CSGS Options History — October 2009

In October 2009, CSGS traded between $15.75 and $16.62. ATM implied volatility averaged 36.4%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 16.0% (HV 20d: 20.4%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.08.

Notable Days

  • 2009-10-28: Highest Volume — 165 contracts
  • 2009-10-12: Largest IV spike — 57.7% change
  • 2009-10-14: Highest IV Rank — 28.4%
  • 2009-10-27: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.13$15.75$16.62$15.75$16.34
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV36.4%26.2%51.2%35.0%26.2%
Expected Move10.6%7.5%12.2%10.0%7.5%
HV 20d20.4%13.3%25.6%25.6%21.8%
HV 60d32.9%24.9%37.1%37.1%25.1%
IV Rank11.1%0.0%28.4%6.2%0.0%
IV Percentile23.7%0.0%65.1%17.5%0.0%
Term Structure-0.1%-3.9%8.7%8.6%0.2%
VWIV36.9%25.9%43.7%38.3%25.9%
Skew 25d6.5%-0.4%15.5%5.2%9.6%
Skew 10d7.7%-6.2%20.1%8.5%7.3%
Call IV 25d30.4%22.8%35.8%35.0%24.5%
Put IV 25d36.8%32.2%40.2%40.1%34.1%
Bid-Ask Spread %60.8737.33107.45107.4579.33
Gamma HHI0.330.300.370.310.37
Net GEX14.3K10.8K18.1K14.1K17.3K
Net DEX-522.6K-789.0K-420.7K-454.0K-690.1K
Net VEX-2.7K-3.2K-2.4K-3.2K-2.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.080.000.830.000.00
Total Volume26.5016500
Total OI1,785.4091,7041,9621,7991,962

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-10-01$15.75$15.0035.0%10.0%25.6%6.2%0.0%5.2%8.6%14.1K-454.0K-3.2K0.00107.45N/AN/A00904895
2009-10-02$15.90$15.0032.5%9.3%25.6%4.4%0.0%13.6%8.7%16.8K-471.9K-3.0K0.0060.55N/AN/A50904895
2009-10-05$16.04$15.0030.0%11.0%25.4%2.6%0.0%4.6%2.6%14.8K-517.3K-3.0K0.0037.82N/AN/A10904895
2009-10-06$16.25$15.0030.9%11.1%25.5%3.3%38.3%3.8%0.7%15.3K-564.6K-2.9K0.0048.19N/AN/A10903895
2009-10-07$16.09$15.0031.9%11.0%24.4%4.0%0.0%2.4%-2.9%15.1K-540.7K-3.0K0.0067.50N/AN/A00904895
2009-10-08$15.98$15.0032.3%10.7%24.5%4.3%0.0%2.8%1.0%15.5K-545.0K-2.9K0.0055.30N/AN/A270904895
2009-10-09$16.13$15.0029.9%11.3%22.7%2.6%0.0%4.7%-0.4%13.1K-493.6K-2.9K0.0049.25N/AN/A100872895
2009-10-12$16.09$15.0047.2%11.3%22.0%14.6%0.0%3.1%-1.5%13.8K-493.1K-2.7K0.0043.33N/AN/A01862895
2009-10-13$16.06$15.0041.8%11.0%21.4%17.7%37.4%2.9%-0.4%12.6K-485.1K-2.7K0.0037.33N/AN/A50862895
2009-10-14$16.23$15.0051.2%10.8%21.6%28.4%0.0%4.4%0.5%13.3K-522.8K-2.6K0.0039.32N/AN/A00867895
2009-10-15$16.24$15.0039.6%11.3%15.7%15.2%0.0%2.7%-3.0%14.0K-541.0K-2.6K0.0048.68N/AN/A110867895
2009-10-16$16.00$15.0036.4%10.4%16.3%11.6%0.0%4.3%1.3%14.3K-510.6K-2.6K0.0076.74N/AN/A02878895
2009-10-19$16.02$15.0040.3%11.6%16.3%16.0%0.0%15.5%-1.0%11.8K-421.8K-2.7K0.0059.57N/AN/A00811893
2009-10-20$16.00$15.0040.0%11.5%13.3%15.7%0.0%2.6%-3.2%12.6K-431.7K-2.5K0.0046.82N/AN/A110811893
2009-10-21$15.92$15.0036.8%10.5%13.4%12.0%0.0%11.9%-0.2%12.8K-425.0K-2.6K0.0041.87N/AN/A01822893
2009-10-22$16.19$15.0040.4%11.6%14.6%16.2%34.1%10.4%-2.6%13.6K-479.2K-2.5K0.0075.07N/AN/A40822892
2009-10-23$15.90$15.0037.7%10.8%15.8%16.7%0.0%6.7%-2.4%13.0K-420.7K-2.5K0.0078.29N/AN/A00822892
2009-10-26$16.40$15.0037.0%10.6%19.1%15.6%43.7%-0.4%-3.3%14.8K-538.1K-2.4K0.8345.55N/AN/A8671822892
2009-10-27$16.15$15.0042.7%12.2%20.0%24.0%42.2%8.9%-3.9%10.8K-461.6K-2.6K0.0865.85N/AN/A13210837963
2009-10-28$16.62$15.0030.9%8.9%22.3%6.9%25.9%11.4%-0.8%18.1K-789.0K-2.5K0.1496.68N/AN/A14520964973
2009-10-29$16.49$15.0030.1%8.6%21.6%5.7%0.0%11.2%-0.1%16.9K-699.4K-2.7K0.0078.65N/AN/A400951993
2009-10-30$16.34$15.0026.2%7.5%21.8%0.0%0.0%9.6%0.2%17.3K-690.1K-2.7K0.0079.33N/AN/A00969993