CRS Options History — March 2007

In March 2007, CRS traded between $55.26 and $61.75. ATM implied volatility averaged 31.6%. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 4.1% (HV 20d: 35.7%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.06.

Notable Days

  • 2007-03-05: Highest Volume — 4,278 contracts
  • 2007-03-12: Largest IV spike — 18.2% change
  • 2007-03-05: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.94$55.26$61.75$58.16$60.38
Max Pain$57.50$55.00$60.00$55.00$57.50
ATM IV31.6%27.7%38.4%33.3%28.7%
Expected Move9.2%7.9%10.5%9.6%8.2%
HV 20d35.7%27.6%38.8%32.6%27.6%
HV 60d30.5%29.4%31.6%31.0%29.7%
Term Structure2.2%-0.8%5.3%1.1%4.9%
VWIV32.5%27.9%36.4%33.7%27.9%
Skew 25d3.3%1.5%4.4%1.5%3.9%
Skew 10d6.3%1.8%8.1%1.8%7.3%
Call IV 25d30.7%26.1%35.3%33.2%26.6%
Put IV 25d34.0%30.2%37.7%34.7%30.5%
Bid-Ask Spread %13.608.8220.5512.9613.21
Gamma HHI0.160.140.190.150.16
Net GEX1.1M-89.1K1.7M1.3M1.6M
Net DEX-67.6M-81.5M-38.7M-70.0M-72.3M
Net VEX-239.6K-274.4K-213.9K-269.5K-217.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.431.941.370.86
Total Volume2,025.3644944,2782,824494
Total OI41,977.36427,98052,88247,78833,236

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$58.16$55.0033.3%9.6%32.6%0.0%33.7%1.5%1.1%1.3M-70.0M-269.5K1.3712.96N/AN/A1,1941,63027,44620,342
2007-03-02$56.23$55.0034.6%9.9%33.8%0.0%34.3%1.9%0.8%729.4K-48.4M-274.4K1.4412.78N/AN/A1,5702,26027,74620,752
2007-03-05$55.26$60.0038.4%10.5%33.9%0.0%36.2%2.4%-0.8%522.1K-38.7M-271.2K1.668.82N/AN/A1,6102,66828,14420,686
2007-03-06$56.99$57.5034.1%10.0%36.0%0.0%35.2%2.9%0.3%842.1K-57.7M-265.5K0.919.69N/AN/A1,5421,39828,77421,090
2007-03-07$57.40$57.5033.3%10.1%35.7%0.0%35.7%3.1%0.2%1.1M-63.5M-260.9K1.2510.43N/AN/A1,0761,34628,74621,234
2007-03-08$59.09$57.5031.3%9.9%37.1%0.0%36.0%3.2%0.4%1.6M-79.9M-253.9K0.5212.24N/AN/A2,5621,33028,80821,804
2007-03-09$58.86$60.0029.3%9.7%37.0%0.0%33.9%3.3%0.7%1.2M-77.4M-256.4K0.7210.69N/AN/A80257429,02422,366
2007-03-12$58.74$57.5034.6%9.9%36.3%0.0%34.9%3.3%0.3%1.1M-76.1M-246.4K1.9412.66N/AN/A7441,44429,22422,546
2007-03-13$56.73$57.5034.3%10.3%38.3%0.0%36.4%2.9%-0.5%-89.1K-51.9M-251.8K0.8013.50N/AN/A1,3581,08229,33023,430
2007-03-14$57.94$57.5032.1%10.1%38.2%0.0%35.4%3.1%0.1%385.2K-69.1M-245.3K1.4912.51N/AN/A1,0741,60429,57023,312
2007-03-15$58.24$57.5035.1%10.1%38.2%0.0%34.8%3.3%0.6%430.5K-74.3M-236.4K1.3113.45N/AN/A32843029,62423,154
2007-03-16$57.67$57.5034.9%10.0%38.3%0.0%34.7%3.6%0.2%503.1K-66.2M-238.0K1.3113.47N/AN/A9601,25629,62422,912
2007-03-19$58.66$57.5032.9%9.4%38.8%0.0%31.6%4.1%1.8%904.9K-54.4M-223.2K0.4312.73N/AN/A1,78476018,3289,652
2007-03-20$58.95$57.5029.3%8.4%38.5%0.0%29.8%3.9%4.3%1.1M-59.1M-227.0K0.6314.99N/AN/A1,20875819,42610,012
2007-03-21$60.56$57.5028.4%8.2%38.8%0.0%28.3%4.4%5.1%1.3M-70.1M-220.7K0.5416.06N/AN/A1,36274019,95810,318
2007-03-22$60.63$57.5029.1%8.4%38.5%0.0%29.2%3.6%4.8%1.4M-71.5M-223.3K0.5413.61N/AN/A97652820,57010,518
2007-03-23$60.81$57.5028.6%8.2%38.5%0.0%28.2%3.8%4.7%1.5M-73.4M-225.3K0.5516.79N/AN/A52228621,01010,686
2007-03-26$61.65$57.5028.0%8.0%38.8%0.0%29.9%3.8%5.0%1.6M-79.3M-216.0K1.6316.60N/AN/A37460821,22610,728
2007-03-27$61.00$57.5028.9%8.3%31.4%0.0%30.3%3.5%5.3%1.6M-75.8M-218.1K1.2415.81N/AN/A37045821,32011,004
2007-03-28$60.94$57.5028.8%8.3%30.1%0.0%29.6%4.1%5.1%1.6M-76.6M-215.6K0.4320.55N/AN/A53623221,50611,250
2007-03-29$61.75$57.5027.7%7.9%29.2%0.0%29.4%3.8%5.1%1.7M-81.5M-213.9K1.8315.77N/AN/A25446621,79411,272
2007-03-30$60.38$57.5028.7%8.2%27.6%0.0%27.9%3.9%4.9%1.6M-72.3M-217.5K0.8613.21N/AN/A26622821,85811,378