CSGS Options History — April 2007

In April 2007, CSGS traded between $24.68 and $27.01. ATM implied volatility averaged 24.3%. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 8.1% (HV 20d: 16.2%). 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 4 of 20 days. Put/call ratio averaged 0.78.

Notable Days

  • 2007-04-25: Highest Volume — 2,289 contracts
  • 2007-04-12: Largest IV spike — 20.5% change
  • 2007-04-24: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.58$24.68$27.01$24.99$26.78
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV24.3%18.3%30.0%19.5%29.9%
Expected Move7.1%5.3%8.6%5.6%8.6%
HV 20d16.2%12.6%23.6%15.4%22.8%
HV 60d20.6%19.0%21.1%21.1%20.8%
Term Structure-0.8%-4.4%5.8%4.7%-4.4%
VWIV25.7%21.7%30.0%23.8%26.4%
Skew 25d3.1%2.5%3.6%3.2%2.7%
Skew 10d5.2%4.1%6.5%5.2%4.1%
Call IV 25d20.9%20.0%22.2%20.4%21.7%
Put IV 25d24.0%23.3%25.2%23.6%24.3%
Bid-Ask Spread %20.568.3949.9514.1723.26
Gamma HHI0.330.310.340.330.33
Net GEX213.7K190.1K274.0K199.4K274.0K
Net DEX-8.6M-12.6M-6.9M-7.6M-12.3M
Net VEX-71.4K-89.1K-66.8K-69.5K-85.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.003.530.280.00
Total Volume180.6502,2890435
Total OI11,538.9511,21013,13511,21013,130

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$24.99$25.0019.5%5.6%15.4%0.0%0.0%3.2%4.7%199.4K-7.6M-69.5K0.0014.17N/AN/A007,4793,731
2007-04-03$25.09$25.0020.0%5.7%14.1%0.0%0.0%3.6%4.4%201.0K-7.6M-69.7K0.0013.38N/AN/A007,4793,731
2007-04-04$25.02$25.0018.3%5.3%13.3%0.0%0.0%3.5%5.8%198.6K-7.5M-69.2K0.0015.67N/AN/A007,4793,731
2007-04-05$25.02$25.0019.6%5.6%13.3%0.0%0.0%3.5%4.4%196.9K-7.4M-68.1K0.0011.35N/AN/A007,4793,731
2007-04-09$24.84$25.0020.5%6.8%13.6%0.0%23.8%2.9%-1.2%192.1K-7.0M-68.2K0.2822.01N/AN/A1857,4793,731
2007-04-10$24.91$25.0020.9%7.0%13.6%0.0%24.4%3.3%-1.7%193.3K-7.2M-68.2K0.0033.80N/AN/A307,4883,731
2007-04-11$24.68$25.0019.9%6.9%13.2%0.0%0.0%3.3%-1.6%190.1K-6.9M-66.8K0.0023.17N/AN/A5007,4873,731
2007-04-12$24.89$25.0024.0%6.9%12.6%0.0%25.0%3.2%-1.8%194.3K-7.2M-67.3K0.2032.87N/AN/A1027,5313,731
2007-04-13$25.11$25.0024.0%6.9%12.8%0.0%0.0%3.1%-1.0%195.2K-7.4M-67.7K0.0028.75N/AN/A307,4913,733
2007-04-16$25.54$25.0026.0%7.5%13.3%0.0%21.7%3.0%-2.6%202.4K-8.2M-69.6K3.008.39N/AN/A137,4913,733
2007-04-17$25.88$25.0026.4%7.6%13.1%0.0%0.0%2.9%-2.9%213.3K-8.7M-67.9K0.8312.21N/AN/A657,4913,732
2007-04-18$25.37$25.0026.0%7.5%15.1%0.0%0.0%3.1%-2.4%206.1K-7.9M-68.3K0.0010.53N/AN/A907,4973,737
2007-04-19$25.39$25.0025.6%7.3%14.8%0.0%25.6%3.3%-1.7%203.0K-8.0M-68.3K0.0012.76N/AN/A0207,4963,737
2007-04-20$26.01$25.0026.9%7.7%16.9%0.0%26.8%3.3%-3.1%217.2K-9.0M-68.1K0.6813.08N/AN/A1621107,4963,757
2007-04-23$25.55$25.0027.0%7.7%18.3%0.0%27.0%3.1%-3.2%215.0K-8.3M-68.1K1.8211.08N/AN/A22407,6133,725
2007-04-24$25.87$25.0030.0%8.6%18.0%0.0%30.0%3.0%-3.5%212.3K-8.9M-69.6K3.5315.63N/AN/A752657,6223,760
2007-04-25$27.01$25.0026.7%7.7%23.3%0.0%26.3%2.5%-1.2%235.4K-10.9M-69.6K0.1749.95N/AN/A1,9493407,6923,854
2007-04-26$26.79$25.0027.1%7.8%23.6%0.0%26.1%2.9%-0.8%266.7K-12.6M-89.1K0.4023.20N/AN/A50209,0794,029
2007-04-27$26.77$25.0026.7%7.7%22.8%0.0%26.4%2.5%-2.7%267.8K-12.3M-88.2K0.0035.93N/AN/A0109,0864,049
2007-04-30$26.78$25.0029.9%8.6%22.8%0.0%0.0%2.7%-4.4%274.0K-12.3M-85.9K0.0023.26N/AN/A43509,0864,044