CSGS Options History — October 2007

In October 2007, CSGS traded between $20.02 and $21.69. ATM implied volatility averaged 36.4%, placing in the 49.8% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 7.9% (HV 20d: 28.5%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 0.57.

Notable Days

  • 2007-10-03: Highest Volume — 1,153 contracts
  • 2007-10-11: Largest IV spike — 49.8% change
  • 2007-10-29: Highest IV Rank — 65.4%
  • 2007-10-29: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.81$20.02$21.69$21.36$20.53
Max Pain$20.43$20.00$22.50$22.50$20.00
ATM IV36.4%26.0%43.1%27.2%41.4%
Expected Move10.8%7.8%12.4%7.8%11.9%
HV 20d28.5%23.5%30.7%23.5%25.3%
HV 60d39.8%35.3%42.6%41.1%35.3%
IV Rank49.8%25.4%65.4%28.2%61.4%
IV Percentile84.9%49.5%96.1%58.3%93.8%
Term Structure-1.2%-5.7%4.1%3.6%-4.2%
VWIV37.8%23.7%41.8%23.7%40.1%
Skew 25d3.8%1.7%6.5%2.0%6.5%
Skew 10d10.7%5.5%20.4%8.5%18.9%
Call IV 25d33.6%30.6%36.7%30.8%32.1%
Put IV 25d37.4%32.8%39.6%32.8%38.6%
Bid-Ask Spread %22.3112.7735.0935.0932.11
Gamma HHI0.300.270.320.290.30
Net GEX165.9K133.5K208.3K198.4K139.3K
Net DEX-2.7M-4.0M-1.5M-3.4M-2.0M
Net VEX-50.1K-55.6K-45.1K-51.0K-45.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.002.502.500.00
Total Volume167.43511,15314110
Total OI13,875.56512,82814,42312,82814,335

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-10-01$21.36$22.5027.2%7.8%23.5%28.2%0.0%2.0%3.6%198.4K-3.4M-51.0K2.5035.09N/AN/A4109,0683,760
2007-10-02$21.69$22.5027.6%7.9%24.5%29.1%0.0%2.3%2.9%208.3K-4.0M-53.5K1.3332.86N/AN/A30409,0723,770
2007-10-03$20.70$22.5033.8%9.7%29.0%43.6%23.7%2.7%3.7%172.7K-2.5M-49.2K2.0015.21N/AN/A3847699,1023,809
2007-10-04$20.72$22.5032.0%9.2%29.0%39.3%0.0%2.6%4.1%162.1K-2.4M-51.4K0.0015.72N/AN/A4009,4864,333
2007-10-05$20.90$20.0032.6%10.4%28.2%40.7%0.0%2.7%-1.7%170.1K-2.7M-52.4K0.9312.77N/AN/A14139,4864,333
2007-10-08$21.05$20.0033.7%10.7%28.1%43.3%0.0%2.5%-1.0%175.3K-3.0M-53.7K0.0014.39N/AN/A1009,4874,343
2007-10-09$21.07$20.0026.1%10.7%27.7%25.6%0.0%3.2%-1.9%175.2K-3.0M-52.3K0.0015.72N/AN/A1009,4774,343
2007-10-10$21.12$20.0026.0%10.5%27.8%25.4%0.0%2.7%-0.4%179.7K-3.2M-54.2K0.0019.37N/AN/A0209,4874,343
2007-10-11$21.19$20.0039.0%11.2%27.6%55.7%0.0%3.3%-0.7%178.2K-3.2M-53.1K0.0019.23N/AN/A5009,4874,353
2007-10-12$21.41$20.0037.0%10.6%27.9%51.0%0.0%5.1%-0.9%191.4K-3.7M-55.6K0.5028.48N/AN/A20109,5374,353
2007-10-15$21.05$20.0040.5%11.6%28.5%59.4%0.0%3.2%-2.2%170.4K-3.0M-52.8K0.0014.59N/AN/A1009,5404,363
2007-10-16$20.24$20.0039.5%11.3%29.9%56.9%39.3%2.1%-1.9%137.3K-1.7M-46.9K0.0213.64N/AN/A28059,5404,363
2007-10-17$20.02$20.0038.6%11.1%29.4%54.9%38.6%2.9%-2.0%138.5K-1.5M-45.7K2.4019.12N/AN/A501209,7204,341
2007-10-18$20.35$20.0038.8%11.1%30.2%55.3%38.8%1.7%-1.6%155.6K-2.1M-48.2K0.0020.56N/AN/A1309,7704,331
2007-10-19$20.06$20.0039.3%11.3%29.5%56.4%38.8%3.8%-1.8%144.8K-1.7M-45.3K0.0031.10N/AN/A309,7734,331
2007-10-22$20.39$20.0039.0%11.2%30.5%55.9%39.2%4.1%-0.9%156.3K-2.3M-47.4K0.0429.38N/AN/A12059,5914,234
2007-10-23$20.63$20.0041.8%12.0%28.7%62.3%41.8%4.9%-3.4%171.6K-2.6M-48.2K1.6529.29N/AN/A4066719,7054,234
2007-10-24$21.25$20.0039.4%11.3%30.7%56.7%39.6%4.3%-2.9%183.4K-3.8M-52.3K0.0523.10N/AN/A408209,7524,671
2007-10-25$21.00$20.0039.6%11.4%30.6%57.3%0.0%6.3%-1.8%162.8K-3.1M-50.1K0.0823.29N/AN/A125109,5254,661
2007-10-26$20.99$20.0040.0%11.5%29.4%58.2%40.1%5.9%-1.9%165.3K-3.2M-50.5K0.0022.72N/AN/A1009,6184,671
2007-10-29$20.55$20.0043.1%12.4%30.2%65.4%0.0%6.4%-5.7%144.7K-2.2M-47.8K1.0023.59N/AN/A30309,6204,671
2007-10-30$20.30$20.0041.8%12.0%29.7%62.4%0.0%5.5%-4.3%133.5K-1.8M-45.9K0.0021.80N/AN/A109,6484,701
2007-10-31$20.53$20.0041.4%11.9%25.3%61.4%0.0%6.5%-4.2%139.3K-2.0M-45.1K0.0032.11N/AN/A11009,6494,686