CRS Options History — December 2008

In December 2008, CRS traded between $14.47 and $20.54. ATM implied volatility averaged 82.4%, placing in the 40.5% IV rank vs the trailing year. The 30-day expected move averaged 23.7%. IV traded below realized volatility by 40.1% (HV 20d: 122.5%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.54.

Notable Days

  • 2008-12-19: Highest Volume — 1,001 contracts
  • 2008-12-11: Largest IV spike — 14.4% change
  • 2008-12-01: Highest IV Rank — 55.6%
  • 2008-12-01: Largest Expected Move — 28.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.13$14.47$20.54$14.47$20.54
Max Pain$19.09$17.50$20.00$20.00$20.00
ATM IV82.4%64.7%99.7%99.7%64.7%
Expected Move23.7%18.5%28.6%28.6%18.5%
HV 20d122.5%88.2%139.4%133.1%88.2%
HV 60d121.3%119.8%123.7%119.8%120.0%
IV Rank40.5%25.0%55.6%55.6%25.0%
IV Percentile79.8%69.4%90.1%90.1%69.4%
Term Structure2.6%-2.2%7.4%-1.8%7.4%
VWIV79.1%57.8%108.3%100.4%73.2%
Skew 25d16.1%9.4%22.3%16.2%9.4%
Skew 10d33.7%16.6%42.1%29.8%16.6%
Call IV 25d75.2%60.2%95.8%95.8%60.2%
Put IV 25d91.3%69.6%112.0%112.0%69.6%
Bid-Ask Spread %16.5412.7922.5015.6522.50
Gamma HHI0.230.120.560.220.21
Net GEX8.2K-6.5K48.3K1.2K21.6K
Net DEX2.6M627.1K3.9M3.4M1.8M
Net VEX-11.7K-14.1K-8.5K-8.8K-13.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.540.0513.335.590.05
Total Volume350.182431,00114558
Total OI11,334.9556,72314,52312,3347,320

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-12-01$14.47$20.0099.7%28.6%133.1%55.6%100.4%16.2%-1.8%1.2K3.4M-8.8K5.5915.65N/AN/A221238,6353,699
2008-12-02$15.61$20.0097.5%28.0%134.1%53.7%0.0%17.8%-2.2%-1.6K3.5M-9.5K13.3317.44N/AN/A3408,6513,792
2008-12-03$15.16$20.0094.3%27.0%133.2%50.9%108.3%22.3%4.0%-1.6K3.5M-8.6K1.9115.67N/AN/A2023858,6543,823
2008-12-04$15.10$20.0096.4%27.6%129.1%52.8%77.0%21.1%-0.7%-4.3K3.6M-8.5K4.0515.86N/AN/A923738,5703,950
2008-12-05$15.11$17.5093.4%27.2%127.6%50.1%88.4%18.3%-1.2%-6.2K3.9M-8.5K0.1820.89N/AN/A148268,6174,129
2008-12-08$17.32$17.5090.0%25.3%136.2%47.2%83.6%20.8%1.5%-6.5K3.3M-10.9K0.4114.93N/AN/A3251328,7024,145
2008-12-09$17.96$17.5090.1%26.0%136.8%47.2%93.9%17.5%-0.5%-3.5K2.9M-12.4K0.7716.07N/AN/A2161668,9374,281
2008-12-10$19.49$17.5078.7%23.8%139.4%37.2%73.4%19.5%1.8%-1.5K2.1M-13.9K1.1512.79N/AN/A2542929,0034,361
2008-12-11$18.35$17.5090.0%25.8%136.2%47.1%88.2%17.7%-0.3%-5.1K2.8M-13.0K2.9816.42N/AN/A1153439,1234,463
2008-12-12$19.11$17.5082.7%23.7%130.6%40.7%83.3%16.7%3.5%-1.8K2.3M-13.3K0.3115.39N/AN/A5641739,1994,348
2008-12-15$17.76$17.5090.5%25.9%129.0%47.5%90.7%13.6%1.4%14.6K2.9M-11.4K0.2517.92N/AN/A211529,6784,401
2008-12-16$19.46$17.5080.6%23.1%131.9%38.9%80.7%15.9%2.9%32.7K1.9M-12.5K0.8714.43N/AN/A3352919,6754,440
2008-12-17$20.52$20.0080.3%23.0%132.3%38.6%78.3%14.7%2.9%46.1K627.1K-14.1K0.1113.31N/AN/A444519,7784,609
2008-12-18$19.51$20.0080.1%23.0%123.4%38.5%78.8%13.8%3.4%48.3K1.8M-13.4K0.1614.44N/AN/A274449,9034,620
2008-12-19$19.21$20.0072.3%20.7%113.2%31.6%71.6%15.6%5.7%14.8K2.8M-11.4K0.0916.32N/AN/A917849,7514,662
2008-12-22$17.95$20.0078.4%22.5%113.5%36.9%71.3%16.9%3.2%-1.6K2.7M-11.7K0.1717.24N/AN/A132233,2903,433
2008-12-23$18.50$20.0075.0%21.5%111.7%34.0%70.1%14.5%5.6%1.1K2.6M-12.0K0.1218.69N/AN/A94113,3393,454
2008-12-24$18.50$20.0074.9%21.5%111.8%33.9%57.8%12.5%5.1%2.9K2.6M-11.9K0.0719.68N/AN/A8363,3943,454
2008-12-26$19.46$20.0066.8%19.2%106.1%26.8%59.7%15.3%5.9%7.3K2.4M-12.7K0.2614.25N/AN/A177463,4503,458
2008-12-29$19.43$20.0069.9%20.0%105.9%29.5%70.8%11.3%4.5%8.3K2.3M-12.6K0.5515.25N/AN/A128713,5363,473
2008-12-30$20.35$20.0066.1%18.9%90.9%26.2%61.7%13.0%5.6%16.1K2.0M-13.3K0.4718.63N/AN/A121573,6593,510
2008-12-31$20.54$20.0064.7%18.5%88.2%25.0%73.2%9.4%7.4%21.6K1.8M-13.6K0.0522.50N/AN/A5533,7713,549