CSGS Options History — May 2007

In May 2007, CSGS traded between $26.81 and $27.96. ATM implied volatility averaged 21.3%. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 3.4% (HV 20d: 24.7%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.77.

Notable Days

  • 2007-05-22: Highest Volume — 504 contracts
  • 2007-05-07: Largest IV spike — 64.3% change
  • 2007-05-01: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.27$26.81$27.96$26.98$27.80
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV21.3%15.2%30.8%30.8%28.7%
Expected Move6.3%4.3%8.8%8.8%8.2%
HV 20d24.7%19.3%28.1%22.8%23.6%
HV 60d20.9%19.5%21.8%20.8%20.4%
Term Structure3.3%-7.2%11.6%-7.2%-4.3%
VWIV26.9%23.7%32.3%32.3%24.5%
Skew 25d2.4%2.1%3.0%2.3%2.1%
Skew 10d4.4%3.8%5.1%4.2%4.5%
Call IV 25d23.2%22.2%23.9%22.2%23.3%
Put IV 25d25.6%24.5%26.5%24.5%25.4%
Bid-Ask Spread %22.284.7237.0630.0423.69
Gamma HHI0.370.340.410.340.41
Net GEX299.1K266.8K349.1K266.8K349.1K
Net DEX-13.7M-15.5M-12.7M-12.7M-15.5M
Net VEX-86.9K-89.9K-84.1K-84.5K-87.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.002.610.361.00
Total Volume79.505049460
Total OI13,383.40912,84514,03212,84514,032

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$26.98$25.0030.8%8.8%22.8%0.0%32.3%2.3%-7.2%266.8K-12.7M-84.5K0.3630.04N/AN/A69258,8014,044
2007-05-02$27.02$25.0018.1%5.2%22.8%0.0%0.0%2.2%5.5%272.7K-12.9M-84.1K0.007.52N/AN/A0208,8454,044
2007-05-03$27.11$25.0018.4%5.3%22.7%0.0%0.0%2.4%5.6%273.7K-13.1M-85.8K0.006.70N/AN/A008,8454,064
2007-05-04$27.96$25.0016.4%6.8%24.5%0.0%23.7%2.3%-1.2%293.7K-14.9M-84.9K0.0025.72N/AN/A6908,8454,064
2007-05-07$27.26$25.0026.9%7.4%26.6%0.0%0.0%2.3%0.1%267.4K-13.4M-85.7K1.3822.43N/AN/A40558,8634,064
2007-05-08$27.56$25.0021.6%6.9%26.6%0.0%24.5%2.5%-0.9%275.5K-14.0M-85.2K2.1427.97N/AN/A28608,8604,119
2007-05-09$27.56$25.0022.7%7.0%26.2%0.0%0.0%2.5%-1.1%306.6K-14.4M-89.0K0.0028.49N/AN/A5609,3454,171
2007-05-10$27.16$25.0025.5%7.3%27.1%0.0%0.0%2.6%1.6%292.0K-13.6M-89.9K0.0025.57N/AN/A709,3634,171
2007-05-11$27.51$25.0018.5%5.3%27.2%0.0%0.0%2.2%-0.4%308.6K-14.4M-88.8K0.0031.62N/AN/A01009,3634,171
2007-05-14$26.98$25.0023.3%6.7%28.1%0.0%0.0%2.3%5.4%289.0K-13.0M-87.9K0.0018.39N/AN/A009,3634,197
2007-05-15$26.99$25.0025.5%7.3%27.8%0.0%0.0%2.5%0.5%291.2K-13.1M-88.3K0.0031.23N/AN/A009,3634,197
2007-05-16$27.20$25.0025.0%7.2%26.6%0.0%0.0%2.5%1.1%299.4K-13.6M-87.7K0.0036.68N/AN/A009,3634,197
2007-05-17$27.11$25.0019.5%5.6%26.7%0.0%0.0%2.3%11.5%297.6K-13.4M-86.8K0.0037.06N/AN/A809,3634,197
2007-05-18$27.07$25.0019.5%5.6%25.6%0.0%0.0%2.1%11.6%294.6K-13.2M-87.0K0.0025.86N/AN/A009,3554,197
2007-05-21$27.22$25.0015.2%4.3%24.5%0.0%0.0%2.6%8.1%300.3K-13.5M-87.2K0.0023.69N/AN/A01109,2563,972
2007-05-22$27.49$25.0017.1%4.9%24.4%0.0%0.0%2.4%8.0%305.0K-14.2M-84.9K0.0024.02N/AN/A50409,2563,930
2007-05-23$27.58$25.0020.6%5.9%19.3%0.0%0.0%2.1%-0.7%343.3K-14.8M-88.3K0.0024.04N/AN/A009,6963,930
2007-05-24$26.81$25.0023.5%6.8%21.7%0.0%0.0%2.4%3.2%311.1K-12.8M-87.5K0.0024.64N/AN/A009,6963,930
2007-05-25$27.23$25.0016.5%4.7%22.4%0.0%0.0%3.0%9.0%312.0K-13.9M-86.5K0.004.94N/AN/A009,6963,930
2007-05-29$26.99$25.0017.0%4.9%22.7%0.0%0.0%2.5%10.0%307.6K-13.3M-86.6K2.614.72N/AN/A23609,6963,930
2007-05-30$27.38$25.0018.7%5.4%23.1%0.0%0.0%2.7%7.3%322.5K-13.9M-86.4K1.005.12N/AN/A2272289,6773,974
2007-05-31$27.80$25.0028.7%8.2%23.6%0.0%0.0%2.1%-4.3%349.1K-15.5M-87.9K1.0023.69N/AN/A30309,8904,142