CSGS Options History — November 2007

In November 2007, CSGS traded between $16.18 and $19.40. ATM implied volatility averaged 37.6%, placing in the 52.5% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 7.3% (HV 20d: 30.3%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.04.

Notable Days

  • 2007-11-16: Highest Volume — 1,556 contracts
  • 2007-11-12: Largest IV drop — 27.2% change
  • 2007-11-09: Highest IV Rank — 70.5%
  • 2007-11-26: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.86$16.18$19.40$19.30$16.57
Max Pain$20.00$17.50$22.50$20.00$17.50
ATM IV37.6%31.7%45.3%41.9%32.9%
Expected Move10.4%9.1%12.1%12.0%9.4%
HV 20d30.3%22.4%33.3%33.3%22.4%
HV 60d27.8%27.0%30.3%30.3%28.3%
IV Rank52.5%38.8%70.5%62.7%41.6%
IV Percentile83.2%66.8%97.2%95.2%70.9%
Term Structure1.4%-6.4%4.1%-6.4%2.7%
VWIV37.7%30.6%48.3%48.3%34.6%
Skew 25d5.2%2.3%10.1%3.7%9.0%
Skew 10d9.7%1.3%17.4%9.1%16.3%
Call IV 25d34.4%29.6%40.2%34.8%32.0%
Put IV 25d39.6%35.3%42.9%38.6%41.0%
Bid-Ask Spread %20.5812.4736.7736.7720.51
Gamma HHI0.220.170.280.280.17
Net GEX63.5K29.6K90.1K90.1K29.6K
Net DEX1.2M-14.9K2.3M-14.9K1.9M
Net VEX-34.4K-43.1K-26.4K-38.9K-28.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.033.481.000.06
Total Volume26741,5564198
Total OI15,115.28614,33015,68514,33515,685

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-11-01$19.30$20.0041.9%12.0%33.3%62.7%0.0%3.7%-6.4%90.1K-14.9K-38.9K1.0036.77N/AN/A229,6494,686
2007-11-02$19.40$20.0036.1%10.4%33.2%49.0%48.3%4.9%-1.5%85.1K1.9K-39.4K0.2131.20N/AN/A102219,6494,681
2007-11-05$19.13$22.5042.8%10.6%33.1%64.6%0.0%5.7%1.6%82.6K358.7K-37.0K2.5026.71N/AN/A401009,7114,701
2007-11-06$19.20$22.5040.6%10.4%33.2%59.4%0.0%5.3%-0.2%79.7K209.8K-38.9K0.0017.10N/AN/A0429,7114,763
2007-11-07$19.20$22.5040.9%10.5%33.1%60.3%0.0%5.2%1.3%75.4K189.2K-40.6K0.6828.11N/AN/A4132809,7114,793
2007-11-08$19.24$22.5039.1%10.1%33.1%56.1%0.0%4.8%1.0%78.3K-1.9K-43.1K0.2525.69N/AN/A401010,0845,063
2007-11-09$18.85$22.5045.3%9.9%33.0%70.5%0.0%2.8%2.7%71.9K793.4K-39.0K3.4823.09N/AN/A238010,1045,063
2007-11-12$18.81$22.5033.0%9.7%32.8%41.7%35.0%7.7%2.0%80.2K1.0M-39.6K0.0714.41N/AN/A2251510,1275,083
2007-11-13$18.68$20.0031.8%10.6%30.4%38.9%0.0%5.1%2.7%75.3K986.2K-38.2K0.2912.47N/AN/A702010,2975,098
2007-11-14$18.11$20.0039.5%10.6%31.8%57.1%0.0%2.4%1.6%82.6K1.7M-35.1K0.0314.88N/AN/A70210,3675,090
2007-11-15$17.70$20.0035.3%10.1%31.3%47.2%0.0%2.8%2.4%68.8K2.3M-32.4K0.2622.98N/AN/A1904910,3675,090
2007-11-16$17.52$20.0038.8%11.1%31.2%55.3%38.8%2.3%2.5%77.1K2.1M-33.5K0.7013.30N/AN/A91364310,5145,041
2007-11-19$17.26$17.5041.2%11.8%30.1%60.9%40.3%2.7%0.2%68.6K884.4K-34.1K0.7418.35N/AN/A947010,4024,787
2007-11-20$16.80$17.5039.8%11.4%29.8%57.7%40.8%2.3%0.4%55.7K1.4M-30.2K1.3714.43N/AN/A21429410,3704,782
2007-11-21$16.78$17.5034.4%9.8%26.1%44.9%34.3%2.9%4.1%57.9K1.3M-32.9K1.0218.52N/AN/A26026610,5505,018
2007-11-23$16.62$20.0034.0%9.8%26.1%44.1%37.5%9.6%3.1%40.9K1.8M-28.9K2.1016.10N/AN/A102110,3304,916
2007-11-26$16.18$20.0042.2%12.1%26.3%63.4%30.6%5.1%0.2%34.8K2.0M-26.4K0.0017.79N/AN/A011710,3304,917
2007-11-27$16.31$20.0035.9%10.3%27.1%48.7%0.0%5.8%2.9%34.5K1.9M-30.0K2.2021.19N/AN/A204410,3305,022
2007-11-28$16.62$17.5031.7%9.1%29.2%38.8%34.5%10.0%2.6%31.2K1.8M-28.1K1.5916.48N/AN/A11318010,3304,870
2007-11-29$16.85$17.5031.7%9.1%29.5%38.8%40.5%10.1%4.0%32.4K1.8M-26.8K1.2122.05N/AN/A16019410,3854,954
2007-11-30$16.57$17.5032.9%9.4%22.4%41.6%34.6%9.0%2.7%29.6K1.9M-28.9K0.0620.51N/AN/A1871110,5455,140