CRS Options History — January 2008

In January 2008, CRS traded between $55.71 and $74.57. ATM implied volatility averaged 54.2%, placing in the 82.6% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded above realized volatility by 7.7% (HV 20d: 46.5%). Max pain ranged from $65.00 to $75.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.75.

Notable Days

  • 2008-01-23: Highest Volume — 5,636 contracts
  • 2008-01-29: Largest IV drop — 18.4% change
  • 2008-01-10: Highest IV Rank — 100.0%
  • 2008-01-23: Largest Expected Move — 19.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.21$55.71$74.57$74.57$61.53
Max Pain$70.00$65.00$75.00$65.00$70.00
ATM IV54.2%39.0%67.5%41.4%48.2%
Expected Move15.8%11.2%19.4%11.9%13.8%
HV 20d46.5%39.6%62.5%40.7%62.5%
HV 60d47.0%43.6%50.8%43.6%49.9%
IV Rank82.6%46.5%100.0%54.7%54.6%
IV Percentile93.5%60.7%100.0%75.7%88.1%
Term Structure-3.5%-8.2%5.2%3.5%-1.6%
VWIV54.9%39.8%67.6%42.2%47.0%
Skew 25d1.4%-3.2%5.9%4.3%2.5%
Skew 10d1.7%-6.2%8.9%8.9%-1.7%
Call IV 25d54.3%39.4%64.5%40.1%45.9%
Put IV 25d55.8%41.0%70.4%44.4%48.4%
Bid-Ask Spread %17.789.7724.9613.769.77
Gamma HHI0.180.130.220.130.22
Net GEX1.1M689.4K1.7M1.1M778.3K
Net DEX-25.7M-79.0M9.4M-79.0M-13.3M
Net VEX-265.6K-311.7K-206.3K-291.4K-227.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.032.991.701.31
Total Volume1,882.9051235,636619502
Total OI34,69630,98436,48130,98436,481

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-01-02$74.57$65.0041.4%11.9%40.7%54.7%42.2%4.3%3.5%1.1M-79.0M-291.4K1.7013.76N/AN/A22939020,61010,374
2008-01-03$74.30$65.0039.0%11.2%40.1%46.5%39.8%1.7%5.2%1.1M-76.6M-290.1K0.8614.39N/AN/A32928220,74210,699
2008-01-04$72.04$75.0041.2%13.2%41.4%54.1%45.9%1.3%0.4%1.2M-64.3M-293.2K1.3524.96N/AN/A36549120,80410,838
2008-01-07$69.69$75.0046.9%14.9%40.4%72.9%51.3%2.7%-3.3%1.3M-48.9M-292.8K0.5017.64N/AN/A3,4461,72920,94711,163
2008-01-08$66.93$70.0050.3%15.2%42.2%84.2%53.2%0.0%-4.0%1.4M-35.8M-311.7K1.1317.71N/AN/A27831323,24212,247
2008-01-09$65.23$70.0052.1%16.0%41.8%90.2%55.6%1.0%-5.0%1.4M-24.7M-294.6K0.5416.20N/AN/A2,2591,22122,95112,097
2008-01-10$65.74$70.0055.3%15.9%40.4%100.0%55.1%1.3%-3.4%1.5M-28.1M-295.6K0.3218.86N/AN/A57618723,23512,429
2008-01-11$64.60$70.0055.4%15.9%39.6%100.0%55.3%0.8%-4.5%1.5M-21.4M-285.6K0.0819.33N/AN/A114923,43412,431
2008-01-14$66.96$70.0056.8%16.3%42.5%100.0%55.9%1.5%-5.4%1.7M-37.1M-285.8K0.0618.83N/AN/A2,47916023,13312,272
2008-01-15$64.25$70.0056.9%16.3%43.4%100.0%57.3%-1.2%-5.0%1.3M-21.4M-279.8K0.1620.02N/AN/A2984723,23912,264
2008-01-16$62.79$70.0057.4%16.5%41.9%100.0%58.5%-2.5%-5.6%1.2M-13.2M-268.0K0.0820.00N/AN/A3,27026523,38512,219
2008-01-17$59.01$70.0060.0%17.2%46.1%100.0%61.8%-3.2%-5.5%832.9K1.1M-249.2K0.0817.52N/AN/A3,28427323,57012,229
2008-01-18$60.81$70.0059.2%17.0%48.2%97.5%58.4%1.1%-6.1%860.4K-9.1M-252.9K0.4019.73N/AN/A91436623,37012,172
2008-01-22$58.42$70.0063.2%18.1%49.3%100.0%63.4%0.8%-6.8%830.4K-2.2M-232.0K0.3619.56N/AN/A1,41150922,55711,786
2008-01-23$55.71$70.0067.5%19.4%44.4%100.0%67.6%5.9%-8.2%689.4K9.4M-206.3K0.1712.39N/AN/A4,81382322,05911,838
2008-01-24$59.53$70.0064.3%18.4%49.2%92.3%63.6%2.5%-7.0%822.2K-10.9M-254.4K0.0315.09N/AN/A1,4625023,35312,390
2008-01-25$59.59$70.0061.9%17.7%49.4%86.7%61.6%2.7%-4.1%879.0K-11.3M-254.7K0.6419.68N/AN/A22414423,55412,323
2008-01-28$59.99$70.0061.9%17.7%49.9%86.7%62.4%1.0%-4.9%773.4K-7.9M-232.7K2.9922.32N/AN/A5391,61222,22112,289
2008-01-29$65.15$70.0050.5%14.5%60.0%60.0%48.1%4.6%-0.6%852.7K-30.9M-243.0K0.4517.51N/AN/A1,58471522,34313,100
2008-01-30$61.56$70.0048.4%13.9%62.5%55.1%48.4%1.0%-0.7%832.5K-15.0M-235.4K2.4618.07N/AN/A4561,12323,00313,223
2008-01-31$61.53$70.0048.2%13.8%62.5%54.6%47.0%2.5%-1.6%778.3K-13.3M-227.8K1.319.77N/AN/A21728522,96113,520