CSGS Options History — July 2009

In July 2009, CSGS traded between $13.55 and $16.93. ATM implied volatility averaged 35.7%, placing in the 6.5% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 3.6% (HV 20d: 32.1%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 7.67.

Notable Days

  • 2009-07-16: Highest Volume — 763 contracts
  • 2009-07-29: Largest IV drop — 30.4% change
  • 2009-07-15: Highest IV Rank — 20.5%
  • 2009-07-10: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.29$13.55$16.93$13.91$16.68
Max Pain$13.75$12.50$15.00$12.50$15.00
ATM IV35.7%26.4%55.7%26.4%33.1%
Expected Move10.7%7.6%13.2%7.6%9.5%
HV 20d32.1%26.9%50.0%29.7%49.7%
HV 60d31.9%26.2%37.6%37.6%37.2%
IV Rank6.5%0.0%20.5%0.0%4.7%
IV Percentile9.4%0.0%69.4%0.0%3.6%
Term Structure0.5%-4.2%19.5%19.5%-2.1%
VWIV37.1%30.8%44.4%40.8%33.2%
Skew 25d6.8%1.6%13.3%7.5%1.6%
Skew 10d13.0%3.1%20.8%16.4%13.0%
Call IV 25d37.1%28.1%41.0%39.5%35.8%
Put IV 25d43.9%37.3%48.5%47.0%37.4%
Bid-Ask Spread %57.1332.6297.4170.6640.30
Gamma HHI0.340.300.390.370.30
Net GEX824-5.1K6.6K6265.1K
Net DEX-30.8K-451.1K145.5K84.8K-421.1K
Net VEX-3.7K-4.7K-2.3K-4.4K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.670.0057.690.000.02
Total Volume60.9550763046
Total OI1,722.9091,3352,1002,0431,428

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-07-01$13.91$12.5026.4%7.6%29.7%0.0%0.0%7.5%19.5%62684.8K-4.4K0.0070.66N/AN/A007171,326
2009-07-02$13.96$12.5030.2%8.7%29.5%2.7%0.0%6.9%17.1%3.9K71.0K-4.7K0.0097.41N/AN/A0117171,326
2009-07-06$14.15$15.0032.8%11.9%29.6%4.5%0.0%6.6%-1.3%5.2K14.8K-4.6K0.0044.54N/AN/A107171,327
2009-07-07$13.88$15.0027.7%11.7%29.8%0.9%0.0%7.4%-1.0%2.6K64.5K-4.6K0.0039.69N/AN/A007161,327
2009-07-08$13.84$15.0033.4%11.8%29.1%4.9%0.0%7.3%-0.5%79395.1K-4.7K0.0045.09N/AN/A007161,327
2009-07-09$13.69$15.0034.1%12.8%29.1%5.4%0.0%6.6%0.0%-3.0K125.9K-4.6K0.0032.62N/AN/A007161,327
2009-07-10$13.55$15.0035.5%13.2%29.0%6.4%0.0%7.6%-2.2%-5.1K145.5K-4.7K0.0045.95N/AN/A007161,327
2009-07-13$14.02$15.0042.0%11.4%31.8%10.9%40.8%6.9%-2.1%17686.0K-4.0K0.0047.40N/AN/A407161,327
2009-07-14$13.92$15.0044.3%12.1%31.4%12.6%0.0%6.7%-2.4%80285.6K-4.4K0.0050.63N/AN/A007201,327
2009-07-15$13.68$15.0055.7%12.4%30.9%20.5%43.7%7.5%-4.2%-4.6K128.1K-4.4K0.0360.15N/AN/A6127201,327
2009-07-16$13.83$15.0039.0%11.2%31.1%8.8%44.4%5.9%-0.6%-1.5K80.3K-4.4K57.6945.09N/AN/A137507711,329
2009-07-17$13.74$12.5043.4%12.4%31.2%11.9%36.4%5.2%-3.4%-2.4K25.6K-3.5K16.6751.80N/AN/A15250764915
2009-07-20$13.80$12.5031.5%9.0%30.4%3.6%0.0%4.1%3.2%-1.1K1.5K-3.2K0.0068.10N/AN/A00565823
2009-07-21$13.80$12.5032.9%9.4%29.2%4.6%0.0%12.1%-3.5%-1.1K3.2K-3.2K0.1055.70N/AN/A101565823
2009-07-22$13.92$12.5034.1%9.8%27.6%5.4%0.0%4.6%-0.7%-476-16.9K-3.3K0.0053.11N/AN/A00575824
2009-07-23$14.01$12.5036.1%10.4%27.4%6.8%33.2%4.5%-1.3%1.4K-76.8K-3.1K0.0059.42N/AN/A100575760
2009-07-24$14.04$12.5036.5%10.5%26.9%7.1%0.0%13.0%0.3%1.5K-79.0K-3.0K0.0062.81N/AN/A00581760
2009-07-27$14.34$12.5036.5%10.5%27.3%7.1%0.0%3.6%-3.3%1.9K-110.9K-2.9K0.0074.24N/AN/A00581760
2009-07-28$14.40$12.5040.8%11.7%27.1%10.1%0.0%4.2%-3.3%2.2K-122.6K-3.0K0.0068.03N/AN/A00577760
2009-07-29$16.31$12.5028.4%8.2%50.0%1.4%34.2%13.3%2.7%6.6K-411.9K-2.3K1.6393.15N/AN/A4167577760
2009-07-30$16.93$15.0030.8%8.8%48.9%3.1%30.8%6.0%0.5%4.6K-451.1K-2.6K0.5550.92N/AN/A3821577815
2009-07-31$16.68$15.0033.1%9.5%49.7%4.7%33.2%1.6%-2.1%5.1K-421.1K-2.5K0.0240.30N/AN/A451592836