CSGS Options History — January 2009

In January 2009, CSGS traded between $13.80 and $17.76. ATM implied volatility averaged 49.3%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded above realized volatility by 5.2% (HV 20d: 44.1%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.80.

Notable Days

  • 2009-01-13: Highest Volume — 1,184 contracts
  • 2009-01-06: Largest IV spike — 38.8% change
  • 2009-01-08: Highest IV Rank — 23.8%
  • 2009-01-26: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.14$13.80$17.76$17.76$14.50
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV49.3%35.3%61.7%46.0%49.2%
Expected Move14.8%13.2%15.7%13.2%14.1%
HV 20d44.1%36.3%50.8%39.3%47.7%
HV 60d66.2%62.3%71.2%70.2%62.3%
IV Rank15.0%5.1%23.8%12.7%15.0%
IV Percentile54.8%6.7%81.7%44.8%57.1%
Term Structure1.9%-0.8%5.6%1.3%3.1%
VWIV52.2%49.2%55.0%53.3%49.2%
Skew 25d3.9%-9.9%11.6%-9.9%5.9%
Skew 10d14.2%-12.2%31.9%-12.2%18.4%
Call IV 25d51.7%42.1%61.4%51.6%51.0%
Put IV 25d55.5%39.0%61.3%41.7%56.9%
Bid-Ask Spread %55.6634.1280.7165.6640.24
Gamma HHI0.740.461.000.820.53
Net GEX522.7K24.9K6.6M100.5K38.5K
Net DEX-3.3M-9.2M61.3K-9.2M-233.1K
Net VEX-7.4K-9.8K-5.7K-7.7K-6.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.800.0011.500.000.17
Total Volume188.4501,18454101
Total OI7,893.452,87212,90011,3873,036

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-01-02$17.76$15.0046.0%13.2%39.3%12.7%53.3%-9.9%1.3%100.5K-9.2M-7.7K0.0065.66N/AN/A5409,7051,682
2009-01-05$16.77$15.0035.3%15.5%44.6%5.1%0.0%-3.1%3.2%81.6K-8.9M-5.8K11.5034.12N/AN/A101159,7271,682
2009-01-06$16.50$15.0049.0%14.8%42.1%14.8%54.6%7.3%4.0%179.4K-7.4M-8.7K10.0041.15N/AN/A101009,7371,777
2009-01-07$16.26$15.0048.6%14.4%41.3%14.5%50.3%3.9%5.6%240.9K-7.1M-8.9K0.0047.06N/AN/A1009,7441,877
2009-01-08$16.29$15.0061.7%14.9%40.6%23.8%0.0%-0.1%2.1%223.1K-7.1M-8.8K0.2046.41N/AN/A192389,7541,877
2009-01-09$15.82$15.0041.0%15.1%41.8%9.2%0.0%-7.0%2.0%281.1K-6.7M-9.2K0.0058.13N/AN/A01359,9191,877
2009-01-12$15.55$15.0041.0%15.1%41.1%9.2%0.0%4.4%2.7%413.4K-6.0M-8.6K0.0055.67N/AN/A0109,9191,885
2009-01-13$14.84$15.0047.3%15.1%43.8%13.6%52.8%4.2%0.2%544.8K-2.1M-8.4K0.0464.05N/AN/A1,136489,9191,885
2009-01-14$14.59$15.0046.4%14.9%43.3%12.9%52.8%2.4%0.8%580.4K-2.5M-9.8K0.0070.84N/AN/A30010,9791,921
2009-01-15$14.89$15.0051.3%14.7%39.7%16.4%51.4%7.7%2.1%914.0K-2.7M-8.9K0.0065.53N/AN/A284010,7901,921
2009-01-16$15.01$15.0050.6%14.5%36.3%15.9%0.0%8.8%2.2%6.6M-4.4M-8.2K0.2763.09N/AN/A81722010,8161,921
2009-01-20$14.05$15.0052.3%15.0%41.8%17.1%52.3%4.8%1.6%25.0K-62.5K-6.2K0.0080.71N/AN/A2501,7951,102
2009-01-21$14.66$15.0050.7%14.5%45.0%16.0%50.6%11.6%2.8%29.7K-229.8K-6.2K5.4578.45N/AN/A11601,8201,052
2009-01-22$13.90$15.0052.2%15.0%47.7%17.1%0.0%3.2%1.0%25.0K33.6K-5.8K0.0077.55N/AN/A201,8311,082
2009-01-23$13.80$15.0050.6%14.5%47.6%16.0%0.0%7.0%2.4%24.9K61.3K-5.8K0.0056.71N/AN/A1801,8331,082
2009-01-26$14.03$15.0054.6%15.7%48.5%18.8%55.0%7.8%-0.8%25.7K22.2K-5.7K0.0034.68N/AN/A15101,8331,082
2009-01-27$14.42$15.0051.9%14.9%49.9%16.9%51.8%7.6%2.3%32.8K-148.5K-6.1K3.0038.08N/AN/A5151,9021,082
2009-01-28$14.73$15.0053.8%15.4%50.8%18.2%0.0%4.4%-0.4%36.1K-467.9K-6.2K0.0055.59N/AN/A17201,9001,087
2009-01-29$14.52$15.0052.9%15.2%49.1%17.5%0.0%6.0%-0.0%36.1K-301.1K-6.2K0.0039.39N/AN/A001,9491,087
2009-01-30$14.50$15.0049.2%14.1%47.7%15.0%49.2%5.9%3.1%38.5K-233.1K-6.0K0.1740.24N/AN/A86151,9491,087