CRS Options History — July 2008

In July 2008, CRS traded between $36.26 and $42.65. ATM implied volatility averaged 60.4%, placing in the 80.4% IV rank vs the trailing year. The 30-day expected move averaged 17.6%. IV traded above realized volatility by 19.2% (HV 20d: 41.2%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.94.

Notable Days

  • 2008-07-24: Highest Volume — 5,964 contracts
  • 2008-07-31: Largest IV drop — 16.5% change
  • 2008-07-24: Highest IV Rank — 100.0%
  • 2008-07-28: Largest Expected Move — 20.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.85$36.26$42.65$42.65$38.70
Max Pain$43.86$40.00$45.00$45.00$40.00
ATM IV60.4%48.4%70.1%48.4%53.4%
Expected Move17.6%13.9%20.1%13.9%15.3%
HV 20d41.2%32.2%50.6%42.0%48.4%
HV 60d40.9%34.8%51.9%51.5%41.0%
IV Rank80.4%54.9%100.0%54.9%56.2%
IV Percentile95.2%78.2%100.0%78.2%86.1%
Term Structure-3.9%-10.5%7.4%5.2%-0.3%
VWIV60.7%49.4%68.4%49.4%54.3%
Skew 25d7.0%1.0%11.7%2.4%7.8%
Skew 10d13.6%-0.4%28.6%5.3%23.5%
Call IV 25d58.2%48.2%63.5%48.2%53.0%
Put IV 25d65.3%50.6%73.0%50.6%60.8%
Bid-Ask Spread %13.396.2718.3016.5114.06
Gamma HHI0.260.140.690.180.20
Net GEX-133.2K-846.6K38.9K-29.5K-23.4K
Net DEX13.4M6.9M17.9M11.9M6.9M
Net VEX-86.2K-119.3K-66.4K-77.6K-119.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.052.182.050.25
Total Volume1,4643255,964781838
Total OI23,207.54517,73430,21017,83730,210

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-07-01$42.65$45.0048.4%13.9%42.0%54.9%49.4%2.4%5.2%-29.5K11.9M-77.6K2.0516.51N/AN/A25652511,1566,681
2008-07-02$40.63$45.0052.6%15.1%44.1%64.8%52.9%1.0%5.8%-51.9K13.8M-66.4K2.0316.17N/AN/A1,3372,72011,1436,591
2008-07-03$40.78$45.0051.7%14.8%40.7%62.8%53.0%2.5%7.4%-132.8K14.6M-83.8K2.029.74N/AN/A19038412,1388,736
2008-07-07$41.03$45.0054.8%17.5%41.1%69.9%60.0%5.5%-5.2%-137.3K14.1M-83.5K0.4017.98N/AN/A56622912,2248,809
2008-07-08$40.73$45.0053.8%17.3%38.4%67.3%58.8%7.6%-3.7%-136.2K14.5M-80.6K0.7511.20N/AN/A79859712,6198,858
2008-07-09$39.93$45.0052.5%17.2%36.5%60.5%60.1%6.6%-3.4%-145.4K15.8M-78.8K0.677.18N/AN/A39926613,0829,167
2008-07-10$40.20$45.0061.0%17.5%36.9%82.7%62.8%5.5%-4.3%-141.5K15.2M-82.2K1.7518.30N/AN/A12922613,1149,194
2008-07-11$40.25$45.0061.8%17.7%37.0%83.7%60.8%7.0%-3.7%-153.6K15.0M-80.9K1.1813.24N/AN/A26030713,1759,203
2008-07-14$39.98$45.0063.4%18.2%32.3%88.4%62.7%7.6%-5.2%-142.2K14.6M-78.1K1.4511.31N/AN/A26338113,2729,078
2008-07-15$39.57$45.0064.6%18.5%32.2%91.7%65.1%7.7%-5.4%-150.3K15.5M-76.5K0.2817.28N/AN/A53414713,4079,142
2008-07-16$40.89$45.0063.9%18.3%35.5%89.6%62.9%7.3%-4.0%-131.8K12.7M-82.7K0.5411.25N/AN/A69037213,6309,184
2008-07-17$40.73$45.0065.0%18.6%35.4%92.8%63.3%7.4%-5.3%-145.8K12.5M-82.4K0.4613.05N/AN/A25511713,7769,193
2008-07-18$40.01$45.0063.7%18.3%35.6%89.2%61.3%6.8%-4.3%-846.6K13.7M-77.3K0.7814.48N/AN/A43233713,8459,193
2008-07-21$41.95$45.0062.4%17.9%40.2%85.4%60.0%7.7%-4.9%38.9K8.3M-81.5K0.1216.79N/AN/A1,00212212,3548,086
2008-07-22$39.68$45.0061.9%17.7%42.8%84.0%61.9%8.5%-5.4%-4.9K12.3M-70.7K1.4411.52N/AN/A1,0301,48112,9098,172
2008-07-23$39.39$45.0061.1%17.5%42.1%81.8%59.8%7.5%-4.6%-7.0K11.7M-85.6K0.9212.73N/AN/A40937513,6108,606
2008-07-24$36.26$45.0068.0%19.5%49.1%100.0%66.3%10.6%-8.3%-61.8K16.8M-72.9K2.1816.97N/AN/A1,8764,08813,7788,953
2008-07-25$37.47$40.0068.0%19.5%48.3%99.8%66.1%11.7%-9.4%-209.8K17.9M-97.9K0.0514.49N/AN/A4,02821515,11612,220
2008-07-28$37.39$40.0070.1%20.1%47.6%100.0%68.4%9.1%-10.5%-149.3K16.1M-106.4K0.756.27N/AN/A18613916,53812,213
2008-07-29$38.83$40.0062.5%17.9%50.3%79.9%62.4%9.1%-6.5%-85.1K11.4M-115.7K0.499.65N/AN/A46923117,08212,283
2008-07-30$39.60$40.0064.0%18.4%50.6%84.1%64.0%7.8%-8.9%-82.1K9.8M-116.5K0.1014.44N/AN/A2,73826416,60812,218
2008-07-31$38.70$40.0053.4%15.3%48.4%56.2%54.3%7.8%-0.3%-23.4K6.9M-119.3K0.2514.06N/AN/A67016817,90612,304