CSGS Options History — December 2008

In December 2008, CSGS traded between $15.01 and $17.47. ATM implied volatility averaged 63.6%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 18.0%. IV traded below realized volatility by 13.1% (HV 20d: 76.7%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.61.

Notable Days

  • 2008-12-05: Highest Volume — 4,021 contracts
  • 2008-12-08: Largest IV drop — 27.0% change
  • 2008-12-05: Highest IV Rank — 50.6%
  • 2008-12-08: Largest Expected Move — 23.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.48$15.01$17.47$15.07$17.47
Max Pain$15.45$15.00$17.50$17.50$15.00
ATM IV63.6%41.3%94.8%74.7%41.3%
Expected Move18.0%11.8%23.3%21.4%11.8%
HV 20d76.7%43.9%89.2%86.6%44.2%
HV 60d75.4%72.5%76.7%76.2%72.5%
IV Rank26.4%9.4%50.6%37.2%9.4%
IV Percentile79.3%20.6%98.8%94.0%20.6%
Term Structure-3.1%-16.2%15.8%-6.3%13.8%
VWIV63.2%56.4%73.4%73.4%56.4%
Skew 25d8.6%-9.8%25.2%-7.7%-9.8%
Skew 10d11.0%-16.4%55.6%-2.6%-12.6%
Call IV 25d53.5%35.4%68.0%68.0%52.1%
Put IV 25d62.0%42.3%85.5%60.3%42.3%
Bid-Ask Spread %80.2231.43109.41102.1199.73
Gamma HHI0.710.330.940.400.85
Net GEX91.4K-23.2K181.2K-20.4K116.0K
Net DEX-4.8M-9.2M737.4K540.7K-8.6M
Net VEX-10.8K-14.8K-5.5K-6.4K-8.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.005.240.000.00
Total Volume321.45504,021030
Total OI10,150.2276,44912,3756,44911,377

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-12-01$15.07$17.5074.7%21.4%86.6%37.2%0.0%-7.7%-6.3%-20.4K540.7K-6.4K0.00102.11N/AN/A004,4831,966
2008-12-02$15.01$17.5073.4%21.0%86.2%36.3%73.4%25.2%-5.4%-23.2K737.4K-6.2K0.00102.05N/AN/A3004,4831,966
2008-12-03$15.98$17.5076.6%22.0%89.2%38.5%0.0%24.2%-6.4%-22.1K458.9K-6.3K0.91109.41N/AN/A11104,5131,966
2008-12-04$15.72$17.5076.3%21.9%87.4%38.3%0.0%1.7%-15.2%-19.6K349.5K-6.5K0.0092.90N/AN/A004,5191,976
2008-12-05$16.46$15.0094.8%19.7%88.8%50.6%67.7%17.3%-1.6%-16.1K219.6K-6.7K0.0291.52N/AN/A3,930914,5191,976
2008-12-08$16.90$15.0069.2%23.3%88.1%33.5%0.0%18.6%-16.2%65.6K-4.1M-13.4K0.0097.80N/AN/A8007,8372,057
2008-12-09$16.53$15.0073.8%19.6%88.5%33.2%0.0%1.2%-13.2%67.7K-4.0M-12.4K0.0092.57N/AN/A007,8972,057
2008-12-10$16.57$15.0065.4%19.2%88.5%27.3%67.0%10.2%-10.9%68.5K-3.8M-12.1K0.6056.55N/AN/A50307,8972,057
2008-12-11$16.12$15.0063.1%18.1%88.5%25.6%62.6%-6.2%0.1%70.1K-3.4M-12.1K0.0086.91N/AN/A71507,9072,047
2008-12-12$16.29$15.0060.7%17.4%86.8%23.1%62.2%2.4%-4.3%90.1K-4.3M-12.8K0.1190.17N/AN/A1,3941478,5532,047
2008-12-15$15.86$15.0060.4%17.3%78.7%22.9%59.6%2.6%-0.1%132.1K-5.1M-14.8K0.0781.44N/AN/A150109,9232,152
2008-12-16$16.65$15.0061.4%17.6%80.1%23.6%0.0%7.9%-5.4%137.5K-6.6M-14.3K0.3351.89N/AN/A602010,0732,162
2008-12-17$17.33$15.0059.3%17.0%80.8%22.1%0.0%7.8%-2.1%126.8K-8.0M-12.9K1.0085.24N/AN/A202010,1332,182
2008-12-18$17.03$15.0058.7%16.8%77.7%21.6%0.0%1.5%-2.0%135.1K-7.5M-13.4K0.0031.43N/AN/A04310,1532,202
2008-12-19$17.27$15.0056.7%16.2%75.0%20.2%56.5%0.2%0.9%120.8K-8.0M-12.1K0.8032.29N/AN/A252010,1532,222
2008-12-22$16.96$15.0056.7%16.3%72.6%20.3%0.0%16.2%-0.5%162.2K-7.5M-11.9K0.0095.20N/AN/A0109,6341,572
2008-12-23$16.64$15.0056.2%16.1%68.3%19.9%56.4%15.7%-1.3%158.0K-7.0M-12.4K5.2482.19N/AN/A211109,6341,582
2008-12-24$16.47$15.0055.8%16.0%67.7%19.6%0.0%13.3%-1.9%164.6K-6.6M-13.0K0.0060.46N/AN/A009,6541,682
2008-12-26$16.57$15.0057.6%16.5%60.6%20.9%0.0%15.9%-3.5%181.2K-6.8M-12.1K0.0060.36N/AN/A4209,6541,682
2008-12-29$16.55$15.0058.5%16.8%59.5%21.5%0.0%12.9%-2.2%173.7K-6.9M-11.7K0.0062.11N/AN/A009,6961,682
2008-12-30$17.06$15.0048.7%14.0%43.9%14.6%0.0%18.0%15.8%142.2K-9.2M-5.5K0.00100.64N/AN/A309,6961,682
2008-12-31$17.47$15.0041.3%11.8%44.2%9.4%0.0%-9.8%13.8%116.0K-8.6M-8.9K0.0099.73N/AN/A3009,6951,682