CRS Options History — February 2007 In February 2007, CRS traded between $57.71 and $62.58. ATM implied volatility averaged 30.3%. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 5.7% (HV 20d: 24.7%). Max pain ranged from $47.50 to $55.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.01.
Notable Days 2007-02-20 : Highest Volume — 15,862 contracts2007-02-27 : Largest IV spike — 20.1% change2007-02-27 : Largest Expected Move — 9.7%Monthly Statistics Metric Avg Min Max Open Close Price $59.77 $57.71 $62.58 $59.71 $59.33 Max Pain $49.87 $47.50 $55.00 $55.00 $55.00 ATM IV 30.3% 27.9% 34.0% 28.9% 31.5% Expected Move 8.8% 8.0% 9.7% 8.3% 9.0% HV 20d 24.7% 20.5% 32.1% 25.4% 32.1% Term Structure 2.6% 0.8% 4.2% 2.1% 2.1% VWIV 31.1% 28.7% 34.3% 29.6% 32.0% Skew 25d 2.5% 1.3% 3.7% 2.6% 1.5% Skew 10d 4.3% 2.0% 5.7% 5.5% 2.0% Call IV 25d 29.6% 27.2% 33.6% 28.0% 31.2% Put IV 25d 32.1% 29.2% 37.3% 30.6% 32.7% Bid-Ask Spread % 12.09 6.08 69.75 13.94 11.54 Gamma HHI 0.22 0.16 0.38 0.17 0.17 Net GEX 2.2M 1.2M 3.3M 2.1M 1.6M Net DEX -102.4M -148.9M -65.0M -109.3M -80.3M Net VEX -212.9K -258.4K -173.3K -204.6K -258.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.01 0.11 2.37 0.61 0.94 Total Volume 3,217.053 1,008 15,862 4,442 4,514 Total OI 47,514.842 40,208 51,532 45,540 46,912
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2007-02-01 $59.71 $55.00 28.9% 8.3% 25.4% 0.0% 29.6% 2.6% 2.1% 2.1M -109.3M -204.6K 0.61 13.94 N/A N/A 2,762 1,680 27,460 18,080 2007-02-02 $58.75 $47.50 29.3% 9.2% 25.8% 0.0% 31.5% 3.0% 2.8% 2.2M -100.0M -217.3K 0.87 6.89 N/A N/A 1,410 1,232 28,222 18,852 2007-02-05 $58.70 $47.50 30.8% 9.2% 24.2% 0.0% 31.2% 2.5% 3.0% 2.2M -99.8M -217.8K 0.35 7.39 N/A N/A 1,830 646 28,832 19,438 2007-02-06 $59.47 $47.50 29.1% 9.0% 24.1% 0.0% 31.5% 2.7% 2.9% 2.5M -107.9M -208.7K 1.08 10.52 N/A N/A 516 556 29,134 19,666 2007-02-07 $58.73 $47.50 30.2% 9.1% 23.9% 0.0% 31.6% 2.4% 3.0% 2.3M -99.8M -210.0K 0.52 9.18 N/A N/A 1,134 592 29,270 19,996 2007-02-08 $59.15 $47.50 31.1% 8.9% 23.0% 0.0% 32.1% 2.8% 3.3% 2.5M -103.5M -213.2K 2.37 9.13 N/A N/A 358 850 29,478 20,090 2007-02-09 $57.95 $47.50 31.4% 9.0% 24.5% 0.0% 31.7% 2.8% 3.3% 2.1M -88.5M -213.1K 1.22 7.31 N/A N/A 1,262 1,542 29,612 20,398 2007-02-12 $58.15 $47.50 32.4% 9.3% 24.0% 0.0% 32.7% 3.5% 2.5% 2.0M -91.1M -204.7K 2.04 8.15 N/A N/A 610 1,246 29,622 20,730 2007-02-13 $59.48 $47.50 31.4% 9.0% 24.7% 0.0% 32.0% 3.1% 2.9% 2.6M -108.5M -195.2K 1.11 10.19 N/A N/A 648 718 29,698 21,004 2007-02-14 $59.72 $47.50 31.1% 8.9% 24.7% 0.0% 31.6% 2.5% 3.1% 2.4M -102.2M -204.2K 0.60 7.37 N/A N/A 1,038 618 29,762 21,154 2007-02-15 $60.03 $47.50 31.4% 9.0% 23.5% 0.0% 32.2% 2.7% 3.1% 3.1M -112.6M -189.6K 0.53 8.53 N/A N/A 1,008 538 29,692 21,192 2007-02-16 $60.28 $47.50 29.7% 8.5% 23.1% 0.0% 30.1% 2.7% 4.2% 3.3M -122.4M -179.0K 0.52 10.21 N/A N/A 2,096 1,088 30,096 21,436 2007-02-20 $61.15 $47.50 29.7% 8.5% 22.8% 0.0% 29.6% 2.6% 2.3% 1.6M -100.7M -173.3K 0.11 6.08 N/A N/A 14,342 1,520 24,158 16,050 2007-02-21 $62.58 $47.50 29.1% 8.4% 22.9% 0.0% 30.0% 1.8% 2.2% 2.3M -148.9M -222.4K 0.51 9.46 N/A N/A 1,662 846 31,346 16,980 2007-02-22 $61.63 $55.00 28.6% 8.2% 24.2% 0.0% 29.4% 1.9% 1.6% 2.1M -101.8M -225.5K 0.89 9.74 N/A N/A 1,276 1,140 25,226 17,364 2007-02-23 $61.63 $55.00 27.9% 8.0% 24.1% 0.0% 28.7% 2.0% 2.1% 2.2M -102.4M -227.3K 2.00 7.47 N/A N/A 410 818 25,612 17,982 2007-02-26 $61.41 $55.00 28.3% 8.1% 20.5% 0.0% 29.2% 1.3% 2.0% 2.2M -100.2M -225.1K 1.80 6.88 N/A N/A 360 648 25,698 18,234 2007-02-27 $57.71 $55.00 34.0% 9.7% 31.2% 0.0% 34.3% 3.7% 0.8% 1.2M -65.0M -255.1K 1.16 69.75 N/A N/A 3,524 4,086 25,796 18,510 2007-02-28 $59.33 $55.00 31.5% 9.0% 32.1% 0.0% 32.0% 1.5% 2.1% 1.6M -80.3M -258.4K 0.94 11.54 N/A N/A 2,326 2,188 26,974 19,938
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