CSGS Options History — September 2009

In September 2009, CSGS traded between $14.63 and $16.03. ATM implied volatility averaged 34.7%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 7.2% (HV 20d: 27.5%). 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 20 of 21 days. Put/call ratio averaged 0.40.

Notable Days

  • 2009-09-16: Highest Volume — 282 contracts
  • 2009-09-08: Largest IV spike — 15.1% change
  • 2009-09-15: Highest IV Rank — 8.6%
  • 2009-09-15: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.30$14.63$16.03$14.88$16.01
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV34.7%27.8%38.6%35.4%27.8%
Expected Move10.0%8.0%11.1%10.2%8.0%
HV 20d27.5%24.9%30.1%29.7%25.6%
HV 60d38.0%36.9%38.6%38.0%36.9%
IV Rank5.9%1.1%8.6%6.4%1.1%
IV Percentile15.6%2.4%25.4%14.7%2.4%
Term Structure4.3%-0.9%13.2%1.0%7.2%
VWIV37.0%34.1%42.4%35.3%35.8%
Skew 25d5.9%2.1%15.4%3.5%4.6%
Skew 10d4.0%-7.4%26.1%-2.6%8.6%
Call IV 25d34.2%24.3%39.0%37.1%34.2%
Put IV 25d40.1%37.6%42.3%40.6%38.8%
Bid-Ask Spread %74.6827.31119.8087.53119.80
Gamma HHI0.400.290.660.320.31
Net GEX14.8K5.8K30.2K6.9K14.7K
Net DEX-342.6K-515.2K-157.8K-214.3K-509.8K
Net VEX-2.9K-3.6K-2.2K-2.7K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.003.333.330.00
Total Volume300282132
Total OI1,665.811,4661,9801,4661,799

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$14.88$15.0035.4%10.2%29.7%6.4%35.3%3.5%1.0%6.9K-214.3K-2.7K3.3387.53N/AN/A310670796
2009-09-02$14.63$15.0032.5%9.3%27.1%4.4%0.0%3.2%3.6%5.8K-157.8K-2.7K0.00103.53N/AN/A00673796
2009-09-03$14.74$15.0032.7%9.4%27.3%4.5%0.0%2.7%3.6%5.8K-160.5K-2.6K0.0072.77N/AN/A10673796
2009-09-04$14.94$15.0033.1%10.0%26.9%4.8%0.0%2.3%3.7%6.0K-197.0K-2.4K0.0073.74N/AN/A30674796
2009-09-08$14.88$15.0038.1%10.8%26.9%8.3%37.8%3.2%1.9%7.2K-195.5K-2.6K0.0027.31N/AN/A1180677796
2009-09-09$15.30$15.0033.4%9.8%27.7%5.0%34.1%2.6%4.6%15.4K-353.0K-2.2K0.0041.89N/AN/A100766796
2009-09-10$15.40$15.0036.1%10.3%25.3%6.9%0.0%3.2%4.3%30.2K-404.8K-2.2K0.0092.80N/AN/A00772796
2009-09-11$15.04$15.0035.8%10.3%26.3%6.7%35.8%3.5%4.6%16.4K-310.8K-2.7K0.0075.34N/AN/A10772796
2009-09-14$14.85$15.0036.9%10.6%25.6%7.4%0.0%2.6%1.5%17.7K-251.1K-2.6K0.0029.97N/AN/A20772796
2009-09-15$14.69$15.0038.6%11.1%25.4%8.6%0.0%2.6%-0.9%17.1K-211.1K-2.5K0.0046.52N/AN/A1000772796
2009-09-16$14.74$15.0034.2%9.8%24.9%5.6%0.0%13.3%3.7%22.8K-291.4K-2.9K1.1455.08N/AN/A132150872796
2009-09-17$15.41$15.0035.1%10.1%30.0%6.2%42.4%12.3%10.3%23.5K-428.8K-3.0K0.0080.13N/AN/A3001,004946
2009-09-18$15.26$15.0036.8%10.6%30.1%7.4%36.8%2.1%2.7%24.9K-408.2K-3.6K0.0049.11N/AN/A1001,034946
2009-09-21$15.30$15.0037.3%10.7%27.8%7.7%0.0%14.1%1.8%11.0K-309.9K-3.5K0.0088.04N/AN/A00880879
2009-09-22$15.73$15.0036.9%10.6%29.0%7.5%37.6%15.4%2.2%12.8K-407.0K-3.4K1.3346.56N/AN/A34880879
2009-09-23$15.75$15.0037.0%10.6%28.9%7.5%0.0%4.5%2.6%13.4K-444.6K-3.3K0.0093.96N/AN/A50883883
2009-09-24$15.75$15.0036.0%10.3%28.9%6.8%35.8%6.5%3.2%13.6K-443.9K-3.3K0.0769.77N/AN/A141888883
2009-09-25$15.90$15.0032.8%9.4%28.9%4.6%0.0%14.0%11.0%15.3K-468.4K-3.1K0.00104.68N/AN/A00891884
2009-09-28$16.03$15.0031.1%8.9%28.6%3.4%0.0%2.9%5.1%14.3K-515.2K-3.2K0.55107.96N/AN/A2011891884
2009-09-29$16.00$15.0031.1%8.9%26.3%3.4%0.0%4.9%13.2%15.2K-511.7K-3.2K0.00101.86N/AN/A00904895
2009-09-30$16.01$15.0027.8%8.0%25.6%1.1%0.0%4.6%7.2%14.7K-509.8K-3.2K0.00119.80N/AN/A20904895