CSGS Options History — June 2009

In June 2009, CSGS traded between $12.92 and $14.69. ATM implied volatility averaged 38.9%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 13.2% (HV 20d: 25.7%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 5.65.

Notable Days

  • 2009-06-23: Highest Volume — 942 contracts
  • 2009-06-25: Largest IV drop — 20.9% change
  • 2009-06-24: Highest IV Rank — 12.4%
  • 2009-06-24: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.88$12.92$14.69$14.13$13.24
Max Pain$12.95$12.50$15.00$15.00$12.50
ATM IV38.9%33.7%44.9%41.0%43.2%
Expected Move11.3%10.0%12.9%11.7%12.4%
HV 20d25.7%21.9%28.3%26.9%23.6%
HV 60d41.1%36.5%46.2%46.0%36.5%
IV Rank8.2%4.5%12.4%9.6%11.2%
IV Percentile9.8%2.8%25.8%10.7%18.7%
Term Structure3.5%-2.4%17.5%-0.4%1.3%
VWIV40.4%36.7%44.9%36.7%39.6%
Skew 25d5.6%-5.7%14.2%-3.7%8.5%
Skew 10d11.5%-5.4%29.2%0.9%16.3%
Call IV 25d38.7%28.6%41.6%39.9%39.5%
Put IV 25d44.3%34.3%50.0%36.2%48.0%
Bid-Ask Spread %54.4841.7186.5558.1472.05
Gamma HHI0.490.330.660.390.34
Net GEX8.5K-4.0K17.2K6.6K-2.1K
Net DEX-68.2K-245.0K172.7K-106.1K151.3K
Net VEX-2.9K-5.0K-1.7K-2.4K-4.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.650.0037.500.261.00
Total Volume83.818094200
Total OI1,368.9098462,0431,0682,043

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-06-01$14.13$15.0041.0%11.7%26.9%9.6%0.0%-3.7%-0.4%6.6K-106.1K-2.4K0.0058.14N/AN/A00683385
2009-06-02$14.46$15.0036.6%10.5%27.6%6.5%36.7%2.0%2.4%8.2K-122.1K-2.3K0.2657.84N/AN/A19050683385
2009-06-03$14.20$15.0040.7%11.7%28.2%9.5%0.0%-5.7%-0.0%12.4K-182.4K-2.8K0.0066.14N/AN/A00873415
2009-06-04$14.34$15.0040.3%11.6%28.3%9.2%0.0%-5.5%1.4%12.5K-197.0K-2.7K0.0041.86N/AN/A100873415
2009-06-05$14.52$12.5037.5%11.2%27.5%7.2%39.5%0.2%-1.9%15.9K-244.7K-2.7K0.0045.22N/AN/A20873415
2009-06-08$14.69$12.5037.5%11.2%27.1%7.2%0.0%2.7%1.4%17.2K-245.0K-2.5K0.0049.68N/AN/A00835410
2009-06-09$14.39$12.5037.9%12.1%26.9%7.5%0.0%6.7%-2.4%15.0K-220.6K-2.5K0.0052.74N/AN/A100835410
2009-06-10$14.25$12.5033.7%10.4%26.7%4.5%0.0%11.2%5.0%14.5K-142.7K-2.4K0.0049.88N/AN/A00845410
2009-06-11$14.38$12.5039.6%11.4%21.9%8.7%0.0%7.1%1.4%17.2K-213.8K-2.4K0.0044.62N/AN/A00845405
2009-06-12$14.34$12.5038.0%10.9%22.1%7.6%38.2%9.0%3.1%16.6K-147.8K-2.3K0.0049.74N/AN/A40845405
2009-06-15$14.11$12.5036.8%10.5%23.2%6.7%0.0%5.9%4.2%13.7K-98.9K-2.2K0.0053.58N/AN/A00849405
2009-06-16$13.78$12.5034.7%10.0%24.7%5.2%0.0%7.2%0.6%9.7K-77.8K-2.1K0.0063.31N/AN/A00849405
2009-06-17$13.76$12.5039.0%11.2%24.7%8.2%0.0%7.8%2.5%9.2K-58.1K-2.1K0.0057.67N/AN/A00849405
2009-06-18$13.79$12.5037.8%10.8%24.6%7.4%0.0%7.5%1.0%9.6K-49.5K-2.1K0.0058.73N/AN/A00849405
2009-06-19$13.52$12.5042.3%12.1%24.8%10.6%0.0%7.6%2.8%7.2K-36.5K-2.0K0.0057.24N/AN/A00849405
2009-06-22$13.23$12.5042.3%12.1%26.1%10.6%0.0%8.0%3.9%6.0K-56.7K-1.9K0.0049.21N/AN/A00576270
2009-06-23$12.92$12.5043.6%12.5%25.6%11.5%43.5%9.7%2.0%4.6K-25.7K-1.7K6.4842.06N/AN/A126816576270
2009-06-24$13.09$12.5044.9%12.9%25.9%12.4%44.9%14.2%1.4%-989130.5K-4.3K37.5045.28N/AN/A166006911,086
2009-06-25$13.32$12.5035.5%10.2%26.5%5.8%0.0%8.1%17.5%-4.0K172.7K-4.7K0.0041.71N/AN/A007071,316
2009-06-26$13.53$12.5035.9%10.3%27.0%6.1%39.6%6.9%16.2%-745138.0K-5.0K1.0086.55N/AN/A10107071,316
2009-06-29$13.45$12.5036.7%10.5%25.1%6.7%0.0%6.7%14.0%-1.4K133.7K-5.0K0.0055.25N/AN/A007171,326
2009-06-30$13.24$12.5043.2%12.4%23.6%11.2%0.0%8.5%1.3%-2.1K151.3K-4.8K0.0072.05N/AN/A007171,326