CRS Options History — December 2007

In December 2007, CRS traded between $70.56 and $79.40. ATM implied volatility averaged 40.5%, placing in the 51.8% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded below realized volatility by 0.5% (HV 20d: 41.1%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.27.

Notable Days

  • 2007-12-26: Highest Volume — 5,156 contracts
  • 2007-12-17: Largest IV spike — 8.0% change
  • 2007-12-17: Highest IV Rank — 60.2%
  • 2007-12-17: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.29$70.56$79.40$74.68$75.17
Max Pain$60.75$60.00$65.00$60.00$65.00
ATM IV40.5%37.3%43.1%42.6%40.5%
Expected Move11.7%10.7%12.4%12.2%11.6%
HV 20d41.1%38.3%45.8%43.7%40.7%
HV 60d41.7%39.8%44.0%41.1%43.8%
IV Rank51.8%41.2%60.2%58.7%51.8%
IV Percentile71.7%60.7%81.7%80.5%71.2%
Term Structure2.7%0.3%5.0%0.4%4.1%
VWIV41.1%37.8%45.1%42.1%40.2%
Skew 25d3.7%1.3%5.6%2.1%4.4%
Skew 10d7.7%4.0%11.4%4.3%8.1%
Call IV 25d39.3%36.8%42.7%41.5%38.8%
Put IV 25d42.9%41.1%44.8%43.5%43.1%
Bid-Ask Spread %19.1312.3926.0816.0920.06
Gamma HHI0.130.100.230.120.13
Net GEX1.5M763.8K2.0M1.7M1.1M
Net DEX-124.3M-170.5M-83.2M-136.5M-83.2M
Net VEX-264.8K-298.3K-241.5K-281.9K-291.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.270.119.211.501.36
Total Volume1,321.12005,156370932
Total OI40,666.5527,58946,20642,87530,605

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$74.68$60.0042.6%12.2%43.7%58.7%42.1%2.1%0.4%1.7M-136.5M-281.9K1.5016.09N/AN/A14822229,28913,586
2007-12-04$76.03$60.0041.8%12.0%43.5%55.9%41.1%4.0%0.3%1.7M-143.3M-280.6K0.2817.56N/AN/A46312929,32213,664
2007-12-05$76.52$60.0040.1%11.5%39.2%50.5%40.6%3.5%1.8%1.8M-150.1M-273.7K0.3017.45N/AN/A61018129,62913,664
2007-12-06$79.08$60.0037.3%10.7%39.5%41.2%41.0%4.2%2.4%2.0M-167.8M-262.1K0.8418.53N/AN/A87373229,88613,730
2007-12-07$78.35$60.0037.5%11.1%39.7%41.7%38.4%4.2%2.9%1.9M-163.4M-263.8K0.6017.68N/AN/A39223630,09713,985
2007-12-10$79.40$60.0039.3%11.4%39.4%47.5%40.6%4.8%2.0%2.0M-170.5M-252.8K1.4616.93N/AN/A23334030,11714,107
2007-12-11$76.06$60.0039.5%11.4%38.7%48.5%39.9%2.6%2.5%1.7M-147.0M-258.9K1.3223.34N/AN/A43657730,20314,309
2007-12-12$77.24$60.0038.8%11.6%38.3%46.0%39.1%5.1%2.0%1.8M-152.4M-253.5K0.4724.35N/AN/A41419530,18514,255
2007-12-13$75.91$60.0040.2%11.5%38.3%50.8%39.5%4.7%2.6%1.6M-141.3M-251.9K0.5420.98N/AN/A1307030,08614,228
2007-12-14$73.53$60.0039.9%11.4%40.0%49.7%40.4%2.5%3.2%1.6M-126.0M-249.6K9.2115.28N/AN/A2872,64330,11614,194
2007-12-17$70.56$60.0043.1%12.4%42.8%60.2%43.5%1.3%2.4%1.6M-95.6M-262.8K0.4518.04N/AN/A32214630,29515,911
2007-12-18$70.95$60.0042.8%12.3%40.1%59.1%43.3%2.7%2.3%1.6M-105.1M-257.7K1.4417.97N/AN/A36252130,33614,838
2007-12-19$70.60$60.0042.1%12.1%40.2%56.9%42.1%1.8%2.3%1.7M-102.9M-255.6K0.4120.21N/AN/A2138730,39314,970
2007-12-20$70.97$60.0042.4%12.1%39.8%57.8%44.3%4.7%1.8%2.0M-104.3M-250.6K0.1412.39N/AN/A2,66737430,45614,876
2007-12-21$75.06$60.0040.5%11.6%43.7%51.7%42.2%4.0%3.2%1.3M-133.7M-241.5K2.1615.88N/AN/A9292,00830,25414,942
2007-12-24$78.25$60.0039.6%11.4%45.1%48.7%40.0%4.6%4.3%763.8K-98.6M-251.0K0.5426.08N/AN/A1,09659318,7848,805
2007-12-26$76.74$60.0041.6%11.9%45.8%55.2%37.8%5.6%4.1%817.1K-94.5M-262.7K0.1322.21N/AN/A4,55360319,5449,307
2007-12-27$75.55$65.0041.0%11.8%42.0%53.3%45.1%2.9%3.7%1.0M-85.0M-294.6K0.1120.31N/AN/A1,28414220,1419,755
2007-12-28$75.16$65.0040.2%11.5%40.7%50.5%40.7%3.9%5.0%1.1M-84.3M-298.3K2.0721.25N/AN/A9118820,6339,834
2007-12-31$75.17$65.0040.5%11.6%40.7%51.8%40.2%4.4%4.1%1.1M-83.2M-291.8K1.3620.06N/AN/A39553720,6559,950