CRS Options History — April 2007

In April 2007, CRS traded between $60.56 and $63.81. ATM implied volatility averaged 31.1%. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 10.6% (HV 20d: 20.6%). Max pain ranged from $57.50 to $62.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.99.

Notable Days

  • 2007-04-27: Highest Volume — 7,610 contracts
  • 2007-04-27: Largest IV drop — 31.6% change
  • 2007-04-26: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.82$60.56$63.81$60.96$60.69
Max Pain$60.00$57.50$62.50$57.50$62.50
ATM IV31.1%25.5%39.4%29.5%29.5%
Expected Move9.2%7.4%11.3%8.5%8.5%
HV 20d20.6%16.6%26.5%26.5%22.0%
HV 60d28.3%27.2%29.5%29.5%28.1%
Term Structure0.2%-4.6%6.6%4.5%1.0%
VWIV32.3%24.5%38.7%29.4%29.2%
Skew 25d3.4%2.5%4.1%4.1%2.5%
Skew 10d6.5%3.1%7.9%7.9%5.0%
Call IV 25d30.5%23.7%36.7%26.9%28.3%
Put IV 25d33.9%27.2%40.5%30.9%30.8%
Bid-Ask Spread %15.059.0619.2915.0216.61
Gamma HHI0.190.120.360.170.12
Net GEX1.9M1.1M2.8M1.7M1.1M
Net DEX-82.5M-102.3M-63.8M-76.7M-63.8M
Net VEX-206.0K-229.4K-183.7K-209.9K-229.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.133.950.360.40
Total Volume2,213.63427,6103422,400
Total OI35,603.431,33640,30633,42638,016

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$60.96$57.5029.5%8.5%26.5%0.0%29.4%4.1%4.5%1.7M-76.7M-209.9K0.3615.02N/AN/A2529022,00411,422
2007-04-03$61.02$57.5027.9%8.0%24.6%0.0%27.8%3.9%5.6%1.8M-77.8M-204.2K1.4819.01N/AN/A46668822,14811,480
2007-04-04$60.97$57.5026.8%7.7%24.7%0.0%26.8%3.6%6.1%1.7M-77.1M-206.6K1.7519.29N/AN/A20636022,39611,892
2007-04-05$60.88$57.5025.9%7.4%22.7%0.0%24.5%3.5%6.6%1.7M-76.9M-203.1K0.289.06N/AN/A3108822,47212,022
2007-04-09$61.55$60.0025.5%9.3%22.8%0.0%32.9%3.4%-0.5%1.9M-81.4M-191.2K0.8611.75N/AN/A47441022,41412,040
2007-04-10$61.38$60.0025.5%9.3%22.8%0.0%32.9%3.6%-0.6%1.8M-80.7M-188.1K0.6812.61N/AN/A48633222,50812,186
2007-04-11$60.56$60.0027.4%9.6%19.2%0.0%33.0%3.7%-0.8%1.6M-73.6M-193.0K0.5613.05N/AN/A92252022,66212,354
2007-04-12$61.22$60.0033.9%9.7%18.3%0.0%33.2%2.6%-1.0%1.8M-79.4M-188.8K0.1312.08N/AN/A1,81224222,67012,576
2007-04-13$61.65$60.0033.1%9.5%18.4%0.0%34.7%2.6%-1.5%2.1M-85.3M-197.5K0.6714.71N/AN/A33022023,88212,738
2007-04-16$62.97$60.0034.4%9.9%18.8%0.0%34.5%3.3%-2.1%2.5M-98.5M-183.7K0.1913.20N/AN/A5,5501,05624,00412,806
2007-04-17$62.45$60.0033.8%9.7%18.7%0.0%33.8%2.8%-1.2%2.6M-93.3M-208.0K0.4910.80N/AN/A1,60679424,82213,304
2007-04-18$62.36$60.0033.8%9.7%18.8%0.0%36.0%3.7%-1.7%2.7M-93.3M-215.4K3.2013.63N/AN/A3321,06425,41013,766
2007-04-19$62.03$60.0033.9%9.7%16.6%0.0%34.6%3.7%-1.8%2.8M-88.4M-217.1K3.9516.87N/AN/A3041,20025,51814,266
2007-04-20$63.50$60.0033.9%9.7%18.4%0.0%32.9%4.0%-1.5%2.8M-102.3M-209.3K0.2517.15N/AN/A1,99050625,54614,760
2007-04-23$63.81$60.0032.8%9.4%18.4%0.0%33.9%3.4%-1.4%1.6M-89.7M-203.0K0.6117.76N/AN/A1,8841,15021,5369,800
2007-04-24$63.13$60.0034.4%9.9%18.5%0.0%35.0%3.0%-1.6%1.6M-85.9M-212.0K1.4517.52N/AN/A54879222,49810,276
2007-04-25$61.83$62.5034.5%9.9%19.6%0.0%34.2%3.6%-2.0%1.5M-75.8M-218.0K0.8016.76N/AN/A89271822,76810,682
2007-04-26$61.10$62.5039.4%11.3%20.1%0.0%38.7%3.8%-4.6%1.4M-69.0M-228.3K1.0317.14N/AN/A2,7962,87223,01611,240
2007-04-27$62.45$62.5027.0%7.7%21.1%0.0%27.4%2.6%2.0%1.4M-81.5M-214.2K0.7117.08N/AN/A4,4483,16223,69212,476
2007-04-30$60.69$62.5029.5%8.5%22.0%0.0%29.2%2.5%1.0%1.1M-63.8M-229.4K0.4016.61N/AN/A1,72068024,71413,302