CSGS Options History — July 2007

In July 2007, CSGS traded between $24.37 and $27.09. ATM implied volatility averaged 28.5%, placing in the 62.5% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 6.4% (HV 20d: 22.1%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.41.

Notable Days

  • 2007-07-24: Highest Volume — 539 contracts
  • 2007-07-09: Largest IV spike — 38.8% change
  • 2007-07-30: Highest IV Rank — 97.2%
  • 2007-07-30: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.10$24.37$27.09$26.58$25.02
Max Pain$28.10$25.00$30.00$25.00$25.00
ATM IV28.5%16.3%36.5%26.0%36.1%
Expected Move8.6%6.9%10.5%7.5%10.4%
HV 20d22.1%15.2%41.3%18.7%41.3%
HV 60d23.1%19.5%29.2%22.2%28.7%
IV Rank62.5%5.3%97.2%49.1%95.6%
IV Percentile78.0%0.8%99.3%72.2%98.6%
Term Structure-2.3%-5.1%4.2%0.9%-5.0%
VWIV32.6%32.0%33.3%33.3%32.6%
Skew 25d3.2%2.5%3.6%2.6%2.6%
Skew 10d4.8%3.5%5.6%4.2%4.1%
Call IV 25d23.8%22.5%27.1%22.9%27.1%
Put IV 25d27.0%25.5%30.5%25.5%29.6%
Bid-Ask Spread %27.5611.3736.2530.3934.20
Gamma HHI0.370.350.460.370.36
Net GEX290.7K165.6K324.1K311.7K270.0K
Net DEX-11.2M-13.3M-5.2M-12.4M-9.3M
Net VEX-76.3K-80.8K-48.3K-79.4K-75.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.002.200.002.20
Total Volume44.33305392032
Total OI12,853.2866,37513,32613,14913,326

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-07-02$26.58$25.0026.0%7.5%18.7%0.0%0.0%2.6%0.9%311.7K-12.4M-79.4K0.0030.39N/AN/A2009,2603,889
2007-07-03$26.52$25.0024.2%6.9%17.9%0.0%0.0%2.6%4.2%306.7K-12.4M-79.3K0.0029.89N/AN/A209,2703,919
2007-07-05$26.50$25.0025.9%7.4%17.8%49.1%0.0%3.1%2.5%308.7K-12.2M-80.1K1.0029.16N/AN/A10109,2703,889
2007-07-06$26.67$30.0016.3%8.1%16.0%5.3%0.0%3.3%-1.9%314.2K-12.6M-79.3K0.0021.61N/AN/A009,2803,879
2007-07-09$26.55$30.0022.7%8.2%15.4%34.2%0.0%2.9%-2.4%308.5K-12.6M-79.2K0.0028.79N/AN/A309,2803,879
2007-07-10$26.44$30.0019.3%8.6%15.3%18.7%0.0%2.8%-4.7%307.0K-12.4M-79.1K0.0036.25N/AN/A909,2803,879
2007-07-11$26.38$30.0024.2%8.3%15.3%41.4%0.0%3.3%-2.9%298.7K-12.0M-80.8K0.0028.69N/AN/A909,2873,879
2007-07-12$27.09$30.0029.4%8.4%17.4%65.1%0.0%3.3%-2.1%324.1K-13.2M-78.8K0.0024.75N/AN/A009,2833,879
2007-07-13$26.83$30.0028.2%8.1%17.7%59.5%0.0%3.6%-1.7%317.1K-13.2M-79.3K0.0035.95N/AN/A009,2833,879
2007-07-16$26.65$30.0029.7%8.5%17.9%66.3%0.0%3.3%-3.0%165.6K-5.2M-48.3K0.0031.82N/AN/A004,9041,471
2007-07-17$26.60$30.0030.5%8.8%17.7%70.2%0.0%3.5%-3.9%317.4K-12.5M-76.7K0.0033.92N/AN/A009,2833,879
2007-07-18$26.54$30.0030.3%8.7%17.7%69.2%0.0%3.6%-3.0%314.0K-12.3M-77.2K0.0033.38N/AN/A309,2833,879
2007-07-19$26.37$30.0029.6%8.5%15.2%65.8%0.0%3.5%-2.8%311.8K-11.8M-76.1K0.0015.57N/AN/A009,2833,879
2007-07-20$25.79$30.0029.7%8.5%15.9%66.3%0.0%3.4%-2.5%284.0K-11.0M-77.4K0.0013.99N/AN/A2809,2833,879
2007-07-23$25.90$30.0029.6%8.5%15.3%65.7%0.0%3.6%-2.8%284.7K-10.9M-76.4K0.0011.37N/AN/A3009,2163,801
2007-07-24$25.04$30.0033.3%9.5%19.0%82.8%33.3%3.4%-5.1%258.6K-9.3M-75.1K1.1130.90N/AN/A2552849,2463,801
2007-07-25$26.78$25.0032.0%9.2%31.1%76.7%32.0%2.5%-3.1%324.1K-13.3M-78.7K0.6423.08N/AN/A47309,4613,754
2007-07-26$24.97$25.0032.4%9.3%40.0%78.8%0.0%3.6%-2.1%274.7K-9.4M-75.4K1.1036.09N/AN/A50559,4703,769
2007-07-27$24.37$25.0032.6%9.4%40.3%79.7%32.6%3.5%-1.3%246.6K-8.1M-74.7K0.0024.19N/AN/A409,4703,824
2007-07-30$24.58$25.0036.5%10.5%40.6%97.2%0.0%3.5%-4.8%257.1K-8.4M-75.0K0.0424.83N/AN/A4829,4703,824
2007-07-31$25.02$25.0036.1%10.4%41.3%95.6%0.0%2.6%-5.0%270.0K-9.3M-75.6K2.2034.20N/AN/A10229,5003,826