CSGS Options History — June 2007

In June 2007, CSGS traded between $26.24 and $28.22. ATM implied volatility averaged 25.4%. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 4.0% (HV 20d: 21.5%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 2.69.

Notable Days

  • 2007-06-19: Highest Volume — 84 contracts
  • 2007-06-13: Largest IV spike — 29.1% change
  • 2007-06-25: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.88$26.24$28.22$28.22$26.51
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV25.4%19.5%37.1%21.3%25.8%
Expected Move7.3%6.1%8.0%6.1%7.4%
HV 20d21.5%19.0%24.1%24.1%19.0%
HV 60d21.5%20.3%22.2%20.3%22.2%
Term Structure1.2%-1.1%3.3%-1.1%1.9%
VWIV24.7%24.7%24.7%24.7%24.7%
Skew 25d2.6%1.8%3.3%2.1%3.3%
Skew 10d4.8%3.5%5.6%4.2%5.6%
Call IV 25d23.6%23.1%24.3%23.1%23.3%
Put IV 25d26.2%25.2%27.3%25.2%26.5%
Bid-Ask Spread %27.9614.9440.7425.3122.12
Gamma HHI0.370.360.430.430.37
Net GEX307.2K290.8K360.0K360.0K303.2K
Net DEX-13.1M-16.6M-11.8M-16.6M-12.2M
Net VEX-84.1K-87.9K-81.2K-87.9K-82.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.690.0030.000.910.00
Total Volume14.619084210
Total OI13,644.90513,06914,11614,09213,149

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$28.22$25.0021.3%6.1%24.1%0.0%0.0%2.1%-1.1%360.0K-16.6M-87.9K0.9125.31N/AN/A11109,9204,172
2007-06-04$27.83$25.0019.5%6.9%22.2%0.0%0.0%2.3%-0.1%332.9K-15.0M-85.7K0.0022.87N/AN/A4509,9104,182
2007-06-05$27.38$25.0023.7%7.4%21.0%0.0%0.0%2.7%0.2%319.2K-14.1M-86.1K0.0030.55N/AN/A009,9004,182
2007-06-06$27.15$25.0022.9%7.5%20.8%0.0%0.0%2.4%0.2%310.0K-13.6M-85.3K0.0026.40N/AN/A0109,9004,182
2007-06-07$26.54$25.0019.9%7.3%22.2%0.0%0.0%2.7%1.3%290.8K-12.4M-87.3K0.0035.30N/AN/A0109,9004,182
2007-06-08$26.87$25.0022.9%7.2%22.2%0.0%0.0%2.8%1.1%303.1K-13.1M-84.3K0.0030.59N/AN/A059,9004,192
2007-06-11$26.67$25.0027.3%7.3%21.8%0.0%0.0%2.9%1.1%301.4K-12.7M-84.1K0.0031.59N/AN/A709,9004,195
2007-06-12$26.66$25.0028.7%7.7%20.7%0.0%0.0%3.0%0.9%296.3K-12.6M-84.4K30.0034.46N/AN/A1309,9004,195
2007-06-13$27.03$25.0037.1%7.6%21.4%0.0%0.0%2.7%1.7%305.2K-13.3M-84.7K0.0038.73N/AN/A009,9014,215
2007-06-14$27.02$25.0026.7%7.6%21.2%0.0%0.0%2.6%0.3%304.0K-13.6M-84.9K0.0026.91N/AN/A009,9014,215
2007-06-15$26.97$25.0026.3%7.5%21.2%0.0%0.0%2.7%-0.5%308.9K-13.4M-83.3K0.0040.74N/AN/A709,9014,215
2007-06-18$27.12$25.0025.6%7.3%21.2%0.0%0.0%2.2%3.3%305.6K-13.8M-84.1K0.0031.72N/AN/A509,1703,899
2007-06-19$27.16$25.0025.6%7.3%21.2%0.0%0.0%2.7%0.4%312.2K-13.6M-84.2K0.4236.47N/AN/A59259,1703,899
2007-06-20$26.46$25.0025.4%7.3%22.7%0.0%0.0%3.0%2.9%301.0K-12.2M-82.3K0.0023.41N/AN/A3109,2273,909
2007-06-21$26.89$25.0025.2%7.2%23.5%0.0%24.7%2.3%2.9%305.9K-12.8M-83.0K0.0021.73N/AN/A1609,2583,909
2007-06-22$26.49$25.0025.7%7.4%21.9%0.0%0.0%2.3%2.7%296.8K-12.0M-84.4K0.0022.81N/AN/A009,2693,909
2007-06-25$26.24$25.0027.9%8.0%21.3%0.0%0.0%1.8%-0.7%296.4K-11.8M-81.4K1.0014.94N/AN/A10109,2693,909
2007-06-26$26.35$25.0025.6%7.3%21.2%0.0%0.0%2.1%2.5%293.4K-12.0M-82.7K0.0018.14N/AN/A709,2603,919
2007-06-27$26.31$25.0025.6%7.3%20.4%0.0%0.0%2.7%2.4%294.5K-11.9M-82.0K0.0017.51N/AN/A809,2603,919
2007-06-28$26.63$25.0025.7%7.4%20.1%0.0%0.0%3.0%0.9%309.4K-12.5M-81.2K0.0034.78N/AN/A009,2603,919
2007-06-29$26.51$25.0025.8%7.4%19.0%0.0%0.0%3.3%1.9%303.2K-12.2M-82.1K0.0022.12N/AN/A009,2603,889