CSGS Options History — December 2009

In December 2009, CSGS traded between $18.08 and $19.43. ATM implied volatility averaged 33.8%, placing in the 26.0% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 26.9% (HV 20d: 60.7%). 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 18 of 22 days. Put/call ratio averaged 0.07.

Notable Days

  • 2009-12-02: Highest Volume — 334 contracts
  • 2009-12-04: Largest IV spike — 15.0% change
  • 2009-12-08: Highest IV Rank — 37.6%
  • 2009-12-04: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.72$18.08$19.43$18.85$19.09
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV33.8%27.0%41.0%36.9%27.0%
Expected Move9.5%7.7%10.8%10.6%7.7%
HV 20d60.7%20.7%68.0%67.5%20.7%
HV 60d42.8%42.3%43.5%43.3%42.7%
IV Rank26.0%14.2%37.6%21.4%14.2%
IV Percentile25.1%3.2%49.6%37.3%3.2%
Term Structure2.1%-1.5%6.0%-1.5%4.0%
VWIV30.9%24.2%36.2%36.2%28.1%
Skew 25d-2.3%-10.4%4.3%-0.8%-10.4%
Skew 10d-0.3%-17.3%48.4%1.0%-17.3%
Call IV 25d33.8%28.6%38.8%37.7%33.1%
Put IV 25d31.5%22.8%37.0%37.0%22.8%
Bid-Ask Spread %33.9916.9067.7134.3321.52
Gamma HHI0.730.540.860.600.83
Net GEX44.9K32.2K57.8K46.0K42.7K
Net DEX-1.3M-1.6M-1.0M-1.5M-1.1M
Net VEX-3.2K-3.9K-2.5K-2.5K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.070.000.550.020.00
Total Volume38.72703342245
Total OI2,556.2272,0812,9162,3152,109

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-12-01$18.85$15.0036.9%10.6%67.5%21.4%36.2%-0.8%-1.5%46.0K-1.5M-2.5K0.0234.33N/AN/A22041,370945
2009-12-02$18.54$15.0034.3%9.8%68.0%17.8%24.2%-0.8%3.3%52.5K-1.4M-2.6K0.3563.57N/AN/A247871,550949
2009-12-03$18.27$15.0033.9%9.7%67.8%17.3%0.0%-5.9%-0.4%53.4K-1.4M-3.8K0.0067.71N/AN/A0301,7971,036
2009-12-04$18.62$15.0039.0%10.8%67.1%24.2%33.7%2.7%-0.5%57.8K-1.5M-3.9K0.5533.07N/AN/A20111,7971,057
2009-12-07$18.39$15.0040.0%10.1%67.4%25.6%0.0%-2.8%1.7%54.7K-1.5M-3.8K0.0018.97N/AN/A0101,8171,067
2009-12-08$18.22$15.0041.0%10.3%67.1%37.6%0.0%-2.9%0.3%51.0K-1.4M-3.8K0.0033.77N/AN/A001,8171,077
2009-12-09$18.19$15.0039.7%10.6%67.1%35.3%0.0%-1.1%-0.2%49.9K-1.3M-3.6K0.0033.72N/AN/A801,8171,077
2009-12-10$18.08$15.0035.3%10.1%67.2%31.8%0.0%-3.3%1.6%45.4K-1.3M-3.5K0.0031.52N/AN/A501,8231,077
2009-12-11$18.21$15.0035.3%10.1%67.0%33.7%0.0%-1.1%2.2%46.5K-1.3M-3.4K0.0045.14N/AN/A1001,8281,077
2009-12-14$18.47$15.0036.1%10.3%67.1%36.7%0.0%0.7%0.3%42.3K-1.4M-3.3K0.0021.66N/AN/A101,8381,077
2009-12-15$18.17$15.0035.8%10.3%67.1%36.2%0.0%-1.5%0.5%37.2K-1.3M-3.2K0.0019.41N/AN/A001,8391,077
2009-12-16$18.67$15.0035.2%10.1%67.6%34.5%32.4%2.8%1.2%44.1K-1.5M-3.2K0.0116.90N/AN/A13011,8391,077
2009-12-17$18.78$15.0032.5%9.3%67.5%28.0%0.0%1.7%2.8%53.0K-1.6M-3.2K0.0048.24N/AN/A401,8251,078
2009-12-18$18.95$15.0032.6%9.4%66.5%28.2%0.0%-1.0%3.2%32.2K-1.6M-3.1K0.0030.27N/AN/A001,8251,078
2009-12-21$19.16$15.0028.9%8.3%66.5%19.1%28.1%4.3%5.2%37.5K-1.1M-3.0K0.0025.60N/AN/A301,157924
2009-12-22$18.88$15.0029.6%8.5%66.3%20.7%0.0%1.6%3.0%34.2K-1.0M-2.9K0.0029.85N/AN/A001,159924
2009-12-23$19.16$15.0029.5%8.5%65.6%20.5%0.0%-7.0%3.1%37.4K-1.1M-2.9K0.0031.83N/AN/A001,159924
2009-12-24$19.25$15.0027.5%7.9%65.4%15.5%0.0%-5.8%6.0%41.3K-1.1M-2.9K0.0035.31N/AN/A001,159924
2009-12-28$19.43$15.0030.6%8.8%64.1%23.3%0.0%-5.9%3.1%43.3K-1.2M-2.8K0.0035.29N/AN/A001,159924
2009-12-29$19.19$15.0032.2%9.2%23.1%27.1%0.0%-8.3%2.0%40.8K-1.1M-2.8K0.0034.47N/AN/A4001,159924
2009-12-30$19.34$15.0030.9%8.9%21.1%23.9%0.0%-5.8%4.7%43.3K-1.2M-2.8K0.0035.64N/AN/A1601,177924
2009-12-31$19.09$15.0027.0%7.7%20.7%14.2%0.0%-10.4%4.0%42.7K-1.1M-2.8K0.0021.52N/AN/A501,185924