CSGS Options History — October 2008

In October 2008, CSGS traded between $13.72 and $16.66. ATM implied volatility averaged 76.9%, placing in the 50.7% IV rank vs the trailing year. The 30-day expected move averaged 21.3%. IV traded above realized volatility by 4.1% (HV 20d: 72.8%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 8.34.

Notable Days

  • 2008-10-28: Highest Volume — 716 contracts
  • 2008-10-14: Largest IV spike — 175.2% change
  • 2008-10-09: Highest IV Rank — 100.0%
  • 2008-10-13: Largest Expected Move — 35.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.06$13.72$16.66$16.61$16.63
Max Pain$16.63$15.00$20.00$20.00$17.50
ATM IV76.9%33.7%169.3%57.9%49.2%
Expected Move21.3%14.1%35.3%16.6%14.1%
HV 20d72.8%57.8%86.1%57.8%82.3%
HV 60d59.6%53.5%67.1%65.5%61.4%
IV Rank50.7%10.0%100.0%56.2%20.3%
IV Percentile92.3%9.5%100.0%96.8%72.6%
Term Structure-8.8%-65.3%14.1%-5.2%14.1%
VWIV74.9%60.9%115.7%67.9%70.5%
Skew 25d9.2%-39.4%71.9%5.7%13.1%
Skew 10d22.7%-38.7%119.6%5.6%35.2%
Call IV 25d60.4%46.6%96.5%49.9%59.1%
Put IV 25d69.6%54.9%130.9%55.6%72.2%
Bid-Ask Spread %104.5079.87138.17100.74120.97
Gamma HHI0.340.230.440.250.34
Net GEX-10.8K-17.2K2.3K-3.5K-8.3K
Net DEX714.5K203.3K1.1M203.3K325.4K
Net VEX-9.9K-14.0K-8.1K-9.8K-14.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.340.0055.007.501.03
Total Volume147.65207162000
Total OI6,588.7395,6817,8565,9817,856

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-10-01$16.61$20.0057.9%16.6%57.8%56.2%0.0%5.7%-5.2%-3.5K203.3K-9.8K0.00100.74N/AN/A02004,3661,615
2008-10-02$15.62$20.0058.4%16.7%60.7%57.0%0.0%3.3%9.0%-10.6K441.7K-9.4K7.50106.94N/AN/A4303,8661,815
2008-10-03$15.31$20.0080.3%23.0%59.2%88.3%0.0%0.8%-65.3%-13.3K459.2K-8.5K4.53122.85N/AN/A321454,3621,835
2008-10-06$15.87$0.0073.4%18.1%60.4%78.4%0.0%7.2%-1.2%-11.2K696.0K-10.4K0.0093.91N/AN/A2104,3611,940
2008-10-07$14.56$0.0078.6%18.4%64.5%86.0%0.0%-5.3%-6.8%-6.7K499.5K-10.4K24.33109.14N/AN/A3734,3821,940
2008-10-08$14.34$0.0062.1%19.7%62.5%62.4%67.9%4.4%-5.1%-9.0K843.7K-9.4K0.7084.59N/AN/A1651154,3821,997
2008-10-09$13.72$15.0099.6%19.5%61.7%100.0%0.0%-39.4%11.4%-10.1K940.5K-9.4K10.3090.86N/AN/A101034,4252,091
2008-10-10$14.00$15.00169.3%31.3%62.6%100.0%0.0%71.9%-15.5%2.3K504.2K-12.1K55.00128.93N/AN/A21104,4292,070
2008-10-13$15.28$15.0033.7%35.3%71.9%10.0%115.7%3.4%-50.8%-3.8K759.1K-10.7K0.00137.78N/AN/A3004,4272,070
2008-10-14$15.02$15.0092.7%18.7%71.9%49.1%64.0%10.1%-2.3%-9.4K763.3K-10.2K4.9597.23N/AN/A20994,4522,070
2008-10-15$14.01$15.0081.0%19.2%73.4%41.4%0.0%7.6%1.0%-9.2K899.3K-9.5K0.0079.87N/AN/A0954,4722,165
2008-10-16$14.87$15.0069.9%20.0%76.9%34.0%0.0%8.5%-0.4%-11.9K1.1M-8.9K0.00110.67N/AN/A004,4722,121
2008-10-17$14.05$15.0077.4%22.2%76.0%39.0%0.0%17.2%-9.7%-11.4K1.0M-8.9K0.0084.68N/AN/A004,4722,121
2008-10-20$14.72$15.0074.2%21.3%78.4%36.9%75.8%0.3%-11.0%-16.5K1.0M-8.4K0.00103.69N/AN/A6004,4352,021
2008-10-21$14.14$15.0072.5%20.8%79.0%35.7%70.8%5.5%-7.1%-15.7K912.5K-8.1K0.0094.28N/AN/A104,4852,021
2008-10-22$15.12$15.00114.1%32.7%83.0%63.3%71.5%23.2%-48.0%-11.6K758.4K-9.3K12.43119.71N/AN/A404974,4862,021
2008-10-23$14.99$17.5067.2%19.3%81.1%32.2%0.0%7.5%-6.0%-14.8K837.0K-9.0K10.7398.80N/AN/A111184,5262,039
2008-10-24$14.90$17.5058.3%16.7%79.2%26.3%0.0%22.0%2.4%-16.7K974.8K-8.8K0.00138.17N/AN/A014,5312,080
2008-10-27$14.33$17.5076.6%22.0%79.7%38.5%77.0%9.2%-9.3%-12.4K832.8K-9.0K0.9598.61N/AN/A21204,5312,081
2008-10-28$15.72$17.5080.5%23.1%86.1%41.1%60.9%17.2%10.2%-17.2K721.1K-8.9K1.02111.61N/AN/A3543624,5262,086
2008-10-29$15.96$17.5076.1%21.8%84.4%38.1%70.5%7.1%-6.5%-15.1K523.5K-11.0K1.0380.49N/AN/A3183284,8292,413
2008-10-30$16.66$17.5066.0%18.9%82.7%31.4%0.0%10.3%-0.4%-11.7K345.0K-13.5K0.0089.00N/AN/A085,1422,714
2008-10-31$16.63$17.5049.2%14.1%82.3%20.3%0.0%13.1%14.1%-8.3K325.4K-14.0K0.00120.97N/AN/A005,1422,714