CSGS Options History — August 2009

In August 2009, CSGS traded between $15.07 and $16.50. ATM implied volatility averaged 31.2%, placing in the 3.4% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 16.9% (HV 20d: 48.1%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.05.

Notable Days

  • 2009-08-17: Highest Volume — 61 contracts
  • 2009-08-31: Largest IV spike — 26.2% change
  • 2009-08-12: Highest IV Rank — 6.7%
  • 2009-08-03: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.88$15.07$16.50$16.50$15.07
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV31.2%26.2%35.9%35.1%33.1%
Expected Move8.9%7.5%10.1%10.1%9.5%
HV 20d48.1%28.3%54.9%50.1%29.6%
HV 60d37.5%36.6%38.2%37.0%38.0%
IV Rank3.4%0.0%6.7%6.1%4.8%
IV Percentile4.4%0.0%10.3%6.3%9.5%
Term Structure8.2%-3.6%13.6%-3.6%3.3%
VWIV31.9%30.7%33.1%30.7%33.1%
Skew 25d3.7%2.7%4.9%3.4%3.8%
Skew 10d7.1%-0.9%12.4%11.2%-0.9%
Call IV 25d35.8%34.4%36.6%36.0%36.4%
Put IV 25d39.5%37.8%40.3%39.3%40.2%
Bid-Ask Spread %65.6439.74103.20103.2039.74
Gamma HHI0.290.260.340.260.34
Net GEX6.9K5.3K9.1K5.8K7.4K
Net DEX-332.1K-408.9K-231.1K-397.0K-231.1K
Net VEX-2.7K-2.9K-2.3K-2.8K-2.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.050.000.500.000.50
Total Volume9.7620613712
Total OI1,485.0481,4191,5291,4531,454

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$16.50$15.0035.1%10.1%50.1%6.1%0.0%3.4%-3.6%5.8K-397.0K-2.8K0.00103.20N/AN/A370616837
2009-08-04$16.48$15.0029.5%8.4%49.2%2.2%0.0%3.5%-0.3%7.0K-408.9K-2.9K0.0087.07N/AN/A00653837
2009-08-05$15.83$15.0030.6%8.8%52.1%3.0%0.0%4.9%1.1%6.2K-346.9K-2.9K0.0083.65N/AN/A70653837
2009-08-06$15.88$15.0032.6%9.3%51.7%4.3%0.0%4.2%6.6%5.7K-305.6K-2.9K0.0053.54N/AN/A00655837
2009-08-07$16.16$15.0031.4%9.4%51.4%3.5%0.0%4.1%8.6%6.7K-364.7K-2.9K0.0066.81N/AN/A03655837
2009-08-10$16.17$15.0028.2%8.7%50.6%1.3%0.0%3.9%10.8%7.1K-391.8K-2.7K0.0069.74N/AN/A010655840
2009-08-11$15.74$15.0033.8%8.6%51.8%5.2%0.0%3.3%13.2%5.8K-317.0K-2.8K0.0070.48N/AN/A00655850
2009-08-12$16.23$15.0035.9%9.6%51.7%6.7%30.7%3.1%8.1%6.7K-361.1K-2.8K0.0067.85N/AN/A30655850
2009-08-13$16.22$15.0030.6%8.8%51.8%3.0%0.0%3.5%11.6%7.0K-379.2K-2.7K0.0049.91N/AN/A10655850
2009-08-14$15.85$15.0031.1%8.9%52.7%3.3%0.0%3.8%12.4%6.4K-345.3K-2.7K0.0072.14N/AN/A160656850
2009-08-17$15.62$15.0033.9%9.7%53.3%5.3%0.0%3.9%5.1%5.4K-283.9K-2.8K0.0259.59N/AN/A601664850
2009-08-18$15.81$15.0029.8%8.6%53.3%2.4%0.0%3.6%12.5%6.6K-316.8K-2.7K0.0072.33N/AN/A00679850
2009-08-19$15.69$15.0034.4%9.9%53.5%5.7%0.0%4.7%4.2%6.1K-295.4K-2.7K0.0067.35N/AN/A00679850
2009-08-20$15.58$15.0034.1%9.8%53.7%5.4%0.0%2.8%3.7%5.3K-274.5K-2.6K0.0046.19N/AN/A00679850
2009-08-21$16.06$15.0030.7%8.8%54.4%3.0%0.0%4.6%12.4%9.1K-367.9K-2.3K0.0071.31N/AN/A00679850
2009-08-24$15.75$15.0030.3%8.7%54.9%2.8%0.0%3.5%12.8%8.0K-327.9K-2.6K0.0046.48N/AN/A320627792
2009-08-25$15.85$15.0027.1%7.8%54.9%0.5%0.0%3.4%13.5%8.4K-327.8K-2.6K0.0053.18N/AN/A00641792
2009-08-26$15.85$15.0028.5%8.2%31.8%1.5%0.0%3.0%10.3%8.5K-335.8K-2.5K0.0078.61N/AN/A110641792
2009-08-27$15.69$15.0027.3%7.8%28.4%0.6%0.0%3.4%12.1%8.1K-305.7K-2.6K0.0047.34N/AN/A00650792
2009-08-28$15.52$15.0026.2%7.5%28.3%0.0%0.0%2.7%13.6%8.2K-289.6K-2.7K0.0071.99N/AN/A120650792
2009-08-31$15.07$15.0033.1%9.5%29.6%4.8%33.1%3.8%3.3%7.4K-231.1K-2.7K0.5039.74N/AN/A84662792