CSGS Options History — June 2008

In June 2008, CSGS traded between $11.02 and $13.05. ATM implied volatility averaged 41.1%, placing in the 56.4% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 9.2% (HV 20d: 31.9%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.30.

Notable Days

  • 2008-06-06: Highest Volume — 503 contracts
  • 2008-06-24: Largest IV drop — 13.1% change
  • 2008-06-02: Highest IV Rank — 66.2%
  • 2008-06-02: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.98$11.02$13.05$13.05$11.02
Max Pain$12.86$12.50$15.00$12.50$12.50
ATM IV41.1%35.1%45.4%45.4%40.8%
Expected Move11.8%10.1%13.0%13.0%11.7%
HV 20d31.9%26.5%36.8%27.4%29.5%
HV 60d40.6%39.8%41.9%41.1%40.2%
IV Rank56.4%42.6%66.2%66.2%55.7%
IV Percentile59.6%29.4%81.0%81.0%56.0%
Term Structure-0.1%-4.2%14.7%-4.1%-4.2%
VWIV40.8%40.7%40.9%40.7%40.9%
Skew 25d0.4%-15.2%24.6%12.5%-14.5%
Skew 10d6.4%-8.2%18.5%18.5%-8.2%
Call IV 25d38.1%31.0%47.5%33.8%37.0%
Put IV 25d38.5%21.7%55.6%46.3%22.5%
Bid-Ask Spread %57.4817.2988.3418.1486.74
Gamma HHI0.720.600.850.670.65
Net GEX22.4K-20.3K65.0K28.7K-19.2K
Net DEX1.0M-373.3K2.0M-373.3K1.8M
Net VEX-11.4K-14.4K-7.9K-14.4K-7.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.0015.000.000.40
Total Volume48.04805033140
Total OI9,856.3817,74810,85010,4637,748

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-06-02$13.05$12.5045.4%13.0%27.4%66.2%0.0%12.5%-4.1%28.7K-373.3K-14.4K0.0018.14N/AN/A307,2123,251
2008-06-03$12.95$12.5044.3%12.7%27.6%63.6%0.0%10.6%-2.0%30.8K-275.5K-14.0K0.0019.39N/AN/A007,2153,251
2008-06-04$12.94$12.5044.0%12.6%27.5%62.8%0.0%9.5%-2.2%33.0K-216.8K-13.9K0.0017.29N/AN/A407,2153,251
2008-06-05$12.98$12.5042.7%12.2%26.5%59.9%0.0%8.9%-1.7%34.2K-316.5K-13.9K0.0020.53N/AN/A007,2113,251
2008-06-06$12.32$15.0043.1%12.8%32.7%60.8%0.0%3.2%-1.3%40.2K500.0K-13.8K0.0084.61N/AN/A50307,2113,251
2008-06-09$12.24$15.0044.3%11.9%32.5%63.6%0.0%2.4%-0.8%45.8K681.3K-13.2K0.6079.36N/AN/A25157,5943,231
2008-06-10$12.26$15.0043.8%11.7%32.0%62.5%40.7%3.5%0.2%50.2K591.2K-13.5K0.0079.36N/AN/A11507,6043,246
2008-06-11$11.84$12.5040.0%12.1%33.7%53.9%0.0%-2.2%-0.9%35.0K1.1M-12.3K0.0054.38N/AN/A1507,5803,246
2008-06-12$11.88$12.5041.0%11.7%33.8%56.0%0.0%1.9%-0.8%39.3K1.1M-12.0K0.0057.32N/AN/A047,5703,246
2008-06-13$12.01$12.5040.9%11.7%34.0%55.8%40.9%24.6%-0.5%41.7K1.1M-12.1K0.2558.94N/AN/A827,5703,246
2008-06-16$12.18$12.5041.2%11.8%34.6%56.5%0.0%2.0%-0.4%65.0K1.0M-11.9K0.0059.01N/AN/A6007,5783,246
2008-06-17$11.98$12.5042.7%12.2%34.5%59.9%0.0%2.1%-2.2%45.7K1.2M-11.7K0.6123.39N/AN/A33207,5583,246
2008-06-18$12.02$12.5038.4%11.0%34.0%50.2%0.0%1.5%2.1%55.5K1.5M-11.3K0.0057.81N/AN/A007,5523,246
2008-06-19$12.07$12.5040.0%11.5%34.1%53.8%0.0%2.2%0.2%64.0K1.5M-11.2K15.0020.12N/AN/A2307,5523,246
2008-06-20$11.55$12.5041.0%11.8%36.3%56.1%0.0%-14.4%-0.5%-20.3K2.0M-10.0K0.0062.93N/AN/A2007,5543,266
2008-06-23$11.27$12.5041.8%12.0%36.8%57.8%0.0%-14.9%-0.1%-19.8K1.6M-8.9K0.0072.87N/AN/A1005,0482,700
2008-06-24$11.16$12.5036.3%10.4%30.3%45.4%0.0%-15.2%0.5%-19.2K1.7M-8.7K0.0087.49N/AN/A005,0482,700
2008-06-25$11.37$12.5039.2%11.2%31.9%52.0%0.0%-0.7%2.4%-19.8K1.7M-9.0K0.0071.60N/AN/A005,0482,700
2008-06-26$11.28$12.5035.1%10.1%30.2%42.6%0.0%-0.5%14.7%-19.7K1.7M-8.3K0.0087.53N/AN/A005,0482,700
2008-06-27$11.13$12.5037.7%10.8%29.7%48.7%0.0%-15.1%-0.3%-19.9K1.7M-8.4K0.0088.34N/AN/A005,0482,700
2008-06-30$11.02$12.5040.8%11.7%29.5%55.7%0.0%-14.5%-4.2%-19.2K1.8M-7.9K0.4086.74N/AN/A100405,0482,700