CRS Options History — August 2007 In August 2007, CRS traded between $51.86 and $58.42. ATM implied volatility averaged 44.4%, placing in the 69.3% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded below realized volatility by 11.5% (HV 20d: 55.9%). Max pain ranged from $57.50 to $65.00. Net GEX was positive for 12 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 0.92.
Notable Days 2007-08-10 : Highest Volume — 16,872 contracts2007-08-17 : Largest IV drop — 19.7% change2007-08-09 : Highest IV Rank — 100.0%2007-08-16 : Largest Expected Move — 14.9%Monthly Statistics Metric Avg Min Max Open Close Price $56.00 $51.86 $58.42 $57.66 $58.42 Max Pain $59.13 $57.50 $65.00 $65.00 $57.50 ATM IV 44.4% 35.3% 55.1% 47.8% 35.3% Expected Move 12.3% 10.1% 14.9% 13.7% 10.1% HV 20d 55.9% 41.0% 65.7% 58.9% 41.0% HV 60d 42.5% 40.4% 44.8% 40.5% 44.3% IV Rank 69.3% 34.4% 100.0% 91.5% 34.4% IV Percentile 89.4% 71.3% 100.0% 99.3% 71.3% Term Structure -1.4% -9.0% 4.1% -4.5% 4.1% VWIV 42.9% 35.2% 51.9% 48.0% 35.2% Skew 25d 4.0% 0.2% 8.8% 2.6% 2.1% Skew 10d 7.8% -1.0% 18.0% 5.7% 4.5% Call IV 25d 41.2% 33.9% 49.0% 47.0% 34.6% Put IV 25d 45.2% 36.7% 56.8% 49.6% 36.7% Bid-Ask Spread % 17.10 9.24 24.40 15.37 18.89 Gamma HHI 0.14 0.11 0.18 0.16 0.12 Net GEX 144.1K -412.5K 747.7K -349.0K 655.5K Net DEX 1.9M -46.0M 49.6M 11.2M -46.0M Net VEX -426.9K -472.8K -380.7K -455.5K -418.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.92 0.10 3.76 0.85 3.76 Total Volume 3,742.261 968 16,872 3,196 3,378 Total OI 67,606 60,002 74,316 66,836 65,682
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2007-08-01 $57.66 $65.00 47.8% 13.7% 58.9% 91.5% 48.0% 2.6% -4.5% -349.0K 11.2M -455.5K 0.85 15.37 N/A N/A 1,730 1,466 37,692 29,144 2007-08-02 $57.66 $65.00 44.4% 12.7% 58.8% 78.0% 44.4% 1.6% -2.4% -373.6K 12.6M -451.7K 0.15 13.52 N/A N/A 3,462 510 38,586 29,350 2007-08-03 $54.83 $62.50 45.8% 13.1% 60.5% 83.5% 46.1% 0.2% -2.4% -210.7K 40.0M -425.9K 0.25 22.51 N/A N/A 6,038 1,500 39,002 29,510 2007-08-06 $54.38 $60.00 48.3% 12.9% 60.1% 93.4% 44.0% 5.7% -2.0% -339.2K 41.2M -407.8K 0.48 12.41 N/A N/A 2,452 1,170 39,590 29,472 2007-08-07 $55.52 $57.50 46.2% 12.3% 61.2% 85.1% 42.7% 4.5% -1.6% -412.5K 24.6M -418.5K 0.71 13.09 N/A N/A 1,688 1,192 40,094 28,540 2007-08-08 $57.10 $57.50 48.9% 12.5% 61.8% 95.8% 42.8% 4.8% -1.8% -394.6K 7.1M -448.2K 0.41 24.40 N/A N/A 1,594 658 40,974 28,752 2007-08-09 $55.15 $57.50 51.0% 12.9% 59.6% 100.0% 44.7% 2.5% -2.2% -265.2K 24.7M -425.7K 1.47 20.24 N/A N/A 710 1,044 41,366 28,680 2007-08-10 $56.70 $57.50 53.6% 13.9% 61.3% 100.0% 49.4% 2.2% -8.7% -204.5K 5.5M -453.6K 0.15 17.47 N/A N/A 14,652 2,220 41,618 28,870 2007-08-13 $56.63 $60.00 55.1% 13.7% 61.3% 100.0% 47.9% 2.4% -6.7% -237.8K -1.4M -472.8K 1.11 15.74 N/A N/A 814 906 44,314 29,722 2007-08-14 $55.20 $60.00 51.6% 13.8% 61.3% 88.6% 47.8% 1.4% -6.6% -234.9K 20.1M -444.6K 0.87 17.85 N/A N/A 1,936 1,692 44,298 29,944 2007-08-15 $53.10 $60.00 52.8% 14.1% 60.9% 92.5% 48.6% 3.2% -7.2% -25.8K 41.2M -406.6K 1.48 17.08 N/A N/A 1,184 1,758 44,618 29,698 2007-08-16 $51.86 $60.00 52.0% 14.9% 59.1% 89.7% 51.9% 7.8% -9.0% 26.9K 49.6M -380.7K 1.13 19.43 N/A N/A 2,178 2,460 44,918 29,012 2007-08-17 $54.16 $60.00 41.8% 12.0% 63.0% 55.8% 41.8% 8.4% -1.8% 426.0K 31.1M -389.9K 0.67 15.51 N/A N/A 2,622 1,764 45,068 28,456 2007-08-20 $54.00 $60.00 41.4% 11.9% 63.0% 54.8% 43.1% 8.8% -0.3% 501.7K 8.6M -384.2K 0.98 9.24 N/A N/A 1,322 1,292 36,844 23,158 2007-08-21 $55.38 $57.50 42.8% 12.3% 64.3% 59.4% 42.9% 5.9% 0.8% 569.1K -13.2M -429.8K 0.10 14.90 N/A N/A 5,454 532 37,608 22,662 2007-08-22 $56.75 $57.50 39.2% 11.2% 65.7% 47.5% 40.4% 6.1% 2.0% 635.6K -26.7M -447.1K 0.46 16.93 N/A N/A 664 304 40,482 22,764 2007-08-23 $56.09 $57.50 39.8% 11.4% 43.8% 49.5% 38.6% 6.7% 1.8% 576.6K -18.7M -415.8K 0.80 15.04 N/A N/A 1,366 1,092 38,952 22,944 2007-08-24 $57.77 $57.50 35.6% 10.2% 43.5% 35.5% 37.1% 5.2% 3.7% 490.4K -34.9M -437.6K 2.80 18.11 N/A N/A 608 1,704 39,358 23,486 2007-08-27 $57.60 $57.50 36.0% 10.3% 43.4% 36.9% 36.8% 2.7% 3.7% 445.0K -35.6M -430.1K 0.11 17.46 N/A N/A 4,552 508 39,540 24,432 2007-08-28 $56.02 $57.50 38.6% 11.1% 43.3% 45.5% 39.9% 2.0% 3.1% 747.7K -19.0M -417.7K 1.39 19.76 N/A N/A 758 1,050 40,004 24,768 2007-08-29 $58.34 $57.50 36.8% 10.5% 44.7% 39.2% 36.4% 3.1% 3.2% 586.7K -40.9M -428.6K 0.52 19.59 N/A N/A 698 366 40,110 25,310 2007-08-30 $57.67 $57.50 36.4% 10.4% 44.9% 38.2% 36.8% 2.3% 3.6% 701.7K -38.2M -428.2K 0.53 18.69 N/A N/A 670 354 40,376 25,170 2007-08-31 $58.42 $57.50 35.3% 10.1% 41.0% 34.4% 35.2% 2.1% 4.1% 655.5K -46.0M -418.3K 3.76 18.89 N/A N/A 710 2,668 40,434 25,248
« Jul 2007 | All History | Sep 2007 » Home CRS History August 2007