CSGS Options History — December 2007

In December 2007, CSGS traded between $14.59 and $16.62. ATM implied volatility averaged 34.0%, placing in the 44.1% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 9.6% (HV 20d: 24.4%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 5.48.

Notable Days

  • 2007-12-19: Highest Volume — 291 contracts
  • 2007-12-11: Largest IV spike — 55.2% change
  • 2007-12-11: Highest IV Rank — 60.1%
  • 2007-12-18: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.81$14.59$16.62$16.29$14.72
Max Pain$18.50$17.50$20.00$17.50$17.50
ATM IV34.0%18.7%40.8%35.9%32.5%
Expected Move10.1%9.2%11.2%10.3%9.3%
HV 20d24.4%22.1%27.1%22.1%27.1%
HV 60d28.0%27.5%28.8%28.0%27.6%
IV Rank44.1%8.2%60.1%48.5%40.5%
IV Percentile70.0%4.3%91.1%76.2%65.6%
Term Structure2.2%-0.8%6.9%-0.3%6.1%
VWIV36.5%20.8%50.1%35.2%32.2%
Skew 25d4.0%-12.3%12.5%4.7%-1.1%
Skew 10d9.6%-22.3%19.3%10.9%-1.6%
Call IV 25d32.9%24.6%41.5%36.5%32.4%
Put IV 25d36.8%29.2%41.8%41.2%31.2%
Bid-Ask Spread %16.665.4830.6523.227.54
Gamma HHI0.220.180.370.180.36
Net GEX9.3K-12.3K24.4K24.4K-11.7K
Net DEX2.3M1.8M2.7M2.1M2.5M
Net VEX-21.7K-26.9K-15.6K-26.3K-16.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.480.0020.008.204.22
Total Volume79.10291079
Total OI15,361.0514,43715,78015,77214,488

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$16.29$17.5035.9%10.3%22.1%48.5%0.0%4.7%-0.3%24.4K2.1M-26.3K0.0023.22N/AN/A0010,6225,150
2007-12-04$16.44$17.5034.6%9.9%22.9%45.6%35.2%5.3%0.8%22.7K2.2M-26.5K8.2027.63N/AN/A108210,6225,150
2007-12-05$16.47$17.5034.8%10.0%22.8%45.9%0.0%6.6%-0.8%22.0K2.0M-26.8K0.0030.65N/AN/A0010,6295,130
2007-12-06$16.62$17.5034.2%9.8%23.4%44.5%43.0%7.4%0.7%22.5K2.0M-26.9K2.2028.33N/AN/A102210,6295,130
2007-12-07$16.35$20.0018.7%9.4%23.4%8.2%50.1%7.8%3.0%18.2K2.2M-25.6K0.0018.60N/AN/A02910,6395,141
2007-12-10$16.51$20.0026.3%9.2%23.7%26.1%31.8%8.9%2.7%16.8K2.1M-25.1K4.5017.25N/AN/A104510,6395,098
2007-12-11$16.05$20.0040.8%10.7%24.8%60.1%32.3%3.7%1.0%12.2K2.5M-23.1K0.0016.01N/AN/A25010,6295,104
2007-12-12$16.29$20.0026.5%9.4%26.1%26.5%36.3%6.2%2.1%12.0K2.3M-23.4K0.3316.94N/AN/A301010,6445,055
2007-12-13$16.38$20.0034.9%10.0%24.8%46.2%34.4%2.2%1.4%13.6K1.8M-23.6K0.0013.92N/AN/A01010,6544,812
2007-12-14$16.13$20.0036.9%10.6%24.3%50.8%35.3%1.8%0.8%10.8K2.0M-23.0K5.0015.82N/AN/A21010,6544,822
2007-12-17$15.93$20.0038.5%11.0%24.3%54.6%36.8%3.5%-0.2%10.1K2.1M-21.6K0.9014.06N/AN/A201810,6544,814
2007-12-18$15.55$20.0039.1%11.2%25.1%56.1%39.3%2.7%-0.2%11.0K2.4M-19.9K19.1016.90N/AN/A1019110,6744,769
2007-12-19$15.29$17.5038.3%11.0%24.1%54.2%38.3%2.3%1.3%12.1K2.4M-19.3K0.0018.61N/AN/A029110,6844,716
2007-12-20$15.09$17.5037.7%10.8%24.3%52.8%0.0%12.5%1.3%6.2K2.7M-18.1K0.0811.00N/AN/A12110,6844,926
2007-12-21$15.15$17.5037.4%10.7%24.4%52.0%37.4%5.9%1.1%14.8K2.6M-18.4K1.269.42N/AN/A10012610,6844,912
2007-12-24$15.49$17.5034.6%9.9%24.7%45.5%0.0%-2.6%5.4%-7.8K2.4M-18.7K0.0018.13N/AN/A009,8234,848
2007-12-26$15.57$17.5032.6%9.3%24.6%40.7%20.8%8.1%5.1%-7.2K2.3M-18.6K0.009.22N/AN/A0109,8234,807
2007-12-27$15.22$17.5033.0%9.5%24.3%41.8%47.0%6.0%6.9%-4.9K2.2M-17.5K20.005.48N/AN/A81609,8234,614
2007-12-28$14.59$17.5032.9%9.4%26.7%41.6%33.5%-12.3%6.1%-12.3K2.6M-15.6K4.2214.45N/AN/A502119,8254,700
2007-12-31$14.72$17.5032.5%9.3%27.1%40.5%32.2%-1.1%6.1%-11.7K2.5M-16.0K0.007.54N/AN/A0799,7854,703