CRS Options History — November 2007 In November 2007, CRS traded between $67.39 and $75.50. ATM implied volatility averaged 44.4%, placing in the 64.6% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded below realized volatility by 7.8% (HV 20d: 52.2%). Max pain ranged from $45.00 to $67.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.61.
Notable Days 2007-11-26 : Highest Volume — 15,436 contracts2007-11-12 : Largest IV spike — 18.4% change2007-11-12 : Highest IV Rank — 83.7%2007-11-12 : Largest Expected Move — 14.0%Monthly Statistics Metric Avg Min Max Open Close Price $70.04 $67.39 $75.50 $67.64 $75.45 Max Pain $54.52 $45.00 $67.50 $67.50 $57.50 ATM IV 44.4% 40.6% 50.2% 44.9% 41.0% Expected Move 12.9% 11.6% 14.0% 12.9% 11.8% HV 20d 52.2% 43.6% 57.1% 48.7% 43.6% HV 60d 40.2% 39.4% 41.4% 40.2% 41.0% IV Rank 64.6% 52.0% 83.7% 66.2% 53.4% IV Percentile 84.9% 73.7% 96.8% 87.6% 74.3% Term Structure 0.4% -1.3% 2.1% -0.8% 1.2% VWIV 44.8% 34.6% 50.0% 45.1% 40.8% Skew 25d 3.4% -1.1% 6.0% -1.1% 3.8% Skew 10d 6.4% -1.8% 11.2% -1.8% 5.8% Call IV 25d 43.5% 38.5% 47.2% 45.9% 39.3% Put IV 25d 46.9% 42.6% 50.6% 44.8% 43.2% Bid-Ask Spread % 27.61 13.53 48.42 25.50 21.91 Gamma HHI 0.09 0.08 0.17 0.08 0.11 Net GEX 1.3M 369.1K 1.9M 1.2M 1.9M Net DEX -115.1M -148.6M -55.2M -101.1M -147.7M Net VEX -286.3K -346.8K -65.3K -342.3K -275.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.61 0.01 1.34 0.72 0.65 Total Volume 1,966.524 152 15,436 2,846 4,711 Total OI 43,891.619 13,733 50,066 47,858 41,730
Daily Data (21 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 2007-11-01 $67.64 $67.50 44.9% 12.9% 48.7% 66.2% 45.1% -1.1% -0.8% 1.2M -101.1M -342.3K 0.72 25.50 N/A N/A 1,652 1,194 31,386 16,472 2007-11-02 $68.82 $67.50 44.5% 12.7% 48.2% 64.7% 44.9% 1.1% 0.5% 1.2M -110.9M -346.8K 0.27 19.51 N/A N/A 1,300 352 31,618 16,730 2007-11-05 $68.00 $52.50 45.1% 13.1% 48.5% 67.0% 45.0% 3.0% 0.7% 1.2M -107.5M -331.9K 0.32 16.59 N/A N/A 722 230 32,158 16,674 2007-11-06 $71.92 $52.50 41.3% 12.2% 51.3% 54.1% 42.3% 3.3% 1.3% 1.6M -142.3M -311.0K 0.72 13.53 N/A N/A 1,556 1,116 31,972 16,778 2007-11-07 $70.43 $52.50 44.6% 13.0% 51.5% 65.3% 46.1% 2.7% 1.1% 1.3M -127.0M -321.3K 0.67 29.99 N/A N/A 762 508 31,638 17,364 2007-11-08 $71.40 $52.50 44.1% 13.4% 50.8% 63.6% 47.3% 3.3% 0.2% 1.4M -134.7M -320.0K 0.33 27.85 N/A N/A 974 322 31,770 17,310 2007-11-09 $70.63 $52.50 42.4% 13.6% 50.3% 57.8% 47.5% 3.1% -0.4% 1.4M -128.4M -322.3K 0.69 25.82 N/A N/A 382 264 32,044 17,404 2007-11-12 $67.39 $52.50 50.2% 14.0% 53.1% 83.7% 49.3% 3.3% -0.8% 1.0M -100.6M -308.3K 0.78 32.27 N/A N/A 776 602 32,024 17,394 2007-11-13 $69.03 $52.50 44.9% 13.6% 53.6% 66.4% 50.0% 5.7% 0.6% 1.2M -112.2M -302.2K 1.34 35.10 N/A N/A 470 628 32,240 17,468 2007-11-14 $70.90 $52.50 42.1% 13.3% 54.2% 56.9% 46.3% 3.0% 0.6% 1.5M -132.8M -294.3K 0.45 29.57 N/A N/A 1,186 532 32,300 17,766 2007-11-15 $70.14 $52.50 46.0% 13.2% 53.9% 69.9% 45.3% 3.9% 0.9% 1.4M -126.0M -289.7K 0.65 29.62 N/A N/A 744 484 32,156 17,654 2007-11-16 $70.74 $45.00 46.8% 13.4% 52.7% 72.4% 47.1% 6.0% 0.9% 369.1K -55.2M -65.3K 0.53 48.42 N/A N/A 354 189 9,860 3,873 2007-11-19 $67.96 $52.50 46.8% 13.4% 55.1% 72.6% 45.9% 3.8% -1.3% 1.3M -100.3M -268.1K 0.46 35.76 N/A N/A 642 297 28,039 12,058 2007-11-20 $68.34 $52.50 45.8% 13.1% 54.7% 69.1% 44.6% 4.0% -0.9% 1.3M -102.2M -264.0K 1.26 31.79 N/A N/A 196 247 28,083 12,061 2007-11-21 $67.40 $52.50 45.6% 13.1% 54.5% 68.5% 45.5% 2.8% 0.6% 1.2M -95.9M -263.3K 0.79 31.65 N/A N/A 85 67 28,056 12,163 2007-11-23 $68.72 $52.50 45.2% 13.0% 54.4% 67.3% 45.3% 3.9% -0.6% 1.3M -102.9M -257.6K 0.28 26.12 N/A N/A 141 40 28,060 12,152 2007-11-26 $67.83 $52.50 46.0% 13.2% 54.4% 69.8% 34.6% 2.7% -1.1% 1.2M -99.8M -244.8K 0.01 28.38 N/A N/A 15,301 135 28,112 12,180 2007-11-27 $69.27 $57.50 44.1% 12.6% 55.0% 63.4% 44.6% 3.8% 1.1% 1.7M -107.7M -310.5K 0.97 18.52 N/A N/A 118 115 29,492 12,228 2007-11-28 $73.29 $57.50 40.6% 11.6% 57.1% 52.0% 41.9% 4.8% 1.8% 1.9M -134.2M -293.7K 0.59 22.21 N/A N/A 635 377 29,475 12,230 2007-11-29 $75.50 $57.50 40.7% 11.7% 50.9% 52.3% 41.4% 4.1% 2.1% 1.9M -148.6M -280.3K 0.40 29.73 N/A N/A 637 254 29,245 12,307 2007-11-30 $75.45 $57.50 41.0% 11.8% 43.6% 53.4% 40.8% 3.8% 1.2% 1.9M -147.7M -275.6K 0.65 21.91 N/A N/A 2,856 1,855 29,274 12,456
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