CRS Options History — May 2008

In May 2008, CRS traded between $52.29 and $60.72. ATM implied volatility averaged 41.4%, placing in the 38.6% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded below realized volatility by 3.1% (HV 20d: 44.5%). Max pain ranged from $50.00 to $52.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.04.

Notable Days

  • 2008-05-15: Highest Volume — 7,366 contracts
  • 2008-05-15: Largest IV spike — 14.4% change
  • 2008-05-01: Highest IV Rank — 49.4%
  • 2008-05-01: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.14$52.29$60.72$52.29$55.20
Max Pain$52.26$50.00$52.50$50.00$52.50
ATM IV41.4%36.2%46.0%46.0%39.9%
Expected Move12.1%11.4%13.2%13.2%11.4%
HV 20d44.5%23.8%74.9%74.2%26.5%
HV 60d57.3%55.7%58.0%57.7%55.7%
IV Rank38.6%26.5%49.4%49.4%35.2%
IV Percentile44.0%22.2%64.3%64.3%32.5%
Term Structure3.0%-1.3%5.5%-1.3%3.1%
VWIV42.1%39.6%46.0%46.0%39.7%
Skew 25d3.3%1.0%4.6%4.4%1.8%
Skew 10d6.4%-8.0%12.2%12.2%2.6%
Call IV 25d40.7%38.4%44.2%44.2%39.4%
Put IV 25d44.0%41.1%48.6%48.6%41.1%
Bid-Ask Spread %14.3510.2217.2416.6810.45
Gamma HHI0.190.140.520.140.16
Net GEX1.3M654.5K3.4M654.5K1.2M
Net DEX-30.6M-52.8M-5.7M-5.7M-23.3M
Net VEX-183.4K-228.6K-153.7K-155.4K-193.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.104.591.340.62
Total Volume1,183.6191377,3662201,326
Total OI25,785.85724,60328,36124,65226,948

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-05-01$52.29$50.0046.0%13.2%74.2%49.4%46.0%4.4%-1.3%654.5K-5.7M-155.4K1.3416.68N/AN/A9412616,1038,549
2008-05-02$53.68$50.0042.0%12.0%74.3%40.1%43.0%1.0%2.0%794.6K-12.6M-160.7K0.9913.47N/AN/A52752216,1458,554
2008-05-05$54.73$52.5044.6%12.8%74.9%46.2%41.7%4.2%2.1%895.8K-17.4M-163.9K4.5915.76N/AN/A21397716,2988,664
2008-05-06$55.10$52.5043.8%12.5%74.2%44.4%45.2%3.8%3.1%908.3K-18.7M-160.3K0.4712.28N/AN/A33415816,0568,547
2008-05-07$55.33$52.5042.4%12.5%73.5%41.0%43.3%2.4%3.1%922.0K-19.5M-158.4K0.6215.78N/AN/A54033716,0648,564
2008-05-08$55.97$52.5041.1%12.4%73.6%37.9%42.5%2.7%3.3%1.0M-22.4M-160.5K1.4513.87N/AN/A24936016,3018,575
2008-05-09$56.42$52.5040.7%12.2%73.5%37.1%44.2%3.2%3.7%1.0M-24.2M-159.7K0.7716.33N/AN/A1048016,3338,641
2008-05-12$58.25$52.5041.2%12.2%37.5%38.2%42.9%4.6%2.2%1.2M-34.3M-155.2K0.5412.47N/AN/A37520216,3278,325
2008-05-13$59.04$52.5038.2%11.8%35.9%31.2%41.4%4.2%4.2%1.3M-38.7M-153.7K0.1815.09N/AN/A84014816,3658,392
2008-05-14$59.50$52.5036.2%11.6%33.4%26.5%40.4%3.7%4.1%1.4M-42.3M-163.0K0.2216.79N/AN/A90619517,1828,370
2008-05-15$59.59$52.5041.4%11.9%30.8%38.7%42.9%3.8%5.1%1.5M-42.7M-161.5K0.1014.74N/AN/A6,70166516,9818,416
2008-05-16$60.20$52.5041.5%11.9%29.4%38.9%41.0%4.3%5.5%3.4M-52.8M-199.4K0.3715.28N/AN/A2,8651,06419,6438,718
2008-05-19$60.66$52.5041.2%11.8%29.2%38.2%40.7%3.8%2.3%1.3M-47.3M-216.2K0.6811.68N/AN/A43429618,4726,898
2008-05-20$60.72$52.5040.2%11.5%25.7%35.8%39.6%3.5%2.3%1.3M-47.2M-217.7K0.3015.00N/AN/A1,01930218,6797,024
2008-05-21$58.87$52.5040.5%11.6%29.0%36.5%42.6%3.7%3.2%1.3M-41.8M-228.6K1.7317.24N/AN/A35761919,5237,187
2008-05-22$57.95$52.5040.6%11.7%29.2%36.9%40.8%2.5%2.7%1.3M-35.3M-219.8K0.2515.66N/AN/A1102719,3517,426
2008-05-23$57.10$52.5040.5%11.6%28.9%36.5%39.9%3.7%3.9%1.3M-31.7M-214.4K1.0315.15N/AN/A11511919,3947,447
2008-05-27$56.67$52.5042.3%12.1%29.1%40.7%42.0%3.6%3.0%1.3M-29.4M-206.7K0.4413.50N/AN/A27712119,4367,421
2008-05-28$57.25$52.5042.1%12.1%23.8%40.3%42.7%3.2%2.6%1.3M-32.5M-206.9K4.0413.87N/AN/A12048519,5327,453
2008-05-29$55.37$52.5042.8%12.3%27.1%41.9%42.6%1.4%2.4%1.2M-23.3M-196.5K1.2010.22N/AN/A24929819,5407,659
2008-05-30$55.20$52.5039.9%11.4%26.5%35.2%39.7%1.8%3.1%1.2M-23.3M-193.6K0.6210.45N/AN/A82050619,4987,450