CSGS Options History — August 2008

In August 2008, CSGS traded between $18.42 and $19.72. ATM implied volatility averaged 47.6%, placing in the 53.3% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded below realized volatility by 7.9% (HV 20d: 55.5%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.02.

Notable Days

  • 2008-08-05: Highest Volume — 71 contracts
  • 2008-08-11: Largest IV spike — 16.6% change
  • 2008-08-11: Highest IV Rank — 75.6%
  • 2008-08-06: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.13$18.42$19.72$18.79$18.90
Max Pain$12.38$10.00$12.50$10.00$12.50
ATM IV47.6%40.2%59.7%48.6%40.2%
Expected Move13.1%11.5%14.5%13.9%11.5%
HV 20d55.5%27.8%87.8%86.8%27.8%
HV 60d59.0%58.6%59.3%58.6%58.9%
IV Rank53.3%39.6%75.6%55.3%39.6%
IV Percentile77.3%44.8%99.2%83.7%44.8%
Term Structure-2.7%-6.9%0.4%-6.9%-1.6%
VWIV46.2%38.6%51.8%49.8%38.6%
Skew 25d3.9%-1.5%13.7%2.6%4.9%
Skew 10d5.6%-9.2%30.8%30.8%11.3%
Call IV 25d44.5%35.6%54.4%54.4%37.6%
Put IV 25d48.4%42.5%57.0%57.0%42.5%
Bid-Ask Spread %68.8135.3790.4189.7175.72
Gamma HHI0.320.280.400.400.29
Net GEX40.1K31.2K48.0K34.6K41.1K
Net DEX-4.2M-4.8M-3.6M-4.1M-3.9M
Net VEX-12.8K-13.9K-11.5K-12.9K-11.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.006.672.000.48
Total Volume28.6193713040
Total OI8,060.5247,8608,2958,0197,999

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-08-01$18.79$10.0048.6%13.9%86.8%55.3%0.0%2.6%-6.9%34.6K-4.1M-12.9K2.0089.71N/AN/A10205,7612,258
2008-08-04$18.42$12.5053.3%14.3%87.8%63.9%49.8%2.1%-2.3%35.2K-4.0M-13.8K1.4775.41N/AN/A19285,7712,258
2008-08-05$18.88$12.5051.3%13.8%87.7%60.2%48.7%2.1%-2.9%37.3K-4.3M-13.7K0.3967.36N/AN/A51205,7902,271
2008-08-06$18.58$12.5050.5%14.5%86.9%58.6%0.0%3.5%-4.3%37.8K-4.2M-13.9K1.5035.37N/AN/A20305,8312,281
2008-08-07$18.62$12.5050.7%13.8%87.0%59.1%0.0%1.2%-0.4%31.2K-3.9M-12.5K1.0077.89N/AN/A10105,8482,306
2008-08-08$19.27$12.5051.2%13.5%86.6%59.9%0.0%2.5%-3.3%41.2K-4.5M-13.2K1.0083.86N/AN/A10105,8582,316
2008-08-11$19.67$12.5059.7%13.4%81.5%75.6%0.0%3.4%-4.1%40.2K-4.8M-13.1K0.7464.63N/AN/A34255,8682,326
2008-08-12$19.72$12.5051.5%13.3%51.7%60.6%51.8%2.4%-4.9%45.3K-4.8M-13.5K6.6790.41N/AN/A3205,8912,351
2008-08-13$19.66$12.5050.5%12.9%47.0%58.6%0.0%2.5%-2.8%39.7K-4.7M-12.6K0.0077.94N/AN/A1205,8942,371
2008-08-14$19.61$12.5044.9%12.9%47.4%48.3%0.0%2.3%-3.3%43.7K-4.7M-12.9K0.0071.55N/AN/A2005,9042,371
2008-08-15$19.56$12.5045.4%13.0%47.5%49.3%45.0%2.7%-2.9%48.0K-4.8M-13.8K0.0059.60N/AN/A1705,9242,371
2008-08-18$19.46$12.5044.1%12.6%47.9%46.9%0.0%4.4%-4.4%47.9K-4.3M-13.8K0.4073.31N/AN/A25105,5952,265
2008-08-19$19.11$12.5047.6%13.7%49.0%53.4%0.0%1.3%-3.7%42.3K-3.9M-13.5K0.0062.54N/AN/A405,6152,275
2008-08-20$19.12$12.5044.9%12.9%39.6%48.3%45.3%-1.5%-0.6%43.7K-4.0M-12.7K2.5039.32N/AN/A12305,6142,275
2008-08-21$18.88$12.5044.4%12.7%38.4%47.4%51.1%2.6%0.4%38.6K-3.8M-12.7K0.0252.60N/AN/A4515,6162,305
2008-08-22$19.39$12.5043.1%12.4%31.5%45.1%43.6%13.7%-1.8%39.3K-4.0M-12.3K0.0070.98N/AN/A1505,6542,304
2008-08-25$18.82$12.5045.3%13.0%33.1%49.1%0.0%11.0%-3.2%39.4K-3.8M-11.8K0.0064.74N/AN/A0105,6692,304
2008-08-26$18.77$12.5045.6%13.1%32.9%49.6%0.0%6.0%-3.4%36.4K-3.6M-11.5K0.7567.77N/AN/A435,6692,314
2008-08-27$19.17$12.5043.3%12.4%33.5%45.3%42.1%4.0%-0.7%36.6K-3.8M-11.6K0.5073.97N/AN/A20105,6652,314
2008-08-28$19.25$12.5043.3%12.4%33.5%45.5%0.0%8.7%-0.4%42.8K-4.0M-12.4K0.0070.41N/AN/A035,6852,314
2008-08-29$18.90$12.5040.2%11.5%27.8%39.6%38.6%4.9%-1.6%41.1K-3.9M-11.6K0.4875.72N/AN/A27135,6852,314