CRS Options History — October 2007

In October 2007, CRS traded between $63.53 and $72.45. ATM implied volatility averaged 42.3%, placing in the 57.7% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 12.8% (HV 20d: 29.6%). Max pain ranged from $52.50 to $65.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 0.86.

Notable Days

2007-10-12: Highest Volume — 10,596 contracts
2007-10-11: Largest IV spike — 24.2% change
2007-10-30: Highest IV Rank — 88.9%
2007-10-30: Largest Expected Move — 14.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$66.27	$63.53	$72.45	$65.58	$72.45
Max Pain	$62.39	$52.50	$65.00	$52.50	$65.00
ATM IV	42.3%	32.1%	51.7%	36.1%	40.3%
Expected Move	12.4%	9.5%	14.8%	10.3%	11.6%
HV 20d	29.6%	25.0%	41.0%	32.5%	41.0%
HV 60d	42.4%	33.9%	46.8%	46.8%	37.7%
IV Rank	57.7%	23.9%	88.9%	37.0%	51.1%
IV Percentile	79.7%	42.4%	98.1%	67.4%	78.5%
Term Structure	-1.6%	-6.8%	6.6%	3.5%	1.0%
VWIV	43.7%	33.0%	51.2%	37.4%	39.9%
Skew 25d	3.5%	-1.5%	5.4%	4.2%	-1.5%
Skew 10d	6.2%	-1.9%	9.8%	8.8%	-1.9%
Call IV 25d	41.7%	32.2%	49.4%	34.0%	41.0%
Put IV 25d	45.2%	35.3%	51.4%	38.2%	39.5%
Bid-Ask Spread %	9.54	5.45	17.74	10.58	14.10
Gamma HHI	0.11	0.07	0.30	0.08	0.09
Net GEX	1.9M	1.5M	3.8M	1.6M	1.6M
Net DEX	-103.6M	-147.6M	-82.6M	-101.1M	-147.6M
Net VEX	-324.2K	-342.5K	-301.5K	-312.8K	-301.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.86	0.07	2.21	1.07	0.87
Total Volume	3,067.652	452	10,596	452	8,466
Total OI	43,638.174	40,152	50,486	40,152	46,162

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
2007-10-01	$65.58	$52.50	36.1%	10.3%	32.5%	37.0%	37.4%	4.2%	3.5%	1.6M	-101.1M	-312.8K	1.07	10.58	N/A	N/A	218	234	28,904	11,248
2007-10-02	$65.78	$52.50	35.7%	10.2%	32.3%	35.9%	36.0%	3.5%	4.6%	1.5M	-101.9M	-314.0K	1.94	10.57	N/A	N/A	186	360	28,930	11,430
2007-10-03	$64.96	$52.50	34.5%	9.9%	31.9%	31.7%	33.0%	3.3%	4.6%	1.5M	-97.1M	-306.5K	0.07	17.59	N/A	N/A	5,452	368	28,968	11,622
2007-10-04	$64.59	$60.00	33.1%	9.5%	30.4%	27.3%	33.9%	2.7%	6.6%	1.6M	-92.2M	-326.0K	1.49	17.74	N/A	N/A	404	600	29,274	11,916
2007-10-05	$66.25	$65.00	32.1%	11.0%	30.9%	23.9%	38.9%	3.0%	-0.5%	1.7M	-105.3M	-316.5K	1.76	7.48	N/A	N/A	510	900	29,296	12,128
2007-10-08	$66.46	$65.00	33.5%	11.2%	29.8%	28.4%	39.7%	4.0%	-1.2%	1.8M	-106.8M	-314.0K	0.48	6.95	N/A	N/A	520	252	29,468	12,530
2007-10-09	$68.53	$65.00	32.5%	11.1%	26.7%	25.2%	39.9%	4.0%	-0.6%	1.9M	-122.0M	-305.6K	0.12	6.70	N/A	N/A	3,090	386	29,656	12,650
2007-10-10	$67.35	$65.00	33.3%	11.3%	27.9%	27.6%	40.9%	3.6%	-1.0%	1.9M	-111.7M	-314.3K	1.14	6.89	N/A	N/A	354	404	29,608	12,936
2007-10-11	$65.86	$65.00	41.3%	11.8%	27.9%	54.3%	40.5%	3.8%	-1.5%	1.8M	-99.7M	-317.9K	0.81	7.33	N/A	N/A	1,328	1,078	29,644	12,954
2007-10-12	$64.51	$65.00	44.7%	12.8%	29.2%	65.7%	45.0%	4.3%	-3.1%	1.5M	-86.1M	-330.2K	0.60	5.45	N/A	N/A	6,612	3,984	29,660	13,498
2007-10-15	$63.53	$65.00	47.6%	13.6%	29.8%	75.1%	46.9%	4.3%	-4.0%	2.4M	-82.6M	-333.3K	1.42	6.29	N/A	N/A	1,800	2,550	32,798	14,332
2007-10-16	$64.03	$65.00	46.5%	13.3%	25.9%	71.5%	46.8%	2.3%	-3.2%	2.4M	-87.4M	-339.1K	0.33	6.12	N/A	N/A	5,580	1,818	33,294	15,330
2007-10-17	$64.08	$62.50	46.8%	13.4%	25.0%	72.4%	47.0%	3.9%	-3.2%	3.8M	-94.9M	-342.5K	0.35	5.54	N/A	N/A	1,858	648	35,482	15,004
2007-10-18	$65.72	$62.50	47.6%	13.6%	26.5%	75.2%	48.5%	4.4%	-3.5%	2.8M	-111.7M	-338.8K	0.48	5.81	N/A	N/A	2,286	1,102	33,620	14,980
2007-10-19	$63.94	$62.50	49.1%	14.1%	28.1%	80.3%	49.7%	3.7%	-4.9%	2.2M	-89.2M	-334.8K	0.60	8.54	N/A	N/A	1,482	892	34,340	15,316
2007-10-22	$64.21	$62.50	48.5%	13.9%	28.1%	78.2%	48.2%	4.6%	-4.4%	1.6M	-85.1M	-331.5K	0.63	8.54	N/A	N/A	1,324	830	29,702	11,472
2007-10-23	$65.61	$62.50	48.2%	13.8%	29.0%	77.2%	48.3%	5.3%	-3.6%	1.7M	-96.3M	-331.8K	0.79	7.29	N/A	N/A	568	448	29,872	11,578
2007-10-24	$67.00	$62.50	46.5%	13.3%	29.8%	71.5%	48.6%	5.4%	-2.7%	1.7M	-104.6M	-329.9K	0.79	9.02	N/A	N/A	886	704	29,936	11,804
2007-10-25	$68.43	$62.50	47.9%	13.7%	29.2%	76.1%	48.3%	3.5%	-3.3%	1.7M	-114.8M	-329.2K	0.79	9.46	N/A	N/A	1,762	1,394	29,832	12,064
2007-10-26	$69.22	$65.00	47.0%	13.5%	28.4%	73.1%	47.3%	3.3%	-3.0%	1.6M	-121.1M	-332.8K	0.39	12.96	N/A	N/A	1,212	472	30,282	12,954
2007-10-29	$69.08	$65.00	49.1%	14.1%	28.4%	80.1%	49.5%	4.1%	-5.4%	1.6M	-120.3M	-321.7K	0.55	10.88	N/A	N/A	934	518	30,282	12,954
2007-10-30	$66.95	$65.00	51.7%	14.8%	30.9%	88.9%	51.2%	1.6%	-6.8%	1.5M	-103.1M	-331.1K	2.21	17.63	N/A	N/A	1,178	2,604	30,456	13,512
2007-10-31	$72.45	$65.00	40.3%	11.6%	41.0%	51.1%	39.9%	-1.5%	1.0%	1.6M	-147.6M	-301.5K	0.87	14.10	N/A	N/A	4,528	3,938	30,782	15,380