CRS Options History — October 2008

In October 2008, CRS traded between $17.78 and $25.17. ATM implied volatility averaged 113.6%, placing in the 76.8% IV rank vs the trailing year. The 30-day expected move averaged 30.5%. IV traded below realized volatility by 6.7% (HV 20d: 120.3%). Max pain ranged from $22.50 to $30.00. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 1 of 23 days. Put/call ratio averaged 1.11.

Notable Days

  • 2008-10-09: Highest Volume — 1,609 contracts
  • 2008-10-13: Largest IV drop — 23.9% change
  • 2008-10-02: Highest IV Rank — 100.0%
  • 2008-10-10: Largest Expected Move — 36.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.56$17.78$25.17$25.17$18.10
Max Pain$24.78$22.50$30.00$30.00$22.50
ATM IV113.6%84.5%150.3%84.5%99.6%
Expected Move30.5%24.2%36.0%24.2%28.5%
HV 20d120.3%95.4%140.9%95.4%130.8%
HV 60d85.0%66.7%96.8%66.7%96.7%
IV Rank76.8%50.1%100.0%81.9%55.5%
IV Percentile97.6%92.9%100.0%99.6%92.9%
Term Structure-9.0%-16.2%0.4%-4.1%0.4%
VWIV104.6%83.4%125.0%83.4%92.7%
Skew 25d12.9%4.0%19.2%8.5%17.1%
Skew 10d22.5%5.2%48.1%5.2%32.3%
Call IV 25d99.1%82.0%118.1%82.0%89.4%
Put IV 25d112.0%90.5%129.5%90.5%106.4%
Bid-Ask Spread %19.347.7439.0515.5417.81
Gamma HHI0.220.140.420.240.22
Net GEX-29.4K-41.2K40.5K-29.5K-40.8K
Net DEX7.5M6.8M8.5M7.6M7.2M
Net VEX-23.5K-35.6K-15.0K-32.7K-15.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.068.091.680.29
Total Volume482.348511,609641366
Total OI15,604.39114,29016,79614,97715,117

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-10-01$25.17$30.0084.5%24.2%95.4%81.9%83.4%8.5%-4.1%-29.5K7.6M-32.7K1.6815.54N/AN/A2394029,5215,456
2008-10-02$23.46$30.00102.1%29.3%96.6%100.0%101.7%7.9%-9.6%-27.1K7.3M-31.7K1.6710.84N/AN/A3485809,7075,605
2008-10-03$24.40$30.0090.7%26.0%98.5%83.7%90.7%6.9%-2.6%-33.5K7.2M-35.6K0.4710.17N/AN/A2111009,9736,051
2008-10-06$24.06$25.00108.5%27.1%98.2%100.0%102.5%18.5%-10.8%-29.0K7.5M-33.9K1.6520.22N/AN/A11418810,1256,099
2008-10-07$21.19$25.00124.2%30.3%104.4%100.0%103.1%13.5%-12.6%-38.2K8.4M-25.0K0.6721.63N/AN/A36524310,1386,211
2008-10-08$21.00$25.00132.3%31.9%101.5%100.0%108.5%13.1%-11.7%-33.3K8.0M-27.0K1.2318.98N/AN/A13817010,1886,295
2008-10-09$19.02$25.00134.6%32.7%104.9%100.0%113.0%9.8%-12.8%-32.0K8.4M-21.4K0.0624.45N/AN/A1,5129710,2106,382
2008-10-10$18.88$25.00150.3%36.0%102.7%100.0%125.0%11.4%-11.6%-26.6K7.9M-23.5K0.3939.05N/AN/A34913510,1536,344
2008-10-13$22.35$25.00114.4%29.1%120.3%68.5%99.6%19.2%-7.7%-41.2K8.5M-26.1K0.1433.62N/AN/A4075510,2356,328
2008-10-14$20.84$25.00124.4%30.2%121.4%77.3%102.5%17.4%-9.5%-29.9K8.4M-22.5K1.0418.21N/AN/A838610,4366,360
2008-10-15$17.78$25.00145.1%32.6%129.7%95.4%108.4%4.0%-11.1%-24.2K8.1M-16.1K0.2116.27N/AN/A1914010,4976,070
2008-10-16$20.32$25.00117.7%33.7%140.9%71.4%112.3%13.6%-13.8%-19.8K7.7M-22.6K1.4825.97N/AN/A9714410,4796,107
2008-10-17$20.18$25.00117.3%33.6%126.9%71.1%113.0%13.9%-16.2%40.5K7.7M-23.1K0.0926.20N/AN/A1,1109810,5256,241
2008-10-20$21.96$25.0097.1%27.8%132.1%53.4%99.1%15.3%-6.7%-34.5K6.8M-25.0K0.1317.61N/AN/A592758,6355,655
2008-10-21$21.84$25.0093.5%26.8%131.6%50.1%93.8%11.9%-5.6%-34.9K6.8M-25.0K0.4912.29N/AN/A199988,7835,697
2008-10-22$19.87$22.50108.6%31.1%134.6%63.4%107.4%12.5%-11.5%-30.7K7.1M-21.4K2.197.74N/AN/A16358,8945,716
2008-10-23$19.95$22.50109.1%31.3%134.3%63.9%113.5%14.4%-8.0%-30.6K7.1M-21.5K8.0915.27N/AN/A352838,8945,736
2008-10-24$19.21$22.50114.0%32.7%134.4%68.2%108.7%13.4%-7.3%-30.5K6.9M-21.8K0.8013.39N/AN/A120968,8885,901
2008-10-27$18.05$22.50121.4%34.8%129.9%74.6%114.7%8.2%-13.8%-31.1K6.8M-18.5K0.0918.04N/AN/A528478,9215,720
2008-10-28$19.29$22.50106.3%30.5%132.0%61.5%111.1%14.9%-7.1%-38.0K7.1M-19.0K1.8324.18N/AN/A2234098,9605,736
2008-10-29$18.00$22.50110.3%31.6%133.4%64.9%98.4%15.6%-7.0%-40.0K7.2M-16.5K0.5521.18N/AN/A96539,0105,950
2008-10-30$17.90$22.50106.3%30.5%132.0%61.4%102.3%15.2%-5.6%-40.6K7.2M-15.8K0.2516.11N/AN/A256659,0725,880
2008-10-31$18.10$22.5099.6%28.5%130.8%55.5%92.7%17.1%0.4%-40.8K7.2M-15.0K0.2917.81N/AN/A284829,2175,900