CSGS Options History — March 2007

In March 2007, CSGS traded between $24.24 and $25.31. ATM implied volatility averaged 22.0%. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 0.9% (HV 20d: 21.1%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.55.

Notable Days

  • 2007-03-28: Highest Volume — 260 contracts
  • 2007-03-14: Largest IV spike — 16.7% change
  • 2007-03-06: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.78$24.24$25.31$24.75$25.02
Max Pain$24.77$22.50$25.00$22.50$25.00
ATM IV22.0%19.3%24.1%23.0%19.4%
Expected Move6.4%5.6%6.9%6.6%5.6%
HV 20d21.1%15.5%23.4%23.2%15.8%
HV 60d22.3%21.5%23.2%23.2%21.5%
Term Structure2.0%-0.3%4.2%-0.3%4.2%
VWIV22.6%20.8%23.7%23.0%20.8%
Skew 25d2.9%2.4%3.7%2.4%3.0%
Skew 10d5.2%4.2%6.5%5.2%5.3%
Call IV 25d21.7%20.3%22.8%21.9%20.3%
Put IV 25d24.6%23.2%25.8%24.3%23.2%
Bid-Ask Spread %21.4410.8235.0917.7713.01
Gamma HHI0.310.280.330.300.33
Net GEX183.6K156.8K203.4K203.4K197.9K
Net DEX-7.4M-7.9M-6.9M-7.6M-7.4M
Net VEX-71.4K-73.2K-69.0K-72.8K-69.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.550.0010.500.080.00
Total Volume53.455026003
Total OI11,390.18210,76011,88411,75811,207

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$24.75$22.5023.0%6.6%23.2%0.0%0.0%2.4%-0.3%203.4K-7.6M-72.8K0.0017.77N/AN/A007,8743,884
2007-03-02$24.47$22.5023.0%6.6%23.3%0.0%23.0%2.9%-0.3%192.0K-7.4M-73.1K0.0822.62N/AN/A5147,8743,884
2007-03-05$24.24$25.0024.1%6.7%23.4%0.0%0.0%3.7%0.7%193.0K-7.1M-72.4K0.4024.93N/AN/A527,8643,888
2007-03-06$24.68$25.0022.9%6.9%22.6%0.0%0.0%2.9%0.5%192.9K-7.6M-71.8K0.0026.61N/AN/A8607,8643,888
2007-03-07$24.38$25.0022.1%6.5%22.8%0.0%0.0%2.8%1.6%178.0K-7.1M-71.6K0.0021.09N/AN/A007,8333,888
2007-03-08$24.47$25.0022.5%6.7%22.7%0.0%0.0%2.6%0.8%174.9K-7.2M-70.8K0.0027.27N/AN/A007,8333,888
2007-03-09$24.54$25.0021.4%6.4%22.3%0.0%0.0%2.8%1.7%169.6K-7.3M-71.7K4.0023.39N/AN/A147,8333,888
2007-03-12$24.66$25.0022.0%6.6%21.5%0.0%22.9%2.6%0.9%170.3K-7.5M-70.6K1.4033.18N/AN/A10147,8343,890
2007-03-13$24.36$25.0019.3%6.8%22.0%0.0%0.0%2.7%0.8%169.4K-6.9M-70.0K0.0028.57N/AN/A0107,8443,898
2007-03-14$24.71$25.0022.5%6.8%22.0%0.0%0.0%2.6%1.6%169.8K-7.7M-73.2K0.0022.52N/AN/A507,8443,903
2007-03-15$24.85$25.0023.5%6.7%22.1%0.0%0.0%2.9%1.2%156.8K-7.8M-71.0K1.1827.28N/AN/A921097,8413,903
2007-03-16$24.58$25.0022.9%6.5%21.9%0.0%0.0%3.4%1.3%166.1K-7.2M-69.9K0.0035.09N/AN/A007,8744,010
2007-03-19$24.95$25.0023.7%6.8%22.6%0.0%0.0%3.2%2.3%177.2K-7.2M-72.4K1.4529.32N/AN/A981427,0643,696
2007-03-20$24.83$25.0023.7%6.8%22.2%0.0%23.7%2.9%2.3%178.1K-7.3M-73.2K10.5028.11N/AN/A2217,1553,645
2007-03-21$25.05$25.0022.1%6.3%21.3%0.0%0.0%2.9%2.9%195.5K-7.6M-71.1K4.0015.06N/AN/A251007,1573,647
2007-03-22$24.98$25.0020.8%6.0%21.3%0.0%20.8%2.6%3.9%187.6K-7.4M-70.8K0.7110.82N/AN/A45327,1823,737
2007-03-23$24.93$25.0020.8%6.0%21.3%0.0%0.0%2.8%3.8%186.7K-7.3M-71.7K0.0013.63N/AN/A0207,2273,731
2007-03-26$25.31$25.0021.5%6.2%22.0%0.0%0.0%2.4%3.5%192.2K-7.9M-72.2K0.0012.16N/AN/A1007,2273,741
2007-03-27$25.23$25.0021.1%6.1%16.0%0.0%0.0%2.8%3.6%197.0K-7.8M-69.9K1.0012.47N/AN/A10107,2273,741
2007-03-28$25.28$25.0021.3%6.1%15.5%0.0%0.0%2.7%3.0%197.1K-7.9M-71.1K0.0013.79N/AN/A26007,2333,731
2007-03-29$24.92$25.0019.9%5.7%16.4%0.0%0.0%3.0%3.8%194.6K-7.3M-70.1K0.0012.98N/AN/A507,4813,731
2007-03-30$25.02$25.0019.4%5.6%15.8%0.0%0.0%3.0%4.2%197.9K-7.4M-69.0K0.0013.01N/AN/A307,4763,731