CRS Options History — May 2007

In May 2007, CRS traded between $60.12 and $68.22. ATM implied volatility averaged 30.8%. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 2.3% (HV 20d: 28.5%). Max pain ranged from $50.00 to $62.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.20.

Notable Days

  • 2007-05-11: Highest Volume — 10,060 contracts
  • 2007-05-10: Largest IV spike — 11.0% change
  • 2007-05-14: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.61$60.12$68.22$60.12$66.28
Max Pain$53.30$50.00$62.50$62.50$52.50
ATM IV30.8%26.2%33.7%29.5%31.2%
Expected Move9.0%8.0%9.7%8.5%9.0%
HV 20d28.5%22.0%32.0%22.0%29.1%
HV 60d28.5%25.6%30.2%27.9%25.6%
Term Structure0.2%-2.3%2.5%1.3%0.6%
VWIV31.6%28.3%34.8%29.2%32.0%
Skew 25d1.7%0.1%3.5%3.5%1.0%
Skew 10d3.2%0.7%7.4%7.4%1.8%
Call IV 25d30.6%27.3%32.6%27.9%31.5%
Put IV 25d32.4%28.6%34.8%31.4%32.5%
Bid-Ask Spread %13.316.6321.3814.8815.65
Gamma HHI0.160.110.220.110.12
Net GEX1.5M536.4K3.0M942.9K892.3K
Net DEX-102.4M-140.0M-57.7M-57.7M-92.4M
Net VEX-239.5K-278.1K-209.4K-230.0K-278.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.302.861.221.73
Total Volume3,359.5451,13210,0602,4241,132
Total OI45,254.27337,57854,01638,14648,504

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$60.12$62.5029.5%8.5%22.0%0.0%29.2%3.5%1.3%942.9K-57.7M-230.0K1.2214.88N/AN/A1,0941,33024,90413,242
2007-05-02$61.52$62.5028.1%8.1%23.6%0.0%28.3%2.7%1.8%1.0M-69.9M-209.4K2.4316.23N/AN/A1,2863,12624,06813,510
2007-05-03$62.51$62.5027.8%8.0%24.2%0.0%28.5%1.4%2.5%1.1M-76.6M-237.0K1.4521.38N/AN/A8261,19624,63615,982
2007-05-04$61.98$50.0026.2%8.5%24.4%0.0%30.5%2.8%1.3%966.9K-72.2M-239.6K1.3012.92N/AN/A8161,06424,76816,388
2007-05-07$63.74$50.0029.0%8.6%26.1%0.0%30.1%2.1%1.4%1.4M-90.6M-218.3K0.787.43N/AN/A1,8581,44424,94816,776
2007-05-08$64.22$50.0027.5%8.7%26.1%0.0%30.0%3.2%0.8%1.7M-95.8M-224.5K0.566.63N/AN/A2,3381,29825,70417,360
2007-05-09$65.80$50.0028.4%8.9%26.5%0.0%31.1%2.1%0.2%2.1M-115.7M-213.5K0.5012.08N/AN/A2,4221,20426,59618,038
2007-05-10$64.33$50.0031.5%9.0%28.0%0.0%31.1%2.3%-0.1%1.7M-99.7M-232.0K0.3016.85N/AN/A7,0142,08227,24818,310
2007-05-11$66.95$52.5032.5%9.3%31.0%0.0%33.2%2.2%-1.7%3.0M-133.0M-221.8K1.8312.91N/AN/A3,5586,50229,44018,790
2007-05-14$67.98$52.5033.7%9.7%30.7%0.0%34.4%3.0%-2.3%2.8M-140.0M-258.5K0.6510.38N/AN/A2,2221,44629,93424,082
2007-05-15$68.15$52.5033.5%9.6%30.3%0.0%34.8%2.0%-1.5%2.7M-138.5M-239.2K2.8612.51N/AN/A8382,39829,44022,452
2007-05-16$68.21$52.5032.5%9.3%30.3%0.0%32.5%0.6%-0.9%2.6M-140.0M-228.6K1.039.22N/AN/A1,1901,22029,39222,758
2007-05-17$67.48$52.5032.3%9.3%30.6%0.0%32.5%1.3%-0.4%2.2M-130.4M-234.0K0.5311.89N/AN/A1,08256829,12422,320
2007-05-18$68.02$52.5031.8%9.1%29.8%0.0%32.0%0.9%0.2%1.6M-136.6M-222.7K0.6113.03N/AN/A1,49490828,77422,310
2007-05-21$68.22$52.5031.6%9.1%29.8%0.0%32.0%0.8%-0.1%877.6K-108.7M-219.8K1.749.53N/AN/A54494622,96616,396
2007-05-22$66.68$52.5030.2%8.7%30.8%0.0%30.6%1.6%0.8%776.2K-96.5M-233.1K2.3712.57N/AN/A1,1502,72423,16216,932
2007-05-23$66.94$52.5032.0%9.2%29.5%0.0%32.7%0.1%-0.1%683.7K-98.0M-249.6K1.1510.62N/AN/A1,7181,98223,67618,464
2007-05-24$65.03$52.5032.2%9.2%31.3%0.0%32.9%1.0%0.5%536.4K-80.8M-266.5K1.1317.17N/AN/A2,4742,78624,42818,956
2007-05-25$66.97$52.5031.0%8.9%32.0%0.0%31.3%0.8%0.9%946.5K-99.4M-273.1K0.6614.88N/AN/A70446826,32019,982
2007-05-29$66.26$52.5032.1%9.2%30.2%0.0%32.9%0.8%-0.0%818.8K-92.2M-269.3K0.7315.43N/AN/A93267626,64420,298
2007-05-30$66.08$52.5033.1%9.5%29.9%0.0%33.0%1.4%-1.0%778.5K-88.8M-270.9K0.9618.54N/AN/A94690427,06220,510
2007-05-31$66.28$52.5031.2%9.0%29.1%0.0%32.0%1.0%0.6%892.3K-92.4M-278.1K1.7315.65N/AN/A41471827,52820,976