CSGS Options History — July 2008

In July 2008, CSGS traded between $11.08 and $17.74. ATM implied volatility averaged 47.2%, placing in the 57.1% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded below realized volatility by 15.5% (HV 20d: 62.7%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 2.02.

Notable Days

  • 2008-07-22: Highest Volume — 2,546 contracts
  • 2008-07-15: Largest IV spike — 45.9% change
  • 2008-07-15: Highest IV Rank — 100.0%
  • 2008-07-15: Largest Expected Move — 20.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.38$11.08$17.74$11.08$17.74
Max Pain$10.83$10.00$12.50$12.50$10.00
ATM IV47.2%28.1%72.9%30.3%57.3%
Expected Move13.9%8.1%20.9%8.7%16.4%
HV 20d62.7%26.7%86.5%30.0%86.0%
HV 60d50.7%39.9%60.2%40.2%57.9%
IV Rank57.1%26.7%100.0%31.8%71.2%
IV Percentile68.9%4.8%100.0%13.1%97.6%
Term Structure-2.1%-10.6%15.9%15.9%-7.8%
VWIV52.9%41.1%61.7%41.1%61.7%
Skew 25d-0.5%-15.1%10.8%-15.1%10.8%
Skew 10d3.0%-16.4%15.5%-8.7%8.7%
Call IV 25d40.9%32.6%53.8%37.4%38.5%
Put IV 25d40.5%21.3%62.1%22.3%49.3%
Bid-Ask Spread %74.1642.45106.1887.7692.55
Gamma HHI0.470.280.660.610.40
Net GEX-390-24.0K30.3K-20.0K30.3K
Net DEX-858.6K-3.6M1.8M1.8M-3.6M
Net VEX-10.6K-13.8K-7.0K-7.9K-13.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.020.0021.330.000.00
Total Volume214.72702,54605
Total OI7,727.1363,4148,3467,7868,024

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-07-01$11.08$12.5030.3%8.7%30.0%31.8%0.0%-15.1%15.9%-20.0K1.8M-7.9K0.0087.76N/AN/A005,0462,740
2008-07-02$11.16$12.5033.2%9.5%30.3%38.3%0.0%-14.6%12.1%-20.6K1.7M-8.3K0.0087.62N/AN/A1005,1462,740
2008-07-03$11.39$12.5028.1%8.1%31.7%26.7%0.0%-14.5%12.0%-22.0K1.7M-8.6K0.0087.93N/AN/A1005,0462,740
2008-07-07$11.36$0.0031.6%11.7%26.7%34.8%41.1%-0.3%-1.9%-22.1K1.6M-8.1K0.0042.45N/AN/A105,0482,646
2008-07-08$11.76$12.5033.1%11.6%30.0%34.7%0.0%-0.6%-0.5%-24.0K1.5M-8.9K0.0043.49N/AN/A0105,0492,646
2008-07-09$11.45$12.5032.4%11.9%31.2%32.9%0.0%-14.1%-0.1%-22.4K1.5M-8.6K0.0044.89N/AN/A1005,0492,646
2008-07-10$11.50$12.5043.1%12.4%29.0%58.6%0.0%-0.3%-2.6%-23.0K1.6M-8.3K0.0044.04N/AN/A005,0492,646
2008-07-11$11.50$12.5040.0%11.5%29.0%51.2%46.5%-0.1%0.8%-22.9K1.6M-8.2K0.2356.80N/AN/A75175,0492,646
2008-07-14$12.76$10.0050.0%14.3%47.3%75.2%54.6%7.2%-8.8%-14.4K-91.8K-7.0K0.2470.89N/AN/A4251001,4431,971
2008-07-15$15.44$10.0072.9%20.9%81.8%100.0%60.8%1.9%-10.6%-6.5K-1.4M-12.0K0.08106.18N/AN/A493405,5292,641
2008-07-16$14.72$10.0056.8%16.3%83.9%70.2%56.8%4.8%-6.6%-1.8K-1.4M-12.7K9.4248.45N/AN/A121135,6782,668
2008-07-17$14.94$10.0054.8%15.7%83.9%66.5%54.8%3.2%-5.9%1.6K-1.5M-13.2K1.4088.19N/AN/A40565,5492,703
2008-07-18$14.94$10.0054.3%15.6%84.0%65.6%49.7%2.2%-4.9%1.7K-1.4M-12.7K1.5299.28N/AN/A40615,5892,737
2008-07-21$15.25$10.0059.6%17.1%81.5%75.4%59.8%2.6%-7.2%-290-1.4M-12.6K0.1861.16N/AN/A68125,5182,756
2008-07-22$15.51$10.0050.7%14.5%80.2%59.0%50.6%2.0%-1.8%2.0K-1.7M-12.3K21.3389.66N/AN/A1142,4325,5722,768
2008-07-23$16.94$10.0047.1%13.5%83.5%52.4%46.9%1.1%2.4%24.4K-3.0M-9.5K0.7289.32N/AN/A101735,6471,990
2008-07-24$16.51$10.0043.1%12.4%85.1%45.0%50.6%1.5%-4.1%23.0K-2.8M-12.4K1.3859.97N/AN/A8115,6262,164
2008-07-25$17.70$10.0052.8%15.1%86.3%62.9%53.0%3.0%-7.5%28.9K-3.5M-11.7K0.0782.17N/AN/A145105,6182,164
2008-07-28$17.43$10.0054.0%15.5%86.5%65.1%54.5%-9.3%-6.3%26.8K-3.3M-12.3K0.1374.63N/AN/A6185,6662,174
2008-07-29$17.68$10.0055.2%15.8%85.7%67.4%51.6%9.9%-3.1%28.1K-3.5M-12.1K1.2079.45N/AN/A59715,6912,182
2008-07-30$17.64$10.0057.7%16.5%85.9%71.9%0.0%8.8%-9.2%24.7K-3.3M-11.9K0.4394.71N/AN/A23105,7492,248
2008-07-31$17.74$10.0057.3%16.4%86.0%71.2%61.7%10.8%-7.8%30.3K-3.6M-13.8K0.0092.55N/AN/A505,7662,258