CSGS Options History — May 2008

In May 2008, CSGS traded between $12.41 and $13.62. ATM implied volatility averaged 42.7%, placing in the 60.8% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded below realized volatility by 3.8% (HV 20d: 46.6%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.30.

Notable Days

  • 2008-05-06: Highest Volume — 1,706 contracts
  • 2008-05-15: Largest IV spike — 20.2% change
  • 2008-05-15: Highest IV Rank — 68.6%
  • 2008-05-15: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.85$12.41$13.62$13.06$13.28
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV42.7%37.6%46.1%37.6%42.5%
Expected Move12.5%10.8%13.2%10.8%12.2%
HV 20d46.6%30.2%56.4%53.8%30.2%
HV 60d41.5%40.3%42.6%41.7%41.0%
IV Rank60.8%49.6%68.6%49.6%59.5%
IV Percentile72.5%52.4%83.7%55.2%68.3%
Term Structure-2.8%-6.1%2.2%2.2%-1.1%
VWIV43.8%37.3%49.6%37.3%42.5%
Skew 25d6.7%-8.3%17.8%2.0%12.3%
Skew 10d5.4%-9.7%15.7%2.1%14.1%
Call IV 25d33.6%26.5%47.0%35.5%30.3%
Put IV 25d40.3%33.3%45.6%37.4%42.6%
Bid-Ask Spread %39.8113.4655.5232.8540.74
Gamma HHI0.460.240.660.250.66
Net GEX14.1K-3.6K26.9K2.0K26.9K
Net DEX-43.9K-1.2M482.3K102.1K-735.2K
Net VEX-15.0K-17.0K-12.2K-13.4K-15.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.001.000.361.00
Total Volume152.66701,7067512
Total OI10,077.5718,56610,7568,58810,457

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-05-01$13.06$12.5037.6%10.8%53.8%49.6%37.3%2.0%2.2%2.0K102.1K-13.4K0.3632.85N/AN/A55206,1452,443
2008-05-02$12.57$12.5038.0%10.9%56.1%50.7%0.0%4.8%1.7%-3.6K482.3K-12.2K0.0030.20N/AN/A506,1202,446
2008-05-05$12.66$12.5039.3%11.9%56.0%53.4%0.0%8.9%-1.2%-2.5K445.7K-12.3K0.0054.59N/AN/A1306,1252,446
2008-05-06$12.74$12.5043.3%12.2%56.0%62.4%42.6%12.3%-2.2%-1.9K326.8K-12.3K0.9655.27N/AN/A8698376,1382,446
2008-05-07$12.50$12.5042.4%12.5%56.4%60.3%42.7%-6.1%-2.2%6.2K398.0K-15.1K0.9446.21N/AN/A3383196,7943,047
2008-05-08$12.55$12.5046.1%13.0%56.3%68.4%0.0%-8.3%-5.0%11.0K292.7K-17.0K0.0043.06N/AN/A0147,2593,497
2008-05-09$12.41$12.5042.2%13.0%53.8%59.8%0.0%5.2%-5.2%8.7K473.0K-15.8K0.0054.87N/AN/A007,0673,319
2008-05-12$12.61$12.5041.9%13.0%53.8%59.2%44.2%-5.0%-5.1%10.4K315.9K-15.8K0.0046.27N/AN/A6307,0673,319
2008-05-13$12.74$12.5037.7%13.0%53.7%49.9%45.4%8.4%-4.5%12.2K155.6K-15.9K0.0935.49N/AN/A115107,1143,319
2008-05-14$12.71$12.5038.4%12.2%53.6%51.4%42.4%9.0%-2.4%16.0K71.1K-15.8K0.0035.39N/AN/A2707,1693,329
2008-05-15$12.79$12.5046.1%13.2%53.6%68.6%0.0%11.9%-6.1%15.7K-37.8K-15.9K0.0055.52N/AN/A007,1963,329
2008-05-16$12.81$12.5044.2%12.7%41.4%64.3%44.2%11.8%-3.9%16.0K-64.2K-15.7K0.0013.46N/AN/A24207,1963,329
2008-05-19$12.59$12.5044.6%12.8%41.0%65.2%44.6%8.0%-3.3%21.5K119.3K-15.6K0.7355.21N/AN/A15117,2003,239
2008-05-20$12.78$12.5045.5%13.0%38.5%67.2%0.0%10.8%-4.3%20.6K6.7K-15.7K0.0013.74N/AN/A307,1853,250
2008-05-21$12.78$12.5044.1%12.7%35.6%63.2%0.0%9.2%-2.5%22.1K-72.5K-15.7K1.0039.18N/AN/A117,1853,250
2008-05-22$12.98$12.5044.8%12.9%35.8%64.8%44.8%13.0%-4.2%22.0K-278.6K-15.8K0.0036.43N/AN/A2207,1863,251
2008-05-23$12.82$12.5044.9%12.9%35.5%64.9%44.9%8.7%-3.5%22.5K-48.2K-15.3K0.0037.12N/AN/A0697,1903,251
2008-05-27$13.47$12.5044.7%12.8%38.7%64.6%44.7%17.8%-2.0%23.8K-889.1K-15.4K0.0042.21N/AN/A207,1903,251
2008-05-28$13.36$12.5043.2%12.4%39.0%61.2%0.0%1.0%-1.1%24.8K-781.4K-15.4K0.0032.01N/AN/A1707,1883,251
2008-05-29$13.62$12.5046.1%13.2%38.9%67.6%49.6%4.7%-2.0%22.0K-1.2M-15.0K0.0036.11N/AN/A12607,1953,251
2008-05-30$13.28$12.5042.5%12.2%30.2%59.5%42.5%12.3%-1.1%26.9K-735.2K-15.0K1.0040.74N/AN/A667,2063,251