CRS Options History — March 2008

In March 2008, CRS traded between $55.78 and $64.63. ATM implied volatility averaged 48.7%, placing in the 55.7% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded below realized volatility by 2.3% (HV 20d: 51.0%). Max pain ranged from $55.00 to $65.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.98.

Notable Days

  • 2008-03-12: Highest Volume — 3,173 contracts
  • 2008-03-10: Largest IV spike — 14.0% change
  • 2008-03-17: Highest IV Rank — 69.7%
  • 2008-03-17: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.81$55.78$64.63$64.04$55.97
Max Pain$58.75$55.00$65.00$60.00$55.00
ATM IV48.7%43.0%54.6%43.0%51.8%
Expected Move14.0%12.3%15.7%12.3%14.9%
HV 20d51.0%35.7%60.4%35.7%56.0%
HV 60d50.7%47.5%53.7%47.5%52.1%
IV Rank55.7%42.3%69.7%42.3%63.2%
IV Percentile85.0%71.4%94.8%71.4%91.7%
Term Structure0.3%-2.9%2.4%1.4%0.7%
VWIV48.6%43.4%54.7%43.7%48.1%
Skew 25d3.7%1.3%5.7%1.9%5.7%
Skew 10d6.3%-3.1%16.8%4.4%8.7%
Call IV 25d47.3%42.8%52.8%43.0%48.9%
Put IV 25d51.0%44.9%56.6%44.9%54.6%
Bid-Ask Spread %19.2310.7937.3113.1918.41
Gamma HHI0.340.180.680.240.18
Net GEX950.2K406.2K2.0M714.8K406.2K
Net DEX-9.6M-33.5M16.6M-28.7M538.7K
Net VEX-129.9K-170.6K-98.9K-170.6K-98.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.063.110.350.80
Total Volume1,198.051123,1735722,083
Total OI27,512.5511,96035,75733,13713,244

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$64.04$60.0043.0%12.3%35.7%42.3%43.7%1.9%1.4%714.8K-28.7M-170.6K0.3513.19N/AN/A42414820,94412,193
2008-03-04$62.35$60.0045.2%13.0%37.1%47.6%45.8%1.6%1.3%944.8K-20.6M-164.8K1.7015.45N/AN/A40869320,98511,942
2008-03-05$64.63$60.0043.6%12.5%37.1%43.8%43.4%3.3%0.6%742.1K-33.5M-166.2K0.0614.53N/AN/A106621,18512,069
2008-03-06$61.71$60.0045.6%13.1%40.0%48.5%45.9%1.3%1.4%976.1K-16.6M-157.9K0.7211.95N/AN/A21715621,18112,073
2008-03-07$59.26$65.0046.0%13.8%41.6%49.5%48.5%3.7%0.1%1.1M-3.1M-148.7K3.0216.33N/AN/A4851,46321,26012,009
2008-03-10$55.78$65.0052.4%14.7%46.6%64.6%51.6%3.7%-0.6%1.0M16.6M-127.1K2.7117.48N/AN/A4321,17021,34512,377
2008-03-11$58.01$65.0047.9%14.0%48.9%54.0%48.5%4.5%0.5%1.2M4.5M-133.3K0.9020.76N/AN/A1,1971,07521,53212,233
2008-03-12$58.83$60.0047.6%14.0%49.3%53.3%47.0%4.3%-0.4%1.4M-3.5M-136.7K0.1410.79N/AN/A2,79138222,35512,227
2008-03-13$62.18$60.0048.0%13.8%52.7%54.3%47.5%3.3%-0.4%1.1M-26.4M-133.3K0.4419.91N/AN/A93040921,73611,564
2008-03-14$60.45$60.0050.2%14.4%53.7%59.3%49.8%3.9%-0.5%1.3M-15.2M-130.9K1.0221.03N/AN/A58559521,92811,725
2008-03-17$59.82$60.0054.6%15.7%53.7%69.7%54.7%3.9%-2.9%1.4M-9.8M-133.1K0.2818.01N/AN/A1,69846822,38312,184
2008-03-18$62.23$60.0051.3%14.7%55.1%61.9%52.0%5.6%-2.3%1.2M-27.6M-127.9K0.1230.49N/AN/A2,24426622,60012,098
2008-03-19$58.01$55.0052.0%14.9%60.1%63.6%51.5%3.7%-0.7%2.0M-864.2K-121.7K3.1118.73N/AN/A16551323,64212,115
2008-03-20$58.81$55.0051.9%14.9%60.4%63.3%52.8%4.4%-0.9%1.3M-2.4M-111.3K0.6637.31N/AN/A45229723,65411,631
2008-03-24$59.87$55.0049.7%14.3%60.4%58.2%49.0%4.6%0.3%427.3K-7.1M-110.8K0.1922.35N/AN/A354687,7824,178
2008-03-25$60.50$55.0048.2%13.8%57.4%54.7%47.3%5.0%1.6%480.8K-8.1M-111.6K0.2118.17N/AN/A430907,9814,217
2008-03-26$59.44$55.0046.9%13.5%57.6%51.7%46.9%4.3%1.8%500.2K-6.4M-109.5K1.1913.94N/AN/A59708,1954,269
2008-03-27$57.60$55.0047.6%13.6%58.3%53.2%47.7%2.0%1.9%453.5K-2.7M-104.2K0.4317.06N/AN/A207898,2204,307
2008-03-28$56.65$55.0049.4%14.2%58.3%57.5%49.7%4.0%2.4%426.7K-586.0K-100.4K1.5128.77N/AN/A2934438,3194,369
2008-03-31$55.97$55.0051.8%14.9%56.0%63.2%48.1%5.7%0.7%406.2K538.7K-98.9K0.8018.41N/AN/A1,1609238,5004,744