CSGS Options History — April 2008

In April 2008, CSGS traded between $10.97 and $12.61. ATM implied volatility averaged 40.1%, placing in the 55.2% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 0.1% (HV 20d: 40.0%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 11.00.

Notable Days

  • 2008-04-25: Highest Volume — 465 contracts
  • 2008-04-10: Largest IV spike — 34.6% change
  • 2008-04-15: Highest IV Rank — 74.8%
  • 2008-04-15: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.75$10.97$12.61$11.86$12.10
Max Pain$11.36$10.00$12.50$12.50$12.50
ATM IV40.1%29.4%48.9%41.4%38.5%
Expected Move12.1%8.4%14.0%11.9%11.0%
HV 20d40.0%30.4%50.1%35.3%47.2%
HV 60d38.3%35.5%41.4%41.2%39.2%
IV Rank55.2%31.5%74.8%58.2%51.7%
IV Percentile65.5%31.7%90.1%73.8%58.7%
Term Structure0.9%-3.9%11.9%3.0%-0.1%
VWIV44.8%37.8%49.9%49.1%37.8%
Skew 25d8.1%-9.4%18.9%6.6%-1.1%
Skew 10d14.4%-14.9%24.4%12.3%-0.1%
Call IV 25d36.8%28.0%44.7%41.6%31.9%
Put IV 25d44.9%30.8%48.9%48.2%30.8%
Bid-Ask Spread %38.1018.0387.2835.8926.18
Gamma HHI0.290.220.380.260.28
Net GEX-2.3K-6.5K13.9K-988-5.0K
Net DEX884.4K272.3K1.3M745.7K805.8K
Net VEX-11.4K-14.7K-8.8K-12.0K-11.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.000.00101.000.000.00
Total Volume66.5910465385
Total OI8,606.3188,3998,8838,4798,586

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-04-01$11.86$12.5041.4%11.9%35.3%58.2%0.0%6.6%3.0%-988745.7K-12.0K0.0035.89N/AN/A3806,1022,377
2008-04-02$11.57$12.5043.5%12.5%36.6%62.8%0.0%2.7%0.6%2.0K777.2K-13.0K0.0043.39N/AN/A3506,1372,377
2008-04-03$11.47$12.5029.4%8.4%36.8%31.5%0.0%11.8%11.9%6.2K634.4K-14.7K0.0087.28N/AN/A006,1122,377
2008-04-04$11.51$12.5030.5%12.5%36.4%34.0%49.1%13.1%1.0%3.3K766.8K-12.8K0.0037.80N/AN/A3006,1122,377
2008-04-07$11.47$12.5030.1%12.4%36.4%33.0%0.0%2.6%1.0%-2.2K969.5K-10.6K101.0048.20N/AN/A11016,1422,377
2008-04-08$11.46$12.5033.3%12.5%36.4%40.1%46.4%11.4%-1.7%-4.1K1.1M-10.5K0.0040.83N/AN/A1006,1412,476
2008-04-09$11.34$10.0034.2%12.5%34.1%42.2%0.0%10.6%0.6%-4.2K1.2M-10.4K0.0043.00N/AN/A1206,1512,476
2008-04-10$11.47$10.0046.1%13.2%34.1%68.4%0.0%10.4%-2.9%-3.8K1.1M-10.6K0.0033.39N/AN/A006,1612,476
2008-04-11$10.98$10.0046.6%13.4%37.5%69.6%45.0%6.0%2.7%-4.8K1.3M-9.6K0.0039.88N/AN/A1006,1612,476
2008-04-14$10.97$10.0047.7%13.7%32.2%72.0%0.0%7.2%1.3%-5.6K1.3M-8.8K0.0046.74N/AN/A006,1552,476
2008-04-15$11.18$10.0048.9%14.0%31.9%74.8%49.1%8.3%-1.0%-6.0K1.3M-9.1K0.0052.53N/AN/A2206,1552,476
2008-04-16$11.37$10.0043.4%12.4%30.4%62.5%0.0%9.6%-0.1%-5.5K1.2M-9.3K0.0053.85N/AN/A006,1652,476
2008-04-17$11.45$10.0043.6%12.5%30.5%63.0%0.0%10.7%-0.4%-5.3K1.1M-10.3K70.0047.31N/AN/A21406,1652,476
2008-04-18$12.61$10.0043.2%12.4%45.2%62.1%43.2%6.0%-0.3%13.9K272.3K-13.3K0.0018.93N/AN/A2106,1672,508
2008-04-21$12.31$10.0044.2%12.7%44.9%64.3%44.2%18.9%-0.4%-5.5K635.8K-11.8K2.5618.27N/AN/A802056,0082,391
2008-04-22$11.85$10.0048.0%13.8%47.0%72.7%49.9%14.4%-3.9%-6.5K929.8K-10.8K0.0846.66N/AN/A125106,0082,391
2008-04-23$12.37$12.5039.1%11.2%49.2%53.0%38.3%4.6%3.2%-2.4K596.0K-13.0K0.1022.57N/AN/A103106,2112,579
2008-04-24$12.51$12.5037.8%10.8%49.2%50.1%37.8%18.4%5.1%-655510.3K-13.2K1.0018.03N/AN/A20206,3042,579
2008-04-25$12.29$12.5036.4%10.4%49.7%47.0%0.0%1.7%1.2%-4.1K682.0K-12.7K1.2724.71N/AN/A2052606,2842,599
2008-04-28$12.13$12.5038.3%11.0%50.1%51.2%0.0%-9.4%-0.5%-4.2K757.0K-11.7K0.0025.26N/AN/A006,1432,443
2008-04-29$12.23$12.5037.6%10.8%48.0%49.6%0.0%13.6%-0.0%-4.2K741.6K-11.7K0.0027.54N/AN/A006,1432,443
2008-04-30$12.10$12.5038.5%11.0%47.2%51.7%0.0%-1.1%-0.1%-5.0K805.8K-11.3K0.0026.18N/AN/A506,1432,443