CSGS Options History — January 2007

In January 2007, CSGS traded between $24.27 and $26.76. ATM implied volatility averaged 28.5%. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 2.2% (HV 20d: 26.2%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 0.72.

Notable Days

  • 2007-01-22: Highest Volume — 1,048 contracts
  • 2007-01-24: Largest IV drop — 17.9% change
  • 2007-01-23: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.72$24.27$26.76$26.06$25.08
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV28.5%23.6%32.4%29.9%23.6%
Expected Move8.1%6.8%9.2%8.6%6.8%
HV 20d26.2%25.4%27.3%26.1%25.4%
Term Structure-2.0%-4.0%-0.6%-0.6%-0.7%
VWIV28.1%24.2%31.7%29.9%24.2%
Skew 25d2.8%-3.1%5.3%4.8%3.2%
Skew 10d4.7%-6.6%7.9%4.8%6.5%
Call IV 25d24.7%21.5%31.8%25.2%21.6%
Put IV 25d27.5%24.6%32.6%29.9%24.8%
Bid-Ask Spread %22.698.9540.558.9514.53
Gamma HHI0.350.290.450.320.37
Net GEX188.2K156.1K245.7K161.2K228.2K
Net DEX-9.5M-11.4M-6.8M-9.5M-8.4M
Net VEX-75.5K-84.5K-71.8K-75.9K-77.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.004.610.500.02
Total Volume242.9591,04830235
Total OI11,086.2510,46511,95210,58111,891

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$26.06$25.0029.9%8.6%0.0%0.0%29.9%4.8%-0.6%161.2K-9.5M-75.9K0.508.95N/AN/A20106,9793,602
2007-01-04$26.50$25.0029.7%8.5%0.0%0.0%29.5%5.3%-0.8%169.6K-10.3M-74.8K0.0013.32N/AN/A2206,9963,525
2007-01-05$26.17$0.0030.4%8.4%0.0%0.0%29.3%4.4%-2.2%169.4K-9.9M-75.7K2.2039.77N/AN/A5117,0173,525
2007-01-08$26.09$25.0032.4%8.4%0.0%0.0%0.0%3.5%-2.4%168.2K-9.8M-73.9K1.7927.82N/AN/A53957,0123,536
2007-01-09$26.24$25.0029.8%8.5%0.0%0.0%0.0%1.6%-2.0%158.8K-10.0M-75.6K0.0040.55N/AN/A907,0453,631
2007-01-10$26.04$25.0030.2%8.2%0.0%0.0%0.0%0.2%-1.6%156.1K-9.8M-75.4K0.0029.20N/AN/A1907,0533,623
2007-01-11$26.06$25.0028.3%8.1%0.0%0.0%28.3%0.8%-2.2%157.8K-9.8M-75.2K0.0927.85N/AN/A225207,0683,623
2007-01-12$26.54$25.0028.6%8.2%0.0%0.0%29.4%-3.1%-2.1%177.7K-11.1M-73.8K0.0020.28N/AN/A2407,2503,641
2007-01-16$26.76$25.0029.0%8.3%0.0%0.0%0.0%2.5%-2.4%176.5K-11.4M-73.5K0.0031.53N/AN/A23507,2653,641
2007-01-17$26.43$25.0029.8%8.5%0.0%0.0%29.8%2.9%-2.6%180.2K-11.0M-73.6K0.0016.15N/AN/A18407,2803,641
2007-01-18$25.83$25.0030.1%8.6%0.0%0.0%30.1%3.1%-2.4%207.6K-10.5M-73.5K0.7731.19N/AN/A52407,4543,641
2007-01-19$25.82$25.0030.0%8.6%0.0%0.0%0.0%3.2%-3.2%208.6K-10.4M-73.3K0.3129.84N/AN/A32107,5043,651
2007-01-22$25.70$25.0030.7%8.8%0.0%0.0%30.7%3.4%-3.4%202.5K-9.3M-73.2K0.079.85N/AN/A975737,0173,448
2007-01-23$25.75$25.0032.0%9.2%0.0%0.0%31.7%2.9%-4.0%245.7K-11.4M-84.5K4.6110.46N/AN/A1225638,3033,516
2007-01-24$24.53$25.0026.3%7.5%0.0%0.0%26.3%3.5%-1.9%178.6K-7.8M-78.5K1.4529.50N/AN/A2403487,8213,919
2007-01-25$24.27$25.0024.3%7.0%26.1%0.0%24.3%3.5%-1.1%198.5K-6.8M-74.2K0.6833.83N/AN/A110757,6483,884
2007-01-26$24.80$25.0025.4%7.3%27.3%0.0%25.4%3.4%-2.1%202.2K-7.6M-71.8K0.5310.66N/AN/A5112737,3843,830
2007-01-29$24.76$25.0024.5%7.0%26.4%0.0%24.5%2.5%-1.2%207.7K-7.6M-77.9K0.5514.28N/AN/A117647,8854,024
2007-01-30$24.98$25.0024.2%6.9%26.0%0.0%24.2%3.9%-1.0%209.9K-8.0M-78.0K0.8514.17N/AN/A47407,9164,036
2007-01-31$25.08$25.0023.6%6.8%25.4%0.0%0.0%3.2%-0.7%228.2K-8.4M-77.3K0.0214.53N/AN/A23057,9253,966