CRS Options History — January 2007

In January 2007, CRS traded between $48.65 and $58.55. ATM implied volatility averaged 36.1%. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 9.8% (HV 20d: 26.3%). Max pain ranged from $47.50 to $52.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.78.

Notable Days

  • 2007-01-26: Highest Volume — 10,818 contracts
  • 2007-01-11: Largest IV spike — 25.3% change
  • 2007-01-09: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.74$48.65$58.55$50.15$58.55
Max Pain$51.13$47.50$52.50$52.50$52.50
ATM IV36.1%29.8%41.3%33.7%29.9%
Expected Move10.8%8.5%11.8%9.7%8.6%
HV 20d26.3%24.6%27.8%24.6%25.7%
Term Structure0.2%-2.8%6.8%6.6%1.4%
VWIV37.7%29.3%42.0%33.3%29.7%
Skew 25d2.7%1.3%3.9%1.3%2.4%
Skew 10d4.6%2.2%8.5%2.9%5.4%
Call IV 25d36.3%27.8%39.9%32.9%28.1%
Put IV 25d38.9%30.5%42.8%34.2%30.5%
Bid-Ask Spread %15.529.7329.8913.4515.30
Gamma HHI0.150.110.180.160.18
Net GEX967.1K332.3K1.9M332.3K1.9M
Net DEX-51.2M-103.5M-12.2M-22.0M-103.5M
Net VEX-186.9K-199.9K-173.0K-199.9K-182.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.141.700.230.14
Total Volume3,428.11,11810,8181,1807,712
Total OI37,027.531,27245,05832,64845,058

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$50.15$52.5033.7%9.7%0.0%0.0%33.3%1.3%6.6%332.3K-22.0M-199.9K0.2313.45N/AN/A95622420,38012,268
2007-01-04$49.53$52.5033.4%9.6%0.0%0.0%33.3%1.7%6.8%372.0K-18.2M-196.6K0.3714.80N/AN/A1,25445820,85812,318
2007-01-05$48.65$52.5033.3%11.7%0.0%0.0%40.3%2.4%-0.2%404.6K-12.2M-191.5K0.5516.20N/AN/A72239620,97212,342
2007-01-08$49.43$52.5034.1%11.6%0.0%0.0%40.6%2.6%0.1%433.1K-17.8M-189.7K0.8816.66N/AN/A79870621,32212,452
2007-01-09$48.75$52.5034.4%11.8%0.0%0.0%38.7%1.8%-0.2%461.2K-12.5M-187.5K0.8316.96N/AN/A66655021,62012,534
2007-01-10$50.06$52.5032.9%11.8%0.0%0.0%42.0%3.2%-0.9%521.5K-24.8M-193.7K0.2711.67N/AN/A1,36036621,93012,552
2007-01-11$51.23$50.0041.3%11.8%0.0%0.0%41.7%3.0%-0.6%699.1K-35.9M-192.5K0.5029.89N/AN/A2,0281,02022,69012,720
2007-01-12$52.20$47.5039.4%11.3%0.0%0.0%41.1%2.8%0.3%864.8K-48.5M-194.6K0.2711.70N/AN/A2,13257223,56813,096
2007-01-16$52.33$50.0040.5%11.6%0.0%0.0%40.9%3.2%-1.1%662.7K-47.7M-182.7K1.7011.24N/AN/A1,5162,57223,53413,154
2007-01-17$52.93$50.0040.4%11.6%0.0%0.0%41.1%2.5%-1.1%1.1M-57.3M-176.4K1.2215.49N/AN/A67682824,23412,798
2007-01-18$52.16$50.0039.8%11.4%0.0%0.0%39.8%2.1%-1.3%716.1K-47.7M-176.8K1.0317.35N/AN/A2,0902,15424,00412,902
2007-01-19$53.16$50.0040.0%11.5%0.0%0.0%41.3%2.8%-1.4%955.8K-64.7M-173.6K0.5114.21N/AN/A2,0281,02625,33214,008
2007-01-22$52.85$50.0040.2%11.5%0.0%0.0%39.8%2.3%-1.9%1.1M-53.7M-173.0K0.8416.65N/AN/A2,7522,30820,85810,414
2007-01-23$54.00$50.0038.9%11.2%0.0%0.0%40.0%3.4%-1.9%1.3M-62.8M-184.7K1.1916.79N/AN/A1,1141,33023,16612,376
2007-01-24$54.02$50.0039.3%11.3%0.0%0.0%40.1%2.9%-2.1%1.3M-62.5M-189.9K1.1217.81N/AN/A1,6781,87223,79813,096
2007-01-25$53.97$50.0039.9%11.4%24.6%0.0%40.5%3.9%-2.8%1.2M-62.6M-197.5K0.8714.70N/AN/A2,8642,49024,68214,170
2007-01-26$56.24$52.5029.8%8.5%27.8%0.0%29.3%3.2%1.8%1.6M-84.7M-182.0K0.5811.81N/AN/A6,8543,96426,21814,954
2007-01-29$56.84$52.5030.3%8.7%27.0%0.0%30.8%2.6%1.5%1.7M-87.7M-188.7K1.369.73N/AN/A1,7322,35427,07816,558
2007-01-30$57.83$52.5029.9%8.6%26.4%0.0%30.5%2.9%1.6%1.7M-96.4M-185.7K1.1018.06N/AN/A1,1601,28027,12017,416
2007-01-31$58.55$52.5029.9%8.6%25.7%0.0%29.7%2.4%1.4%1.9M-103.5M-182.1K0.1415.30N/AN/A6,76095227,38017,678