CSGS Options History — November 2009

In November 2009, CSGS traded between $15.94 and $19.36. ATM implied volatility averaged 29.7%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 0.2% (HV 20d: 29.9%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.13.

Notable Days

  • 2009-11-30: Highest Volume — 502 contracts
  • 2009-11-30: Largest IV spike — 79.4% change
  • 2009-11-30: Highest IV Rank — 25.1%
  • 2009-11-30: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.93$15.94$19.36$15.98$19.36
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV29.7%21.2%39.6%35.4%39.6%
Expected Move8.7%6.1%11.4%10.1%11.4%
HV 20d29.9%23.1%67.2%23.1%67.2%
HV 60d26.2%24.6%42.9%25.3%42.9%
IV Rank10.7%0.0%25.1%13.4%25.1%
IV Percentile10.2%0.0%44.0%22.2%44.0%
Term Structure3.0%-9.5%12.8%-0.2%-3.0%
VWIV30.5%22.1%38.4%35.2%38.4%
Skew 25d3.0%-8.6%26.0%6.5%-8.6%
Skew 10d3.2%-3.9%39.6%4.0%0.1%
Call IV 25d28.4%22.6%39.7%26.2%39.7%
Put IV 25d31.5%22.7%50.0%32.7%31.1%
Bid-Ask Spread %60.3625.4892.3780.4463.36
Gamma HHI0.410.360.440.360.44
Net GEX19.1K15.7K22.9K16.2K15.7K
Net DEX-825.6K-1.3M-553.5K-556.4K-1.3M
Net VEX-2.2K-2.8K-1.5K-2.7K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.130.001.000.000.05
Total Volume46.4050256502
Total OI1,955.21,8341,9991,9621,874

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$15.98$15.0035.4%10.1%23.1%13.4%0.0%6.5%-0.2%16.2K-556.4K-2.7K0.0080.44N/AN/A560969993
2009-11-03$16.23$15.0034.3%9.8%23.4%11.8%0.0%9.6%8.6%18.3K-644.4K-2.8K0.0049.33N/AN/A001,005993
2009-11-04$15.94$15.0036.2%10.4%24.0%14.6%0.0%9.4%-2.2%17.7K-578.2K-2.7K0.0080.00N/AN/A001,005993
2009-11-05$16.52$15.0021.2%6.1%27.0%0.0%0.0%12.1%12.8%18.6K-768.4K-2.6K0.0092.37N/AN/A3101,005993
2009-11-06$16.61$15.0024.4%8.7%26.9%4.4%0.0%11.2%4.9%19.5K-785.6K-2.5K0.0040.65N/AN/A001,004993
2009-11-09$17.05$15.0028.9%8.9%28.3%10.5%0.0%2.5%3.5%20.2K-920.8K-2.3K0.0043.01N/AN/A001,004993
2009-11-10$16.96$15.0029.6%9.1%28.4%11.5%35.2%1.7%3.0%20.0K-896.1K-2.3K0.0040.12N/AN/A01501,004993
2009-11-11$16.99$15.0032.1%9.2%28.2%14.8%32.2%0.3%1.5%22.9K-918.9K-2.2K0.0039.75N/AN/A1201,004928
2009-11-12$16.85$15.0030.6%8.8%28.5%12.8%30.6%0.8%4.4%21.9K-897.6K-2.2K0.0053.12N/AN/A060998928
2009-11-13$16.99$15.0030.2%8.7%27.8%12.2%30.2%-1.5%4.0%18.9K-867.8K-2.2K0.0090.07N/AN/A100998988
2009-11-16$17.41$15.0031.0%8.9%28.8%13.3%0.0%2.8%-7.5%19.3K-989.8K-2.1K0.0053.00N/AN/A801,008988
2009-11-17$17.30$15.0030.2%8.7%29.0%12.2%0.0%0.7%6.4%19.6K-972.6K-2.1K0.0067.90N/AN/A001,008988
2009-11-18$17.30$15.0030.4%8.7%28.9%12.6%0.0%0.7%-9.5%19.9K-961.9K-2.1K0.0068.60N/AN/A001,008988
2009-11-19$16.83$15.0029.0%8.3%30.5%10.7%22.1%-3.9%5.0%19.2K-841.0K-2.1K0.0053.08N/AN/A031,008988
2009-11-20$16.83$15.0029.0%8.3%29.6%10.6%24.8%-3.5%5.4%19.0K-843.3K-2.1K0.0354.28N/AN/A3511,008991
2009-11-23$17.35$15.0026.5%7.6%29.6%7.2%0.0%26.0%5.2%18.5K-820.4K-1.8K1.0025.48N/AN/A2020911923
2009-11-24$16.98$15.0028.1%8.1%30.1%9.4%0.0%-1.2%4.3%19.0K-717.1K-2.0K0.0072.51N/AN/A00931943
2009-11-25$16.82$15.0025.4%7.3%28.8%5.6%0.0%-0.7%5.8%19.0K-681.8K-1.9K0.0052.95N/AN/A00931943
2009-11-27$16.35$15.0022.1%6.3%30.4%1.2%0.0%-3.9%7.9%18.1K-553.5K-1.9K0.0087.13N/AN/A020931943
2009-11-30$19.36$15.0039.6%11.4%67.2%25.1%38.4%-8.6%-3.0%15.7K-1.3M-1.5K0.0563.36N/AN/A48022931943