CSGS Options History — April 2009

In April 2009, CSGS traded between $13.70 and $15.41. ATM implied volatility averaged 49.5%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded below realized volatility by 4.8% (HV 20d: 54.3%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2009-04-29: Highest Volume — 50 contracts
  • 2009-04-09: Largest IV spike — 15.4% change
  • 2009-04-15: Highest IV Rank — 18.9%
  • 2009-04-15: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.59$13.70$15.41$14.36$14.50
Max Pain$14.76$12.50$15.00$12.50$15.00
ATM IV49.5%41.4%54.9%45.7%49.6%
Expected Move14.4%13.1%15.7%13.1%14.2%
HV 20d54.3%49.1%59.0%52.6%56.0%
HV 60d48.0%45.7%49.5%45.7%48.9%
IV Rank15.2%9.4%18.9%12.5%15.2%
IV Percentile49.8%15.9%69.0%36.1%47.6%
Term Structure-0.5%-3.7%3.7%3.7%-1.8%
VWIV46.7%39.3%51.3%39.3%49.5%
Skew 25d7.8%5.5%11.4%5.6%11.0%
Skew 10d16.6%6.8%34.0%25.7%11.9%
Call IV 25d46.8%40.9%49.4%49.4%42.7%
Put IV 25d54.6%52.3%58.2%55.0%53.7%
Bid-Ask Spread %44.8425.7865.8150.9225.78
Gamma HHI0.270.260.310.270.31
Net GEX4.4K3.1K6.3K3.6K6.3K
Net DEX-105.1K-150.8K-32.9K-62.7K-130.0K
Net VEX-2.6K-3.0K-2.3K-2.8K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume6050010
Total OI864.048825900890900

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-04-01$14.36$12.5045.7%13.1%52.6%12.5%0.0%5.6%3.7%3.6K-62.7K-2.8K0.0050.92N/AN/A00533357
2009-04-02$15.00$12.5047.9%13.7%53.6%14.0%39.3%8.3%0.9%4.5K-143.3K-3.0K0.0044.26N/AN/A010533357
2009-04-03$15.41$15.0043.2%13.8%54.0%10.7%0.0%5.5%0.9%4.4K-147.3K-2.9K0.0065.81N/AN/A00533367
2009-04-06$14.94$15.0047.2%14.1%49.5%13.5%0.0%7.6%1.3%4.5K-139.8K-3.0K0.0041.90N/AN/A00533367
2009-04-07$14.47$15.0047.7%14.3%50.7%13.9%0.0%6.7%-0.2%4.3K-111.4K-2.8K0.0048.07N/AN/A00533367
2009-04-08$14.67$15.0041.4%13.6%49.1%9.4%0.0%5.6%0.8%4.1K-103.5K-2.8K0.0065.77N/AN/A00533357
2009-04-09$15.08$15.0047.8%13.7%49.6%13.9%0.0%8.8%2.0%4.7K-145.3K-2.9K0.0049.32N/AN/A00533357
2009-04-13$14.88$15.0049.4%14.2%49.9%15.1%0.0%8.1%1.8%4.7K-150.8K-2.9K0.0058.26N/AN/A00533357
2009-04-14$13.70$15.0050.8%14.6%57.9%16.1%0.0%7.7%-1.8%3.8K-94.6K-2.6K0.0050.93N/AN/A05533357
2009-04-15$13.70$15.0054.9%15.7%57.7%18.9%0.0%8.4%-2.4%3.1K-32.9K-2.5K0.0031.34N/AN/A00533357
2009-04-16$14.65$15.0047.7%13.7%57.7%13.9%0.0%6.4%1.7%4.0K-82.0K-2.4K0.0060.86N/AN/A20509327
2009-04-17$14.95$15.0049.7%14.2%57.4%15.3%0.0%7.8%-0.7%5.5K-126.6K-2.5K0.0048.99N/AN/A00511327
2009-04-20$14.43$15.0050.7%14.5%59.0%16.0%0.0%6.2%-0.4%4.2K-96.6K-2.5K0.0029.73N/AN/A00498327
2009-04-21$14.89$15.0051.1%14.6%58.5%16.3%0.0%7.6%-0.2%4.5K-115.5K-2.5K0.0060.02N/AN/A00498327
2009-04-22$14.84$15.0052.3%15.0%54.9%17.1%0.0%11.0%-1.8%4.7K-120.5K-2.5K0.0037.03N/AN/A100498327
2009-04-23$14.52$15.0051.7%14.8%55.6%16.7%0.0%7.1%-0.5%4.3K-93.7K-2.4K0.0031.36N/AN/A03498327
2009-04-24$14.45$15.0053.2%15.3%54.5%17.8%0.0%8.3%-2.7%4.1K-80.2K-2.4K0.0032.87N/AN/A00498327
2009-04-27$14.39$15.0053.0%15.2%53.7%17.7%0.0%7.8%-3.6%4.1K-73.5K-2.3K0.0032.14N/AN/A180498327
2009-04-28$14.58$15.0054.3%15.6%53.8%18.6%0.0%8.1%-3.3%4.6K-87.2K-2.4K0.0038.29N/AN/A180514327
2009-04-29$13.97$15.0050.7%14.5%54.3%16.0%51.3%11.4%-3.7%4.0K-70.8K-2.3K0.0038.07N/AN/A500523327
2009-04-30$14.50$15.0049.6%14.2%56.0%15.2%49.5%11.0%-1.8%6.3K-130.0K-2.5K0.0025.78N/AN/A100573327