CSGS Options History — August 2007

In August 2007, CSGS traded between $20.96 and $25.66. ATM implied volatility averaged 41.5%, placing in the 73.8% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 14.9% (HV 20d: 56.4%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 1.14.

Notable Days

  • 2007-08-10: Highest Volume — 997 contracts
  • 2007-08-08: Largest IV spike — 41.4% change
  • 2007-08-06: Highest IV Rank — 100.0%
  • 2007-08-13: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.26$20.96$25.66$25.66$23.12
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV41.5%31.6%57.9%36.7%36.6%
Expected Move11.1%9.1%13.1%10.5%10.5%
HV 20d56.4%42.5%65.4%42.5%49.2%
HV 60d37.9%28.7%40.6%28.8%40.1%
IV Rank73.8%38.6%100.0%98.4%50.3%
IV Percentile95.1%83.4%100.0%99.3%90.4%
Term Structure-3.0%-7.1%-0.2%-5.1%-1.8%
VWIV37.9%31.5%43.7%33.7%36.8%
Skew 25d4.7%-0.8%9.9%3.4%-0.6%
Skew 10d5.5%-6.1%20.1%5.6%-6.1%
Call IV 25d34.0%26.5%41.9%27.6%32.9%
Put IV 25d38.7%30.4%49.1%30.9%32.3%
Bid-Ask Spread %22.5411.7445.8018.2023.14
Gamma HHI0.310.250.360.360.32
Net GEX236.0K147.9K314.8K282.2K222.7K
Net DEX-6.9M-10.6M-2.5M-10.6M-6.2M
Net VEX-70.8K-77.4K-55.8K-77.3K-67.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.005.000.000.00
Total Volume133.39109971510
Total OI14,001.30413,32614,71113,32614,552

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-08-01$25.66$25.0036.7%10.5%42.5%98.4%0.0%3.4%-5.1%282.2K-10.6M-77.3K0.0018.20N/AN/A1509,5103,816
2007-08-02$25.56$25.0034.0%9.7%42.5%86.0%0.0%3.9%-3.5%281.6K-10.5M-77.4K5.0011.74N/AN/A10509,5253,816
2007-08-03$23.99$25.0037.0%10.6%47.6%99.9%0.0%4.9%-4.0%240.5K-7.3M-72.5K0.0028.16N/AN/A009,5353,866
2007-08-06$24.23$25.0038.5%9.6%47.9%100.0%0.0%5.8%-1.9%240.1K-7.8M-74.6K0.0015.61N/AN/A1009,5353,866
2007-08-07$23.80$25.0033.9%9.3%48.2%80.2%0.0%5.6%-1.2%231.0K-6.9M-71.6K0.0014.33N/AN/A009,5353,866
2007-08-08$21.35$25.0047.9%11.0%60.5%100.0%33.7%4.1%-4.4%156.3K-3.0M-60.1K1.6332.17N/AN/A40659,5353,826
2007-08-09$20.96$25.0049.4%11.9%58.9%100.0%0.0%9.9%-5.0%147.9K-2.5M-55.8K0.4345.80N/AN/A115509,5753,830
2007-08-10$22.01$25.0051.3%11.9%62.9%100.0%39.2%4.4%-4.4%177.7K-4.3M-65.1K0.0132.20N/AN/A987109,6753,850
2007-08-13$22.76$25.0057.9%13.1%64.7%100.0%42.5%8.4%-7.1%263.9K-6.7M-71.1K0.1521.11N/AN/A4957310,4813,860
2007-08-14$22.44$25.0054.4%12.9%64.7%91.9%43.7%6.9%-5.2%314.8K-6.6M-71.1K0.2417.28N/AN/A1253010,9043,807
2007-08-15$22.52$25.0052.1%12.9%64.8%86.4%40.7%7.5%-4.9%273.4K-6.4M-71.3K0.0018.26N/AN/A0510,6793,807
2007-08-16$22.73$25.0044.9%12.9%65.1%69.5%40.4%8.2%-4.7%302.0K-7.0M-72.5K1.3540.56N/AN/A202710,6793,810
2007-08-17$23.11$25.0043.4%12.4%65.4%66.0%0.0%6.7%-2.5%275.0K-7.9M-73.0K0.0022.65N/AN/A28010,6983,828
2007-08-20$23.10$25.0041.7%11.9%65.3%62.0%34.3%2.0%-1.3%211.7K-7.0M-72.3K5.0020.80N/AN/A105010,0643,798
2007-08-21$23.25$25.0042.5%12.2%64.6%64.0%40.8%5.1%-1.9%219.8K-7.2M-72.5K0.3721.27N/AN/A271010,0743,808
2007-08-22$23.43$25.0040.9%11.7%59.2%60.2%36.7%5.8%-3.2%224.2K-7.3M-71.9K0.3225.82N/AN/A311010,0813,818
2007-08-23$23.50$25.0038.9%11.1%54.3%55.6%38.9%4.4%-2.3%230.0K-7.4M-71.5K1.2323.25N/AN/A17121010,1023,828
2007-08-24$23.82$25.0033.1%9.5%54.0%41.9%0.0%3.8%-0.9%229.2K-8.1M-73.4K0.0015.18N/AN/A60010,2734,028
2007-08-27$23.78$25.0031.6%9.1%53.9%38.6%31.5%4.4%-0.2%231.1K-8.1M-73.2K3.1714.54N/AN/A309510,3334,028
2007-08-28$23.07$25.0036.1%10.4%54.3%49.1%0.0%-0.8%-1.9%218.5K-6.3M-70.1K2.7423.85N/AN/A195210,3634,102
2007-08-29$23.48$25.0035.9%10.3%53.8%48.5%34.1%2.6%-1.0%226.2K-7.1M-71.3K0.0018.13N/AN/A128010,3824,130
2007-08-30$23.35$25.0036.3%10.4%53.8%49.5%0.0%2.1%-0.9%228.2K-6.9M-70.4K0.0014.32N/AN/A0010,4224,130
2007-08-31$23.12$25.0036.6%10.5%49.2%50.3%36.8%-0.6%-1.8%222.7K-6.2M-67.8K0.0023.14N/AN/A10010,4224,130