CRS Options History — August 2008

In August 2008, CRS traded between $36.01 and $39.88. ATM implied volatility averaged 49.2%, placing in the 45.1% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 1.3% (HV 20d: 47.9%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.51.

Notable Days

  • 2008-08-15: Highest Volume — 5,254 contracts
  • 2008-08-04: Largest IV spike — 15.6% change
  • 2008-08-04: Highest IV Rank — 81.8%
  • 2008-08-04: Largest Expected Move — 16.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.20$36.01$39.88$37.86$38.81
Max Pain$45.00$40.00$50.00$40.00$40.00
ATM IV49.2%42.1%63.2%54.7%42.1%
Expected Move14.0%12.1%16.4%15.7%12.1%
HV 20d47.9%38.0%55.2%48.8%38.0%
HV 60d42.7%41.0%44.1%41.1%42.5%
IV Rank45.1%26.4%81.8%59.3%26.4%
IV Percentile63.7%31.3%95.2%88.1%31.3%
Term Structure1.7%-1.6%4.4%-0.6%4.4%
VWIV49.0%41.5%58.3%58.3%41.5%
Skew 25d2.8%1.0%6.3%6.3%1.8%
Skew 10d4.0%-5.0%14.9%14.9%-5.0%
Call IV 25d48.3%42.1%55.8%54.8%42.1%
Put IV 25d51.1%43.9%61.1%61.1%43.9%
Bid-Ask Spread %11.385.5215.0410.5710.70
Gamma HHI0.320.240.570.270.26
Net GEX58.4K-526.3K357.6K-129.5K314.7K
Net DEX9.9M3.6M18.4M13.9M4.7M
Net VEX-89.5K-106.5K-77.2K-106.5K-80.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.510.1014.910.962.02
Total Volume897.0951295,254843680
Total OI27,517.52423,90130,83929,93724,157

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-08-01$37.86$40.0054.7%15.7%48.8%59.3%58.3%6.3%-0.6%-129.5K13.9M-106.5K0.9610.57N/AN/A43141217,66612,271
2008-08-04$36.19$50.0063.2%16.4%50.8%81.8%55.8%3.5%-1.6%-145.3K17.6M-97.2K1.2211.29N/AN/A24329618,25012,228
2008-08-05$36.49$50.0061.3%16.3%51.1%76.7%55.8%5.7%-1.4%-173.3K18.4M-94.8K0.156.62N/AN/A3915718,20212,214
2008-08-06$36.97$45.0054.1%15.5%51.2%57.9%53.4%2.0%-0.6%-174.2K16.8M-94.3K3.467.92N/AN/A6362,19918,39812,037
2008-08-07$36.01$45.0052.0%15.3%51.6%52.4%53.5%2.6%0.0%-165.0K18.4M-85.7K0.668.23N/AN/A18011918,67711,636
2008-08-08$36.81$45.0050.2%15.0%52.5%47.6%51.4%3.9%0.8%-143.0K17.1M-85.4K0.6214.41N/AN/A53833318,68711,530
2008-08-11$37.66$45.0052.3%14.4%53.4%53.1%51.6%3.8%0.8%-102.2K14.2M-91.7K0.8214.62N/AN/A32926919,06711,643
2008-08-12$37.50$45.0052.7%15.1%53.3%54.2%51.3%3.2%0.2%-70.7K14.9M-88.4K0.3815.04N/AN/A1816919,08111,736
2008-08-13$39.44$45.0048.5%14.3%55.2%43.1%50.5%3.6%1.2%-65.2K5.4M-99.4K0.7814.22N/AN/A40331519,18711,512
2008-08-14$39.45$45.0048.6%13.9%55.2%43.4%47.6%2.0%2.3%-223.2K7.8M-95.0K14.9112.83N/AN/A761,13319,31411,525
2008-08-15$39.88$45.0048.4%13.9%55.0%43.0%49.3%1.0%2.6%-526.3K6.1M-97.0K0.1014.81N/AN/A4,75849619,32610,966
2008-08-18$38.92$45.0047.6%13.7%52.6%40.8%49.0%1.6%2.2%291.9K4.7M-90.4K0.3212.30N/AN/A64720817,0596,842
2008-08-19$38.37$45.0047.3%13.6%49.1%39.9%47.2%1.0%2.4%272.9K6.3M-85.0K1.1214.59N/AN/A14616417,0696,841
2008-08-20$39.76$45.0045.2%13.0%50.8%34.5%45.5%1.8%3.8%348.1K3.6M-92.3K0.397.73N/AN/A2108117,1736,882
2008-08-21$39.44$45.0044.8%12.8%40.4%33.3%45.3%2.0%3.5%349.4K4.1M-89.3K0.7710.88N/AN/A17713717,2696,899
2008-08-22$39.15$45.0043.5%12.5%39.2%30.1%43.9%3.2%3.8%338.3K5.6M-85.9K1.055.52N/AN/A636617,3307,014
2008-08-25$37.86$45.0045.9%13.2%41.2%36.3%45.9%2.8%2.7%270.4K8.0M-79.1K1.1314.85N/AN/A9310517,3757,040
2008-08-26$37.70$45.0044.9%12.9%38.8%33.6%45.6%1.6%2.4%260.5K8.5M-77.2K0.2314.84N/AN/A1734017,4287,075
2008-08-27$38.77$45.0043.9%12.6%39.5%30.9%43.8%3.2%3.3%339.4K6.5M-80.8K0.218.83N/AN/A85317817,5407,067
2008-08-28$39.11$45.0042.7%12.2%38.7%27.8%42.7%1.8%4.1%357.6K5.8M-82.5K0.498.24N/AN/A64031417,4677,188
2008-08-29$38.81$40.0042.1%12.1%38.0%26.4%41.5%1.8%4.4%314.7K4.7M-80.6K2.0210.70N/AN/A22545517,5606,597