CRS Options History — June 2007

In June 2007, CRS traded between $63.74 and $68.27. ATM implied volatility averaged 28.9%. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 1.2% (HV 20d: 27.7%). Max pain ranged from $52.50 to $67.50. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.35.

Notable Days

  • 2007-06-11: Highest Volume — 17,770 contracts
  • 2007-06-14: Largest IV spike — 14.6% change
  • 2007-06-12: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.90$63.74$68.27$67.83$65.16
Max Pain$66.79$52.50$67.50$52.50$67.50
ATM IV28.9%24.9%32.4%30.3%24.9%
Expected Move8.5%7.1%9.8%8.7%7.1%
HV 20d27.7%24.7%30.7%29.6%24.8%
HV 60d25.9%25.3%26.2%25.9%26.2%
Term Structure3.4%-0.4%6.7%1.5%6.7%
VWIV30.1%25.1%34.3%31.0%25.1%
Skew 25d0.9%-0.1%1.6%-0.1%-0.1%
Skew 10d1.5%-0.9%2.8%-0.1%-0.9%
Call IV 25d29.8%25.3%34.1%30.9%25.3%
Put IV 25d30.7%25.2%35.4%30.8%25.2%
Bid-Ask Spread %11.176.3921.4211.7010.09
Gamma HHI0.140.110.190.130.17
Net GEX-412.3K-1.4M1.5M1.2M-1.4M
Net DEX-64.7M-114.4M-30.2M-106.9M-40.3M
Net VEX-325.7K-353.7K-265.0K-271.7K-347.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.350.099.460.601.16
Total Volume3,495.2381,17017,7701,8921,394
Total OI50,483.8141,41859,40848,97049,272

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$67.83$52.5030.3%8.7%29.6%0.0%31.0%-0.1%1.5%1.2M-106.9M-271.7K0.6011.70N/AN/A1,18670627,53821,432
2007-06-04$67.58$67.5032.4%9.5%29.4%0.0%33.1%1.3%1.0%1.2M-105.3M-267.8K1.056.91N/AN/A1,2641,32428,07221,614
2007-06-05$68.27$67.5031.4%9.5%28.1%0.0%33.3%1.1%0.4%1.5M-114.4M-265.0K9.466.39N/AN/A8087,64228,74821,658
2007-06-06$66.57$67.5031.2%9.6%29.8%0.0%33.8%0.8%0.2%-212.2K-78.6M-346.8K1.567.47N/AN/A1,0901,70428,92028,922
2007-06-07$64.58$67.5032.4%9.7%30.7%0.0%33.9%1.6%0.9%-536.2K-59.4M-313.9K0.327.63N/AN/A1,51449029,18426,458
2007-06-08$65.85$67.5031.9%9.7%30.4%0.0%34.0%1.5%0.8%-31.3K-76.0M-309.3K0.427.22N/AN/A1,09846229,37626,188
2007-06-11$64.78$67.5031.2%9.7%27.2%0.0%34.1%1.1%0.6%-298.8K-63.1M-292.8K0.098.88N/AN/A16,3461,42429,66426,198
2007-06-12$64.25$67.5030.6%9.8%26.6%0.0%34.3%1.3%-0.4%-370.1K-51.7M-350.6K0.678.00N/AN/A1,07271630,13827,254
2007-06-13$65.64$67.5027.0%9.0%27.9%0.0%31.0%1.4%2.4%103.8K-71.8M-340.4K1.308.92N/AN/A1,6922,20830,48027,348
2007-06-14$66.69$67.5030.9%8.9%28.6%0.0%31.4%1.4%2.7%281.0K-84.3M-340.5K0.688.98N/AN/A2,0821,42230,96828,440
2007-06-15$66.75$67.5029.4%8.4%28.4%0.0%29.5%0.8%4.3%-194.8K-89.0M-321.9K1.959.25N/AN/A1,5383,00631,06027,362
2007-06-18$66.54$67.5027.5%7.9%28.2%0.0%29.4%0.8%5.1%-1.2M-49.6M-333.4K1.9510.22N/AN/A1,2162,37021,10620,312
2007-06-19$66.63$67.5026.2%7.5%28.2%0.0%27.2%1.0%6.5%-897.1K-55.0M-332.9K0.5912.87N/AN/A73443621,90220,236
2007-06-20$65.97$67.5027.3%7.8%27.2%0.0%26.9%0.8%5.7%-972.8K-51.6M-336.0K1.2412.66N/AN/A1,7642,18222,22820,512
2007-06-21$66.98$67.5026.6%7.6%27.8%0.0%27.5%0.9%5.7%-870.4K-57.3M-351.5K0.5711.03N/AN/A1,19867823,23221,578
2007-06-22$65.57$67.5027.3%7.8%26.9%0.0%27.4%0.8%4.9%-954.1K-49.3M-353.7K0.8315.18N/AN/A98682223,81421,376
2007-06-25$65.16$67.5027.3%7.8%24.7%0.0%27.6%0.1%4.8%-1.1M-44.2M-340.3K1.0015.49N/AN/A83283024,07221,644
2007-06-26$63.74$67.5028.3%8.1%25.5%0.0%28.9%0.1%4.9%-1.3M-30.2M-346.4K0.5518.48N/AN/A1,30872424,42222,200
2007-06-27$64.17$67.5026.9%7.7%25.7%0.0%27.1%1.2%5.7%-1.3M-33.9M-340.4K0.6415.83N/AN/A1,14873424,99422,366
2007-06-28$65.14$67.5025.3%7.2%26.3%0.0%25.5%0.0%6.2%-1.3M-45.6M-336.7K1.6321.42N/AN/A1,2382,01225,26022,612
2007-06-29$65.16$67.5024.9%7.1%24.8%0.0%25.1%-0.1%6.7%-1.4M-40.3M-347.8K1.1610.09N/AN/A64674825,64823,624