CRS Options History — July 2007

In July 2007, CRS traded between $57.83 and $74.03. ATM implied volatility averaged 36.6%, placing in the 69.9% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 6.5% (HV 20d: 30.1%). Max pain ranged from $65.00 to $67.50. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.71.

Notable Days

  • 2007-07-30: Highest Volume — 13,752 contracts
  • 2007-07-12: Largest IV spike — 20.1% change
  • 2007-07-18: Highest IV Rank — 100.0%
  • 2007-07-30: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.85$57.83$74.03$66.45$59.34
Max Pain$66.67$65.00$67.50$67.50$65.00
ATM IV36.6%25.1%49.9%26.2%45.9%
Expected Move10.8%7.3%14.3%7.5%13.2%
HV 20d30.1%20.1%58.6%25.9%58.6%
HV 60d29.4%26.2%40.5%26.4%40.5%
IV Rank69.9%1.0%100.0%4.9%84.0%
IV Percentile75.9%0.8%100.0%4.0%99.3%
Term Structure-1.7%-5.8%6.4%6.0%-3.5%
VWIV37.9%25.7%49.4%26.6%46.4%
Skew 25d-0.0%-3.8%1.7%0.1%0.9%
Skew 10d1.0%-2.9%3.6%0.9%3.4%
Call IV 25d38.1%26.1%48.4%26.9%45.9%
Put IV 25d38.1%26.2%50.0%27.0%46.8%
Bid-Ask Spread %13.048.2426.8013.4716.84
Gamma HHI0.170.100.600.160.15
Net GEX952.4K-1.1M7.8M-1.1M-328.0K
Net DEX-81.2M-165.3M16.9M-56.2M-4.7M
Net VEX-323.0K-453.0K-288.3K-341.2K-453.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.091.780.770.95
Total Volume4,301.14364413,7521,0865,172
Total OI53,784.76245,48064,20049,77464,200

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-07-02$66.45$67.5026.2%7.5%25.9%0.0%26.6%0.1%6.0%-1.1M-56.2M-341.2K0.7713.47N/AN/A61447225,81223,962
2007-07-03$67.10$67.5025.4%7.3%25.9%0.0%25.7%0.0%6.4%-842.9K-65.6M-336.5K0.8915.06N/AN/A62055026,11224,118
2007-07-05$67.31$67.5025.7%7.4%24.3%4.9%26.2%-0.2%6.2%-800.9K-69.0M-333.7K0.3316.85N/AN/A68822826,35424,446
2007-07-06$67.63$65.0025.1%9.2%21.4%1.0%32.4%1.5%0.6%-803.4K-73.0M-326.9K0.538.24N/AN/A42222226,43824,566
2007-07-09$68.10$65.0025.7%9.4%20.4%4.7%32.6%1.1%-0.1%-606.2K-80.0M-308.2K0.558.70N/AN/A1,32273226,56224,708
2007-07-10$67.19$65.0030.0%10.0%20.1%31.4%34.9%0.4%-1.0%-1.1M-66.3M-322.5K0.259.81N/AN/A3,32682226,74424,974
2007-07-11$68.50$65.0029.5%9.9%20.7%28.1%34.7%0.9%-0.8%56.8K-85.9M-313.8K0.749.03N/AN/A2,3221,72628,55425,100
2007-07-12$71.29$65.0035.4%10.2%23.6%64.3%35.6%1.6%-1.6%1.9M-125.0M-299.3K0.6110.81N/AN/A2,2841,39829,36025,712
2007-07-13$71.00$67.5036.2%10.4%23.4%68.8%36.1%0.6%-1.7%1.9M-122.1M-306.8K0.7212.02N/AN/A1,8721,35430,07026,244
2007-07-16$70.80$67.5038.6%11.1%23.5%83.8%38.5%0.7%-3.1%1.9M-117.4M-308.5K0.6911.31N/AN/A1,32691231,00826,730
2007-07-17$71.00$67.5038.4%11.0%23.4%82.5%38.4%0.3%-2.6%2.3M-121.0M-299.0K0.9411.79N/AN/A96891431,06426,968
2007-07-18$72.28$67.5041.5%11.9%23.9%100.0%42.7%-2.7%-4.5%3.3M-137.4M-295.7K0.0912.22N/AN/A9,43884831,51427,366
2007-07-19$74.03$67.5042.1%12.1%24.3%100.0%41.8%-2.8%-5.8%5.4M-165.3M-288.3K0.4111.89N/AN/A6,3622,60234,03227,528
2007-07-20$72.80$67.5039.9%11.4%25.3%87.4%39.9%-3.8%-3.6%7.8M-152.9M-308.5K0.6514.70N/AN/A1,9361,26235,14828,488
2007-07-23$72.52$67.5042.3%12.1%23.6%100.0%42.6%-2.9%-5.2%786.8K-112.2M-299.6K1.7810.35N/AN/A9261,65226,23019,250
2007-07-24$70.61$67.5041.0%11.7%25.9%92.1%42.1%-1.4%-4.2%345.6K-91.2M-317.9K0.3413.50N/AN/A2,00067826,28220,560
2007-07-25$69.90$67.5041.3%11.8%24.7%94.2%41.3%0.3%-5.5%274.0K-84.5M-330.9K0.6912.02N/AN/A1,7581,20826,60820,806
2007-07-26$60.67$67.5043.1%12.4%57.4%100.0%42.5%1.7%-1.7%-194.7K-1.8M-315.7K1.4426.80N/AN/A4,5186,51027,62221,296
2007-07-27$58.50$67.5045.5%13.1%58.2%100.0%45.2%1.4%-3.5%-140.5K8.6M-338.7K0.8217.85N/AN/A2,5362,07229,52023,174
2007-07-30$57.83$65.0049.9%14.3%58.2%100.0%49.4%1.6%-5.7%-223.9K16.9M-337.8K0.7810.51N/AN/A7,7386,01430,32623,924
2007-07-31$59.34$65.0045.9%13.2%58.6%84.0%46.4%0.9%-3.5%-328.0K-4.7M-453.0K0.9516.84N/AN/A2,6522,52036,32627,874