CRS Options History — September 2008

In September 2008, CRS traded between $24.79 and $36.51. ATM implied volatility averaged 62.6%, placing in the 74.3% IV rank vs the trailing year. The 30-day expected move averaged 17.8%. IV traded below realized volatility by 2.9% (HV 20d: 65.5%). Max pain ranged from $30.00 to $40.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.96.

Notable Days

  • 2008-09-03: Highest Volume — 1,536 contracts
  • 2008-09-29: Largest IV spike — 42.8% change
  • 2008-09-29: Highest IV Rank — 100.0%
  • 2008-09-29: Largest Expected Move — 27.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.73$24.79$36.51$36.51$25.65
Max Pain$34.29$30.00$40.00$40.00$30.00
ATM IV62.6%47.2%96.1%47.3%83.3%
Expected Move17.8%13.5%27.5%13.6%23.9%
HV 20d65.5%40.9%95.4%40.9%95.4%
HV 60d53.2%43.7%66.7%44.1%66.7%
IV Rank74.3%39.8%100.0%40.0%80.0%
IV Percentile88.7%58.7%100.0%59.5%99.6%
Term Structure-1.8%-7.8%2.2%2.2%-5.6%
VWIV61.9%40.6%95.3%46.6%78.9%
Skew 25d5.4%2.1%9.7%3.5%9.2%
Skew 10d10.8%2.0%31.8%4.0%31.8%
Call IV 25d60.7%45.9%90.9%45.9%78.1%
Put IV 25d66.1%49.1%100.4%49.4%87.2%
Bid-Ask Spread %15.218.5123.0011.329.16
Gamma HHI0.220.170.340.240.25
Net GEX19.8K-24.7K174.0K174.0K-24.7K
Net DEX8.3M4.0M11.6M8.4M7.3M
Net VEX-47.8K-67.3K-32.6K-67.3K-33.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.960.1713.3713.372.71
Total Volume742.0952091,5361,178605
Total OI21,296.8113,38026,37224,23114,733

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-09-02$36.51$40.0047.3%13.6%40.9%40.0%46.6%3.5%2.2%174.0K8.4M-67.3K13.3711.32N/AN/A821,09617,7496,482
2008-09-03$35.57$40.0047.2%13.5%41.8%39.8%40.6%2.1%1.9%111.4K8.8M-61.9K6.2113.06N/AN/A2131,32317,7556,193
2008-09-04$33.88$40.0048.7%14.0%44.6%43.6%50.3%2.2%1.6%39.2K10.7M-54.9K1.178.51N/AN/A36943117,7816,171
2008-09-05$34.04$40.0048.8%14.2%44.0%43.9%52.0%3.8%1.6%47.0K9.7M-54.4K0.4715.00N/AN/A29413817,9645,852
2008-09-08$32.78$40.0052.9%14.7%44.6%54.8%53.5%4.3%0.4%27.0K9.8M-47.8K0.9018.22N/AN/A57752018,0605,531
2008-09-09$30.63$40.0058.9%16.1%48.3%70.6%55.6%3.7%-0.6%2.8K10.9M-44.6K0.8514.16N/AN/A63354018,4615,870
2008-09-10$32.14$35.0059.5%16.3%52.6%72.0%55.3%4.7%-1.5%15.4K8.8M-51.7K0.8820.27N/AN/A53947618,8635,833
2008-09-11$32.01$35.0056.2%16.1%48.0%63.5%55.1%5.3%-0.7%12.8K8.8M-52.2K0.8619.53N/AN/A41135419,0696,005
2008-09-12$33.14$35.0053.3%15.3%50.5%55.6%53.1%4.5%0.2%45.7K7.5M-56.9K0.6423.00N/AN/A31120019,1946,125
2008-09-15$29.90$35.0060.9%17.5%59.9%75.8%60.4%5.9%-2.1%-23.1K10.7M-42.2K1.5114.06N/AN/A30646219,2046,194
2008-09-16$30.22$35.0062.9%18.0%60.4%81.1%63.3%7.7%-3.0%-16.7K10.3M-46.3K1.9114.45N/AN/A27552619,4256,373
2008-09-17$27.91$30.0069.8%20.0%64.9%99.1%71.6%4.8%-6.0%-24.0K11.5M-40.1K2.3321.63N/AN/A23554819,5336,601
2008-09-18$27.91$35.0067.4%19.3%62.3%92.8%68.2%9.7%-4.4%-10.2K11.6M-41.1K1.0914.48N/AN/A26929319,5486,725
2008-09-19$32.40$30.0069.4%19.9%86.0%98.1%68.4%6.9%-7.2%42.6K6.9M-57.7K0.4621.07N/AN/A59627319,6016,771
2008-09-22$30.86$30.0066.9%19.2%87.1%91.6%66.0%5.7%-2.2%18.9K4.0M-49.8K0.3112.12N/AN/A5551718,5694,811
2008-09-23$29.40$30.0066.9%19.2%87.8%91.6%66.6%4.5%-1.9%8.9K5.1M-45.3K0.1717.62N/AN/A296508,9844,812
2008-09-24$28.60$30.0066.1%19.0%87.9%89.5%69.8%3.6%-2.0%1.2K5.6M-42.3K2.7510.06N/AN/A752069,0784,834
2008-09-25$29.01$30.0064.1%18.4%87.1%84.2%60.6%7.4%0.1%-4.5K5.8M-41.5K0.3412.32N/AN/A156539,1084,918
2008-09-26$28.01$30.0067.3%19.3%87.0%92.6%69.3%5.6%-1.7%-10.7K6.3M-39.2K1.1710.68N/AN/A1681979,1804,931
2008-09-29$24.79$30.0096.1%27.5%94.6%100.0%95.3%9.4%-7.8%-17.3K7.1M-32.6K1.0218.65N/AN/A3783849,2485,094
2008-09-30$25.65$30.0083.3%23.9%95.4%80.0%78.9%9.2%-5.6%-24.7K7.3M-33.1K2.719.16N/AN/A1634429,4785,255