CSGS Options History — September 2008

In September 2008, CSGS traded between $16.72 and $19.70. ATM implied volatility averaged 50.3%, placing in the 52.7% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded above realized volatility by 7.1% (HV 20d: 43.2%). Max pain ranged from $12.50 to $20.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 4.46.

Notable Days

  • 2008-09-09: Highest Volume — 680 contracts
  • 2008-09-22: Largest IV drop — 58.0% change
  • 2008-09-19: Highest IV Rank — 100.0%
  • 2008-09-19: Largest Expected Move — 25.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.26$16.72$19.70$19.70$17.53
Max Pain$18.10$12.50$20.00$12.50$20.00
ATM IV50.3%37.1%88.4%46.1%49.4%
Expected Move14.5%10.6%25.3%13.2%14.2%
HV 20d43.2%29.2%55.3%30.3%55.3%
HV 60d60.9%58.0%64.5%58.1%64.5%
IV Rank52.7%26.5%100.0%50.6%44.1%
IV Percentile76.8%23.4%100.0%76.6%81.7%
Term Structure1.1%-38.0%60.4%-0.9%4.2%
VWIV48.8%30.1%84.9%38.0%47.5%
Skew 25d0.2%-29.9%13.0%-3.9%0.2%
Skew 10d4.7%-12.1%29.9%-2.4%-3.4%
Call IV 25d45.3%35.6%67.5%37.8%50.5%
Put IV 25d45.5%33.6%52.2%33.9%50.7%
Bid-Ask Spread %98.4463.22165.0487.35126.82
Gamma HHI0.270.240.350.280.26
Net GEX15.6K-6.4K45.1K43.3K642
Net DEX-2.1M-4.2M-29.3K-4.2M-267.3K
Net VEX-11.4K-13.8K-9.3K-11.5K-9.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.460.0038.003.700.47
Total Volume83.619068012763
Total OI7,480.6195,8578,5008,0245,948

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-09-02$19.70$12.5046.1%13.2%30.3%50.6%0.0%-3.9%-0.9%43.3K-4.2M-11.5K3.7087.35N/AN/A271005,7122,312
2008-09-03$19.69$12.5044.0%12.6%29.2%46.8%0.0%-0.2%-1.5%45.1K-4.2M-12.8K0.0082.93N/AN/A105,7292,392
2008-09-04$19.38$12.5046.4%13.3%29.2%51.1%38.0%5.8%-5.8%42.1K-4.1M-13.8K2.8389.23N/AN/A601705,7302,392
2008-09-05$18.45$20.0044.6%13.0%34.4%47.7%0.0%3.8%4.0%30.9K-3.5M-11.4K0.0072.58N/AN/A005,7352,481
2008-09-08$18.84$20.0040.5%11.8%32.9%40.2%0.0%3.0%0.8%31.2K-3.6M-11.5K38.0078.57N/AN/A51905,7352,481
2008-09-09$17.85$20.0049.6%13.5%36.8%56.9%0.0%1.7%1.4%21.7K-2.8M-11.7K0.3672.82N/AN/A5001805,7372,670
2008-09-10$18.45$20.0039.4%13.1%39.1%38.1%0.0%-2.4%-2.3%8.3K-2.9M-11.6K0.0063.22N/AN/A035,6992,801
2008-09-11$18.94$20.0043.5%12.5%40.5%45.8%0.0%-6.4%-0.7%12.0K-2.8M-11.7K0.0073.08N/AN/A0185,4952,804
2008-09-12$18.31$20.0047.6%13.6%42.1%53.3%43.8%-23.9%0.8%14.2K-2.6M-11.5K0.0071.43N/AN/A105,4952,817
2008-09-15$18.45$20.0050.8%14.6%42.3%59.2%0.0%5.8%-1.0%17.5K-2.8M-12.1K0.0070.79N/AN/A005,4962,817
2008-09-16$18.25$20.0050.1%14.4%42.4%57.9%0.0%13.0%-1.6%8.1K-2.5M-11.8K0.6780.00N/AN/A30205,4682,817
2008-09-17$17.28$20.0051.6%14.8%45.9%60.8%45.7%4.2%-7.2%8.9K-1.9M-10.8K0.00102.04N/AN/A0575,4982,832
2008-09-18$16.72$17.5059.8%17.1%46.9%75.8%0.0%-2.1%-6.4%-6.4K-1.3M-9.5K3.95113.11N/AN/A381505,4982,879
2008-09-19$17.57$17.5088.4%25.3%50.9%100.0%0.0%-29.9%-38.0%21.4K-2.2M-12.6K0.00165.04N/AN/A205,4912,796
2008-09-22$17.13$17.5037.1%10.6%50.1%26.5%30.1%11.1%60.4%-1.7K-29.3K-10.2K8.75145.02N/AN/A4354,2991,558
2008-09-23$17.26$17.5052.1%15.0%49.5%48.0%51.9%5.2%-0.2%3.1K-127.2K-10.6K2.5097.57N/AN/A8204,3021,575
2008-09-24$17.65$17.5049.1%14.1%50.4%43.7%0.0%5.5%0.1%1.0K-126.2K-10.7K0.0094.05N/AN/A004,3101,575
2008-09-25$18.36$17.5048.8%14.0%52.0%43.3%0.0%4.5%1.0%5.9K-393.8K-10.8K0.0096.50N/AN/A004,3101,575
2008-09-26$19.04$17.5063.5%18.2%53.7%64.3%84.9%2.1%17.1%3.1K-611.4K-10.0K1.21144.02N/AN/A33404,3101,575
2008-09-29$18.58$20.0054.9%15.7%54.1%51.9%0.0%7.2%-2.1%17.1K-706.3K-13.1K0.00141.08N/AN/A104,3321,615
2008-09-30$17.53$20.0049.4%14.2%55.3%44.1%47.5%0.2%4.2%642-267.3K-9.3K0.47126.82N/AN/A43204,3331,615