CRS Options History — April 2008

In April 2008, CRS traded between $49.86 and $62.18. ATM implied volatility averaged 49.9%, placing in the 58.6% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded below realized volatility by 16.7% (HV 20d: 66.6%). Max pain ranged from $50.00 to $60.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.60.

Notable Days

  • 2008-04-14: Highest Volume — 14,729 contracts
  • 2008-04-14: Largest IV spike — 11.9% change
  • 2008-04-14: Highest IV Rank — 74.8%
  • 2008-04-14: Largest Expected Move — 16.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.92$49.86$62.18$59.21$51.28
Max Pain$53.64$50.00$60.00$55.00$50.00
ATM IV49.9%45.9%56.8%47.0%46.7%
Expected Move14.5%13.2%16.3%13.5%13.4%
HV 20d66.6%45.8%77.9%59.7%73.6%
HV 60d57.1%52.0%62.7%53.6%57.9%
IV Rank58.6%49.2%74.8%51.9%51.0%
IV Percentile83.8%69.4%96.0%78.6%69.4%
Term Structure-2.0%-4.9%3.0%3.0%-2.1%
VWIV50.6%45.5%56.0%48.8%46.7%
Skew 25d4.2%1.2%6.0%6.0%1.8%
Skew 10d8.3%0.8%20.2%20.2%2.5%
Call IV 25d48.8%44.2%54.5%44.7%47.0%
Put IV 25d53.0%47.8%60.0%50.7%48.7%
Bid-Ask Spread %20.7011.7033.3726.9119.50
Gamma HHI0.170.120.240.190.12
Net GEX584.5K111.8K910.3K467.3K467.0K
Net DEX-5.5M-18.3M13.9M-3.9M525.2K
Net VEX-141.0K-162.1K-90.4K-114.1K-142.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.023.230.350.23
Total Volume1,837.2274914,7291,0471,562
Total OI19,983.04513,93128,42113,93123,569

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-04-01$59.21$55.0047.0%13.5%59.7%51.9%48.8%6.0%3.0%467.3K-3.9M-114.1K0.3526.91N/AN/A7762718,4935,438
2008-04-02$59.95$55.0046.4%13.3%59.3%50.5%47.8%5.1%2.7%484.9K-6.8M-118.7K0.6522.40N/AN/A3432228,5825,392
2008-04-03$59.92$55.0045.9%13.2%57.6%49.2%45.5%2.6%3.0%511.4K-7.2M-119.9K0.3821.20N/AN/A178678,8085,440
2008-04-04$61.33$55.0047.5%14.4%56.1%53.0%49.8%5.3%-1.9%549.6K-10.3M-120.5K0.1224.59N/AN/A2,2242658,8105,457
2008-04-07$60.69$60.0046.7%14.5%54.2%51.1%49.4%4.8%-2.0%788.9K-13.0M-137.7K0.2020.10N/AN/A1,01420210,8585,685
2008-04-08$62.18$60.0046.2%14.5%49.5%50.0%49.9%5.5%-3.0%910.3K-18.3M-148.1K0.2120.35N/AN/A4719911,6165,747
2008-04-09$60.07$60.0046.6%14.6%49.8%50.9%52.2%5.0%-2.3%863.4K-12.3M-144.5K0.5418.94N/AN/A76841511,9005,794
2008-04-10$60.49$60.0049.3%14.1%49.6%57.3%49.4%5.2%-1.7%814.6K-10.9M-147.0K0.1719.74N/AN/A42711,6616,200
2008-04-11$59.30$60.0050.7%14.5%45.8%60.6%49.3%5.1%-1.7%750.7K-7.8M-142.1K0.0425.19N/AN/A8843811,6756,205
2008-04-14$49.86$60.0056.8%16.3%75.8%74.8%56.0%5.4%-4.9%111.8K13.9M-90.4K0.4311.70N/AN/A10,3204,40912,3486,205
2008-04-15$51.77$50.0053.5%15.3%77.6%67.1%52.6%5.0%-3.7%612.4K429.6K-162.1K0.3018.53N/AN/A2,75082819,2919,130
2008-04-16$53.99$50.0051.5%14.8%77.9%62.3%50.6%4.3%-2.7%699.4K-8.1M-159.9K0.2627.92N/AN/A57215116,6868,694
2008-04-17$52.38$50.0054.1%15.5%74.8%68.6%52.6%3.2%-4.8%587.4K-3.2M-154.3K0.5820.97N/AN/A33019216,5868,774
2008-04-18$54.03$50.0050.1%14.4%75.6%59.1%51.0%3.6%-2.1%655.8K-7.5M-155.9K0.5316.53N/AN/A27514516,3898,851
2008-04-21$54.84$50.0052.8%15.1%75.5%65.3%52.4%3.7%-3.9%581.6K-8.8M-156.4K2.4818.85N/AN/A5061,25513,2877,528
2008-04-22$53.09$50.0052.7%15.1%75.9%65.1%52.4%3.1%-2.6%521.5K-4.7M-147.9K0.0224.97N/AN/A1,1002013,2877,528
2008-04-23$53.47$50.0051.6%14.8%75.9%62.6%51.6%2.5%-2.3%523.1K-4.1M-153.5K0.1233.37N/AN/A6407613,6097,849
2008-04-24$52.74$50.0050.9%14.6%75.4%60.9%52.2%3.8%-1.9%594.5K-3.8M-151.6K0.6414.18N/AN/A26016714,2097,883
2008-04-25$54.07$50.0049.6%14.2%75.9%58.0%49.7%4.2%-1.5%494.2K-5.1M-152.0K1.1319.43N/AN/A19021413,3087,896
2008-04-28$53.96$50.0052.2%15.0%75.9%64.0%55.5%6.0%-4.3%505.1K-4.8M-149.7K3.2317.33N/AN/A15148813,4087,990
2008-04-29$51.70$50.0048.2%13.8%73.9%54.7%48.4%1.2%-2.7%363.4K4.0M-132.8K0.5312.66N/AN/A3,6231,90913,4218,140
2008-04-30$51.28$50.0046.7%13.4%73.6%51.0%46.7%1.8%-2.1%467.0K525.2K-142.2K0.2319.50N/AN/A1,27029214,9708,599