CSGS Options History — November 2008

In November 2008, CSGS traded between $13.23 and $16.84. ATM implied volatility averaged 68.0%, placing in the 32.7% IV rank vs the trailing year. The 30-day expected move averaged 19.6%. IV traded below realized volatility by 5.2% (HV 20d: 73.2%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 18.46.

Notable Days

  • 2008-11-13: Highest Volume — 101 contracts
  • 2008-11-06: Largest IV spike — 27.3% change
  • 2008-11-20: Highest IV Rank — 40.2%
  • 2008-11-20: Largest Expected Move — 22.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.18$13.23$16.84$16.18$16.84
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV68.0%56.8%79.3%77.6%62.5%
Expected Move19.6%16.3%22.7%22.2%17.9%
HV 20d73.2%65.3%82.1%82.1%77.0%
HV 60d65.9%61.0%73.5%61.2%73.5%
IV Rank32.7%25.3%40.2%39.1%29.1%
IV Percentile91.2%85.7%96.8%96.4%86.5%
Term Structure-3.2%-13.4%10.5%-8.1%4.5%
VWIV70.7%62.7%80.8%73.8%67.1%
Skew 25d10.7%-6.0%22.7%8.1%20.2%
Skew 10d20.3%-4.9%48.3%22.3%48.3%
Call IV 25d58.3%49.7%67.6%58.9%51.7%
Put IV 25d69.0%51.1%86.0%67.0%71.8%
Bid-Ask Spread %86.0245.99109.7576.4184.03
Gamma HHI0.440.340.560.440.37
Net GEX-21.0K-32.0K-14.3K-23.5K-18.3K
Net DEX795.9K86.9K1.5M661.8K86.9K
Net VEX-7.7K-11.1K-6.1K-11.1K-6.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio18.460.0081.000.030.00
Total Volume26.8950101321
Total OI6,724.5266,4497,5587,5586,449

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-11-03$16.18$17.5077.6%22.2%82.1%39.1%0.0%8.1%-8.1%-23.5K661.8K-11.1K0.0376.41N/AN/A3114,8442,714
2008-11-04$15.91$17.5070.9%20.3%75.8%34.6%73.8%-4.8%-1.3%-14.3K421.6K-9.4K60.00104.23N/AN/A1604,5222,088
2008-11-05$15.13$17.5057.0%16.3%78.0%25.5%0.0%0.6%10.5%-18.3K672.4K-8.6K0.00109.75N/AN/A004,5232,108
2008-11-06$15.04$17.5072.6%20.8%76.1%35.8%72.6%10.5%-7.3%-19.5K874.8K-8.2K0.0095.10N/AN/A5204,5232,108
2008-11-07$15.66$17.5056.8%18.3%77.0%25.3%64.1%15.8%-1.9%-20.3K731.0K-8.2K3.0087.03N/AN/A10304,5552,108
2008-11-10$15.51$17.5062.4%18.2%70.8%29.0%0.0%3.5%-6.2%-21.4K644.0K-8.1K0.0086.07N/AN/A0104,5652,138
2008-11-11$15.63$17.5066.7%18.6%70.5%31.9%0.0%14.3%-4.5%-20.2K664.9K-8.3K0.0072.86N/AN/A014,5652,138
2008-11-12$15.20$17.5067.1%18.8%66.3%32.1%0.0%8.4%-3.4%-19.5K683.6K-8.1K81.0045.99N/AN/A1814,5652,138
2008-11-13$15.97$17.5069.7%20.0%65.3%33.9%80.8%18.6%-5.0%-23.5K632.5K-8.2K9.1084.85N/AN/A10914,5642,188
2008-11-14$14.42$17.5071.4%20.5%72.4%35.0%62.7%-6.0%-11.3%-23.3K901.9K-7.8K0.0077.79N/AN/A0424,5692,266
2008-11-17$14.34$17.5066.2%19.0%70.4%31.6%0.0%9.0%-2.1%-29.5K1.2M-6.9K0.0057.64N/AN/A0204,5692,263
2008-11-18$14.64$17.5065.2%18.7%69.3%30.9%0.0%13.1%-2.9%-32.0K1.2M-7.0K0.0058.27N/AN/A0204,5692,281
2008-11-19$13.83$17.5071.7%20.6%67.7%35.2%70.3%10.6%-6.6%-17.3K1.3M-6.7K0.0089.76N/AN/A0104,5692,286
2008-11-20$13.23$17.5079.3%22.7%69.2%40.2%74.3%10.4%-4.5%-20.2K1.5M-6.2K11.0089.97N/AN/A2224,5692,286
2008-11-21$14.19$17.5067.5%19.4%74.3%32.4%0.0%22.5%1.8%-21.5K1.5M-6.1K0.0099.61N/AN/A004,5712,206
2008-11-24$15.36$17.5078.3%22.4%78.3%39.6%0.0%22.7%-13.4%-18.7K593.9K-7.2K0.00109.01N/AN/A004,4791,976
2008-11-25$14.99$17.5068.7%19.7%71.4%33.2%67.1%8.6%-5.0%-20.4K670.0K-6.8K2.0096.62N/AN/A5104,4791,976
2008-11-26$16.33$17.5060.4%17.3%77.8%27.7%0.0%17.1%5.5%-17.3K245.1K-7.1K0.00109.46N/AN/A004,4831,966
2008-11-28$16.84$17.5062.5%17.9%77.0%29.1%0.0%20.2%4.5%-18.3K86.9K-6.8K0.0084.03N/AN/A104,4831,966