CRS Options History — September 2007

In September 2007, CRS traded between $55.93 and $66.20. ATM implied volatility averaged 38.4%, placing in the 44.6% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 0.9% (HV 20d: 37.5%). Max pain ranged from $52.50 to $57.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.88.

Notable Days

  • 2007-09-13: Highest Volume — 8,992 contracts
  • 2007-09-18: Largest IV drop — 8.6% change
  • 2007-09-17: Highest IV Rank — 58.6%
  • 2007-09-10: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.61$55.93$66.20$59.34$65.00
Max Pain$54.61$52.50$57.50$57.50$52.50
ATM IV38.4%35.2%42.6%35.4%35.2%
Expected Move11.1%10.1%12.2%10.1%10.1%
HV 20d37.5%32.0%42.2%41.0%32.6%
HV 60d45.8%44.1%46.8%44.3%46.8%
IV Rank44.6%34.2%58.6%34.8%34.2%
IV Percentile76.1%64.0%90.4%71.4%64.0%
Term Structure1.0%-2.1%4.2%3.5%4.2%
VWIV39.2%34.8%45.2%36.2%34.8%
Skew 25d3.9%2.5%5.4%2.5%3.1%
Skew 10d7.3%4.1%9.7%5.1%4.1%
Call IV 25d37.1%33.5%40.9%35.1%33.8%
Put IV 25d41.0%36.9%44.9%37.6%36.9%
Bid-Ask Spread %12.938.2418.7318.739.94
Gamma HHI0.120.080.220.120.08
Net GEX983.7K247.4K1.7M609.4K1.6M
Net DEX-82.3M-131.5M-18.0M-56.7M-98.7M
Net VEX-369.3K-402.7K-317.6K-402.7K-317.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.014.120.440.86
Total Volume2,779.6847588,9921,106970
Total OI61,889.15840,25073,38665,63840,250

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-09-04$59.34$57.5035.4%10.1%41.0%34.8%36.2%2.5%3.5%609.4K-56.7M-402.7K0.4418.73N/AN/A77033640,50625,132
2007-09-05$58.35$57.5037.1%10.6%41.1%40.3%36.9%2.9%2.2%669.7K-46.0M-389.6K1.1311.92N/AN/A59867440,76224,886
2007-09-06$57.02$57.5036.7%10.5%40.9%38.9%37.0%3.0%2.8%727.8K-28.7M-384.7K0.9518.16N/AN/A1,1281,07040,99025,114
2007-09-07$56.73$57.5039.0%11.6%38.9%46.8%40.7%5.1%-0.3%763.8K-28.0M-383.3K1.238.64N/AN/A78296441,25225,234
2007-09-10$55.93$57.5042.0%12.2%38.0%56.7%42.7%4.9%-0.7%871.6K-18.0M-367.9K0.848.24N/AN/A81868841,56225,354
2007-09-11$58.87$57.5039.6%11.6%42.2%48.6%41.6%5.4%-0.1%666.2K-53.3M-386.0K0.6710.21N/AN/A1,7681,17641,74425,348
2007-09-12$59.76$57.5038.9%11.7%41.1%46.4%39.8%4.3%-0.5%578.6K-65.8M-391.0K0.6214.46N/AN/A1,19273442,08625,916
2007-09-13$61.66$57.5040.4%11.6%38.9%51.5%45.2%4.1%-0.6%544.0K-91.3M-388.9K0.2214.12N/AN/A7,3741,61842,49226,258
2007-09-14$61.99$52.5041.1%11.8%37.2%53.8%41.5%3.2%-1.1%600.7K-91.7M-394.2K0.3314.46N/AN/A2,39079042,95426,718
2007-09-17$61.98$52.5042.6%12.2%35.0%58.6%42.5%3.9%-2.1%693.1K-92.3M-383.3K0.6414.52N/AN/A70445443,84827,302
2007-09-18$64.63$52.5038.9%11.2%36.9%46.5%40.6%3.7%-0.5%1.3M-131.5M-363.3K0.4611.96N/AN/A2,9861,37843,66627,350
2007-09-19$63.48$52.5039.6%11.4%37.5%48.7%38.7%4.9%-0.4%818.8K-117.0M-364.5K0.5415.32N/AN/A1,78295644,43227,738
2007-09-20$63.28$52.5039.4%11.3%37.1%48.0%39.9%4.2%-0.5%247.4K-113.6M-357.0K1.2711.73N/AN/A78099044,71627,990
2007-09-21$64.09$52.5036.8%10.5%36.6%39.2%37.5%3.8%1.2%1.7M-123.4M-340.3K0.0113.50N/AN/A6,2868644,54428,842
2007-09-24$63.70$52.5038.1%10.9%35.8%43.8%37.7%4.2%2.2%1.5M-96.4M-351.7K0.7011.63N/AN/A1,17682229,82012,402
2007-09-25$64.05$52.5036.4%10.4%35.7%37.9%38.4%3.8%3.2%1.6M-99.2M-363.2K4.1214.36N/AN/A14861030,68012,890
2007-09-26$64.44$52.5036.5%10.5%33.5%38.4%36.6%3.6%3.0%1.6M-102.3M-361.2K0.9013.86N/AN/A3,0562,74230,72613,250
2007-09-27$66.20$52.5035.4%10.2%32.0%34.8%35.6%3.5%3.9%1.6M-108.9M-326.2K0.869.82N/AN/A1,08493429,33811,802
2007-09-28$65.00$52.5035.2%10.1%32.6%34.2%34.8%3.1%4.2%1.6M-98.7M-317.6K0.869.94N/AN/A52244829,01811,232