CRS Options History — June 2008

In June 2008, CRS traded between $43.30 and $53.81. ATM implied volatility averaged 46.4%, placing in the 50.5% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 10.6% (HV 20d: 35.9%). Max pain ranged from $45.00 to $52.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.64.

Notable Days

  • 2008-06-05: Highest Volume — 3,273 contracts
  • 2008-06-04: Largest IV spike — 5.1% change
  • 2008-06-11: Highest IV Rank — 57.5%
  • 2008-06-11: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.40$43.30$53.81$53.81$43.65
Max Pain$50.24$45.00$52.50$52.50$45.00
ATM IV46.4%41.9%49.4%41.9%47.7%
Expected Move13.3%12.0%14.2%12.0%13.7%
HV 20d35.9%26.8%42.8%26.8%42.5%
HV 60d52.6%50.5%55.2%55.2%51.4%
IV Rank50.5%39.9%57.5%39.9%53.6%
IV Percentile66.0%46.4%81.7%46.4%73.4%
Term Structure3.1%-1.4%5.7%1.6%4.8%
VWIV46.5%41.9%50.1%41.9%47.9%
Skew 25d2.6%1.8%3.4%2.6%2.0%
Skew 10d3.7%-6.9%9.7%4.0%-6.9%
Call IV 25d45.5%41.4%48.7%41.4%47.4%
Put IV 25d48.1%44.0%50.7%44.0%49.5%
Bid-Ask Spread %12.636.6118.0510.618.67
Gamma HHI0.180.140.290.160.18
Net GEX271.7K-71.8K1.1M1.1M9.7K
Net DEX6.5M-15.8M13.9M-15.8M10.2M
Net VEX-117.0K-185.4K-76.7K-185.4K-82.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.111.390.411.24
Total Volume994.0953433,273583727
Total OI24,513.61916,27828,11227,54617,521

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-06-02$53.81$52.5041.9%12.0%26.8%39.9%41.9%2.6%1.6%1.1M-15.8M-185.4K0.4110.61N/AN/A41217119,7357,811
2008-06-03$52.10$52.5042.5%12.2%28.1%41.2%43.0%2.5%3.5%891.6K-7.2M-168.3K0.7610.83N/AN/A41932019,8977,821
2008-06-04$51.22$52.5044.6%12.8%28.4%46.2%43.8%2.9%0.9%763.4K-3.3M-164.1K0.119.56N/AN/A2,89231220,0127,936
2008-06-05$48.31$52.5046.2%13.3%34.2%50.0%46.1%2.6%-1.4%444.1K6.7M-139.4K0.3411.03N/AN/A2,43983420,2387,855
2008-06-06$48.02$50.0046.2%13.1%33.5%49.9%45.3%2.6%3.3%307.3K7.8M-132.7K0.2315.28N/AN/A45310418,9747,978
2008-06-09$49.55$50.0047.6%13.2%35.9%53.2%45.5%3.1%3.6%454.0K2.9M-138.5K0.1418.05N/AN/A87411919,0757,883
2008-06-10$47.44$50.0047.8%14.0%35.2%53.7%48.1%2.1%2.2%255.0K9.2M-121.0K0.7317.80N/AN/A58342819,1817,886
2008-06-11$47.15$50.0049.4%14.2%34.1%57.5%49.0%2.1%1.9%209.9K9.8M-118.1K0.7911.14N/AN/A54242719,1017,979
2008-06-12$46.64$50.0049.4%14.2%33.3%57.4%50.1%1.9%2.7%149.3K11.9M-113.6K0.4912.60N/AN/A24412019,2457,971
2008-06-13$48.59$50.0047.8%13.7%38.1%53.8%48.3%2.4%1.8%289.2K6.9M-123.2K0.5117.22N/AN/A37019019,3867,880
2008-06-16$47.69$50.0046.9%13.5%37.4%51.7%47.7%2.2%3.3%197.2K9.8M-113.1K1.208.47N/AN/A53764319,5077,973
2008-06-17$47.49$50.0047.3%13.6%36.8%52.6%47.3%1.8%3.0%167.3K10.4M-112.5K0.8212.98N/AN/A22818619,8388,208
2008-06-18$46.77$50.0047.7%13.7%36.5%53.5%50.1%3.4%2.8%96.7K11.9M-106.6K1.3116.15N/AN/A47261719,9538,096
2008-06-19$46.37$50.0047.4%13.6%35.9%52.7%46.2%2.4%2.7%28.7K12.6M-99.3K0.7317.34N/AN/A19814519,9918,095
2008-06-20$45.53$50.0046.4%13.3%36.0%50.3%46.5%2.5%2.8%-71.8K13.9M-96.6K0.3117.30N/AN/A41112720,0388,074
2008-06-23$46.60$50.0045.8%13.1%38.1%49.1%45.9%2.9%4.0%151.7K4.7M-97.5K0.189.57N/AN/A3696810,7425,536
2008-06-24$45.27$50.0045.6%13.1%38.6%48.6%45.2%3.1%4.5%121.7K6.4M-91.2K0.3611.55N/AN/A1,11540210,9415,593
2008-06-25$45.91$50.0044.5%12.8%38.9%46.0%44.9%3.1%5.7%128.4K6.3M-95.4K0.7512.99N/AN/A27120211,3605,912
2008-06-26$43.30$50.0045.9%13.2%41.8%49.2%47.2%3.2%5.3%41910.9M-76.7K1.399.52N/AN/A50369710,6976,085
2008-06-27$43.97$50.0046.7%13.4%42.8%51.2%47.1%3.0%5.6%19.6K9.9M-81.2K0.636.61N/AN/A43327210,6976,085
2008-06-30$43.65$45.0047.7%13.7%42.5%53.6%47.9%2.0%4.8%9.7K10.2M-82.7K1.248.67N/AN/A32540211,0026,519