.0%7.5K1.4M-14.6K0.0042.79N/AN/A046,6632,842
2008-03-18$10.90$12.5049.7%14.3%39.2%76.5%0.0%10.7%-0.9%5021.7M-10.7K0.0058.19N/AN/A006,6632,839
2008-03-19$10.89$12.5044.5%12.8%38.5%65.0%37.9%8.7%3.4%1531.7M-10.3K0.0053.94N/AN/A0696,6632,839
2008-03-20$11.00$12.5048.7%14.0%34.2%74.2%0.0%6.0%2.3%-5631.8M-10.6K0.0042.69N/AN/A506,6632,898
2008-03-24$11.43$12.5042.9%12.3%36.7%61.4%42.7%4.5%1.7%9.2K527.0K-15.9K3.2948.57N/AN/A14465,9572,219
2008-03-25$11.31$12.5046.2%13.2%36.9%68.7%29.8%11.5%-0.8%-3.1K1.1M-10.2K0.0063.81N/AN/A0805,9572,257
2008-03-26$11.36$12.5045.4%13.0%36.9%66.9%28.0%13.6%-2.2%-4.1K1.0M-10.5K0.0063.17N/AN/A10005,9572,337
2008-03-27$11.33$12.5034.9%10.0%36.9%43.8%26.7%12.9%1.8%-1.7K954.7K-10.8K0.0057.01N/AN/A0406,0522,337
2008-03-28$11.28$12.5036.9%10.6%36.8%48.0%0.0%2.9%2.1%-342892.5K-12.3K0.0074.24N/AN/A5006,0522,377
2008-03-31$11.37$12.5038.8%11.1%36.0%52.4%0.0%12.7%0.3%-3.0K999.0K-10.5K0.0074.47N/AN/A006,1022,377