CRS Options History — February 2008

In February 2008, CRS traded between $58.87 and $67.21. ATM implied volatility averaged 43.0%, placing in the 42.4% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded below realized volatility by 9.9% (HV 20d: 52.9%). Max pain ranged from $60.00 to $70.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.92.

Notable Days

  • 2008-02-26: Highest Volume — 1,838 contracts
  • 2008-02-11: Largest IV spike — 9.4% change
  • 2008-02-04: Highest IV Rank — 59.7%
  • 2008-02-05: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.67$58.87$67.21$61.96$62.83
Max Pain$60.50$60.00$70.00$70.00$60.00
ATM IV43.0%37.8%50.4%46.4%42.3%
Expected Move12.3%10.8%14.0%13.3%12.1%
HV 20d52.9%29.3%62.8%62.8%35.2%
HV 60d47.8%46.4%49.9%49.9%47.4%
IV Rank42.4%30.1%59.7%50.4%40.8%
IV Percentile67.9%47.2%91.7%82.9%68.3%
Term Structure1.8%-0.1%3.6%0.2%0.9%
VWIV42.7%38.1%48.7%44.6%41.9%
Skew 25d3.0%1.8%3.9%3.4%2.7%
Skew 10d5.3%2.6%8.5%5.0%2.6%
Call IV 25d41.7%37.0%47.1%43.9%41.1%
Put IV 25d44.7%39.2%50.8%47.3%43.8%
Bid-Ask Spread %13.9710.3517.2210.9515.36
Gamma HHI0.230.150.300.210.30
Net GEX957.6K739.1K1.2M763.3K1.0M
Net DEX-24.7M-54.5M-117.7K-13.5M-24.7M
Net VEX-187.4K-228.5K-163.5K-228.5K-170.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.920.077.181.933.39
Total Volume727.652341,8385741,646
Total OI34,130.730,42736,99236,44332,106

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-02-01$61.96$70.0046.4%13.3%62.8%50.4%44.6%3.4%0.2%763.3K-13.5M-228.5K1.9310.95N/AN/A19637822,80213,641
2008-02-04$62.26$60.0050.4%13.8%62.4%59.7%43.1%3.3%-0.1%805.4K-16.8M-225.2K4.3417.22N/AN/A6226922,86413,518
2008-02-05$60.29$60.0048.6%14.0%62.4%55.6%48.7%3.8%0.0%763.2K-6.8M-212.7K1.9616.11N/AN/A12023522,90013,545
2008-02-06$58.87$60.0047.5%13.7%61.5%53.0%48.7%3.4%0.9%739.1K-117.7K-204.2K1.2614.14N/AN/A54869022,93813,468
2008-02-07$60.54$60.0046.4%13.6%62.2%50.3%45.4%3.7%0.8%851.7K-9.2M-212.8K1.5515.95N/AN/A19329923,41713,506
2008-02-08$60.33$60.0043.8%13.5%62.0%44.3%46.9%3.7%0.9%845.2K-7.9M-207.2K2.3213.83N/AN/A10123423,45113,541
2008-02-11$60.82$60.0047.9%13.5%62.0%54.0%47.6%3.9%0.9%907.8K-13.1M-197.3K1.9313.04N/AN/A14728423,47012,929
2008-02-12$60.81$60.0046.5%13.1%60.3%50.6%44.8%3.0%1.7%945.8K-13.7M-191.3K2.2711.77N/AN/A38988423,57612,971
2008-02-13$62.14$60.0045.4%12.5%59.4%48.0%42.5%3.3%2.6%1.0M-21.3M-189.8K0.5014.24N/AN/A20510223,73012,988
2008-02-14$61.93$60.0042.6%12.2%58.8%41.6%43.9%2.7%3.2%1.1M-21.0M-186.6K0.7215.79N/AN/A1369823,80812,976
2008-02-15$61.40$60.0041.2%11.8%54.3%38.3%42.1%2.5%3.6%1.1M-20.0M-179.6K2.2713.87N/AN/A8920223,66812,744
2008-02-19$62.78$60.0040.5%11.6%53.8%36.6%39.8%2.7%1.5%1.2M-28.8M-168.1K0.5313.59N/AN/A36319220,5249,903
2008-02-20$63.44$60.0039.8%11.4%51.6%34.9%42.2%3.4%0.9%1.1M-34.6M-167.3K0.0714.27N/AN/A1,38810320,7539,754
2008-02-21$62.77$60.0039.5%11.3%48.3%34.1%38.8%2.1%2.3%1.2M-31.7M-163.5K0.6313.87N/AN/A40125320,9159,771
2008-02-22$63.98$60.0037.8%10.8%43.1%30.1%38.8%3.6%3.3%1.1M-37.6M-164.7K1.3712.88N/AN/A53573121,1049,906
2008-02-25$67.21$60.0038.2%11.0%46.0%31.2%38.8%2.8%3.6%999.2K-54.5M-167.8K0.9810.35N/AN/A29128620,74710,135
2008-02-26$66.84$60.0038.0%10.9%46.2%30.7%38.3%2.8%3.2%923.1K-50.8M-164.2K1.3711.81N/AN/A7751,06320,55410,251
2008-02-27$66.13$60.0038.0%10.9%36.3%30.8%38.1%1.8%2.5%888.4K-43.6M-174.4K1.8413.41N/AN/A9016620,78411,092
2008-02-28$66.13$60.0038.8%11.1%29.3%32.7%39.2%1.9%2.3%873.6K-43.5M-172.8K7.1816.89N/AN/A5035920,79211,072
2008-02-29$62.83$60.0042.3%12.1%35.2%40.8%41.9%2.7%0.9%1.0M-24.7M-170.4K3.3915.36N/AN/A3751,27120,80111,305