CRS Options History — January 2009

In January 2009, CRS traded between $16.50 and $23.89. ATM implied volatility averaged 75.2%, placing in the 34.2% IV rank vs the trailing year. The 30-day expected move averaged 22.0%. IV traded below realized volatility by 9.2% (HV 20d: 84.4%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.84.

Notable Days

  • 2009-01-08: Highest Volume — 1,247 contracts
  • 2009-01-12: Largest IV spike — 32.5% change
  • 2009-01-20: Highest IV Rank — 44.8%
  • 2009-01-20: Largest Expected Move — 25.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.70$16.50$23.89$21.93$16.50
Max Pain$21.38$20.00$25.00$20.00$20.00
ATM IV75.2%59.4%87.4%59.4%72.7%
Expected Move22.0%17.0%25.0%17.0%20.8%
HV 20d84.4%78.6%90.7%88.5%86.8%
HV 60d108.7%103.8%118.1%118.0%105.2%
IV Rank34.2%20.3%44.8%20.3%32.0%
IV Percentile73.7%60.3%80.6%60.3%71.0%
Term Structure-0.0%-4.0%7.6%7.6%2.6%
VWIV75.2%64.5%93.4%66.4%75.7%
Skew 25d13.8%10.1%16.2%10.1%10.7%
Skew 10d30.5%17.0%43.9%17.7%30.4%
Call IV 25d70.2%57.2%79.7%57.2%70.6%
Put IV 25d84.0%67.3%95.0%67.3%81.2%
Bid-Ask Spread %17.8110.3323.3219.5916.37
Gamma HHI0.290.200.510.250.20
Net GEX27.1K8.5K50.7K32.3K8.5K
Net DEX2.6M108.4K4.3M1.3M4.3M
Net VEX-14.9K-17.6K-10.8K-13.7K-10.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.047.000.312.03
Total Volume520.85761,247272218
Total OI9,579.47,34511,2167,34510,510

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-01-02$21.93$20.0059.4%17.0%88.5%20.3%66.4%10.1%7.6%32.3K1.3M-13.7K0.3119.59N/AN/A207653,7933,552
2009-01-05$22.02$20.0064.6%20.0%88.3%24.9%67.7%15.4%0.9%34.0K1.1M-14.2K0.7116.31N/AN/A3682603,9093,617
2009-01-06$23.89$22.5059.6%18.6%90.7%20.4%64.5%15.5%1.1%50.7K108.4K-16.6K0.3218.50N/AN/A3671164,2243,872
2009-01-07$22.34$22.5068.2%20.2%85.5%28.0%65.5%16.2%0.3%45.5K879.9K-16.0K0.7918.22N/AN/A107844,4293,953
2009-01-08$22.96$22.5067.0%21.2%85.2%27.0%69.9%15.5%-1.3%50.5K531.7K-16.4K0.5419.39N/AN/A8104374,4383,970
2009-01-09$21.26$25.0065.6%21.0%86.7%25.8%77.9%13.4%-0.7%31.1K1.8M-17.6K0.5623.32N/AN/A2551425,0354,338
2009-01-12$20.01$25.0086.9%22.6%86.7%44.4%75.9%14.4%-0.7%22.5K2.7M-15.8K0.4315.13N/AN/A2741185,2474,442
2009-01-13$20.48$25.0079.2%22.7%86.0%37.6%74.2%12.6%0.9%29.1K2.3M-16.5K0.0512.86N/AN/A546265,3554,473
2009-01-14$18.89$25.0073.3%23.9%86.9%32.5%83.8%15.3%-2.7%16.7K3.4M-14.4K1.1517.58N/AN/A4395055,6424,458
2009-01-15$19.42$20.0081.9%23.5%81.0%40.0%82.2%14.7%-0.1%21.1K3.2M-16.7K0.3613.97N/AN/A4191525,9824,910
2009-01-16$19.47$20.0081.1%23.3%78.6%39.3%80.9%15.6%-0.9%36.8K3.0M-17.3K0.8515.03N/AN/A1511286,3024,914
2009-01-20$17.87$20.0087.4%25.0%82.4%44.8%82.5%15.3%-1.1%14.4K3.3M-14.2K0.2820.25N/AN/A260745,2084,339
2009-01-21$18.28$20.0086.0%24.7%82.8%43.6%0.0%16.0%-2.5%18.1K3.3M-14.5K0.2318.41N/AN/A62145,3004,352
2009-01-22$17.73$20.0086.2%24.7%79.9%43.8%80.1%12.8%-2.3%16.1K3.5M-13.8K0.2322.81N/AN/A309725,3444,366
2009-01-23$18.02$20.0084.8%24.3%79.3%42.5%93.4%14.0%-0.6%21.0K3.3M-14.2K7.0019.05N/AN/A10705,5274,389
2009-01-26$17.56$20.0085.1%24.4%79.8%42.8%78.6%11.8%-4.0%17.5K3.6M-12.6K0.1910.33N/AN/A9541775,5294,459
2009-01-27$19.18$20.0067.6%19.4%84.1%27.5%67.5%11.0%1.0%32.6K3.0M-15.1K0.2322.78N/AN/A8291915,7844,593
2009-01-28$18.57$20.0074.3%21.3%84.9%33.4%68.5%12.6%1.2%26.9K3.3M-14.6K0.4321.19N/AN/A173755,9214,537
2009-01-29$17.57$20.0074.0%21.2%84.8%33.1%73.5%12.7%1.0%17.5K3.8M-12.7K0.0415.18N/AN/A918355,9854,590
2009-01-30$16.50$20.0072.7%20.8%86.8%32.0%75.7%10.7%2.6%8.5K4.3M-10.8K2.0316.37N/AN/A721465,8964,614