CRS Options History — February 2009

In February 2009, CRS traded between $13.64 and $18.63. ATM implied volatility averaged 78.0%, placing in the 36.6% IV rank vs the trailing year. The 30-day expected move averaged 22.4%. IV traded above realized volatility by 2.2% (HV 20d: 75.8%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.69.

Notable Days

2009-02-18: Highest Volume — 632 contracts
2009-02-17: Largest IV spike — 17.7% change
2009-02-23: Highest IV Rank — 47.1%
2009-02-23: Largest Expected Move — 25.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.93	$13.64	$18.63	$16.20	$13.70
Max Pain	$20.00	$20.00	$20.00	$20.00	$20.00
ATM IV	78.0%	69.8%	90.0%	83.1%	85.5%
Expected Move	22.4%	20.0%	25.8%	23.8%	24.5%
HV 20d	75.8%	68.2%	84.1%	82.0%	72.9%
HV 60d	96.7%	84.3%	105.0%	105.0%	84.3%
IV Rank	36.6%	29.4%	47.1%	41.1%	43.1%
IV Percentile	73.0%	68.3%	81.7%	77.0%	77.8%
Term Structure	-2.7%	-7.7%	4.9%	0.4%	-1.1%
VWIV	74.7%	66.2%	90.6%	75.9%	69.5%
Skew 25d	15.0%	9.1%	19.3%	10.5%	15.3%
Skew 10d	32.8%	23.6%	46.9%	23.6%	30.1%
Call IV 25d	70.3%	61.3%	76.5%	74.5%	73.9%
Put IV 25d	85.3%	77.0%	93.3%	85.0%	89.2%
Bid-Ask Spread %	14.86	10.37	20.17	17.85	14.03
Gamma HHI	0.22	0.18	0.27	0.20	0.23
Net GEX	8.0K	-8.7K	35.2K	6.9K	-7.9K
Net DEX	2.2M	1.1M	3.8M	3.8M	1.7M
Net VEX	-8.8K	-13.0K	-5.5K	-9.9K	-5.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.69	0.00	2.39	0.23	0.15
Total Volume	191.263	28	632	397	75
Total OI	9,154.368	6,697	10,584	10,171	6,753

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2009-02-02	$16.20	$20.00	83.1%	23.8%	82.0%	41.1%	75.9%	10.5%	0.4%	6.9K	3.8M	-9.9K	0.23	17.85	N/A	N/A	324	73	5,934	4,237
2009-02-03	$16.87	$20.00	73.6%	21.1%	84.1%	32.8%	74.5%	13.1%	1.8%	12.9K	2.8M	-11.1K	0.66	20.17	N/A	N/A	83	55	6,059	3,854
2009-02-04	$17.08	$20.00	72.2%	20.7%	77.0%	31.5%	72.3%	9.1%	3.5%	16.9K	2.0M	-11.4K	0.40	19.75	N/A	N/A	20	8	6,138	3,501
2009-02-05	$17.62	$20.00	69.8%	20.0%	76.4%	29.4%	66.2%	10.2%	4.9%	20.6K	1.8M	-11.8K	0.18	12.94	N/A	N/A	112	20	6,150	3,505
2009-02-06	$18.63	$20.00	70.0%	20.8%	79.0%	29.6%	70.8%	17.1%	-1.9%	33.9K	1.1M	-13.0K	0.56	17.26	N/A	N/A	265	149	6,214	3,507
2009-02-09	$18.42	$20.00	75.0%	21.7%	75.0%	34.0%	71.4%	14.8%	-3.6%	35.2K	1.2M	-12.2K	0.66	15.51	N/A	N/A	148	98	6,274	3,511
2009-02-10	$16.71	$20.00	75.9%	21.6%	79.5%	34.8%	90.6%	15.8%	-4.1%	17.4K	2.3M	-10.0K	2.29	11.42	N/A	N/A	42	96	6,356	3,531
2009-02-11	$16.52	$20.00	70.6%	21.2%	78.6%	30.1%	73.1%	17.8%	-2.6%	12.5K	2.3M	-9.0K	0.54	14.79	N/A	N/A	132	71	6,348	3,423
2009-02-12	$16.71	$20.00	74.1%	21.2%	74.4%	33.2%	76.3%	16.6%	-4.4%	16.0K	2.2M	-9.2K	0.80	15.69	N/A	N/A	102	82	6,378	3,418
2009-02-13	$16.58	$20.00	73.0%	20.9%	73.3%	32.2%	68.6%	14.8%	-2.5%	15.6K	2.3M	-8.9K	1.10	15.56	N/A	N/A	125	137	6,450	3,445
2009-02-17	$15.77	$20.00	85.9%	24.6%	74.7%	43.5%	85.8%	17.4%	-7.7%	4.7K	2.7M	-8.0K	1.10	10.37	N/A	N/A	93	102	6,560	3,493
2009-02-18	$15.72	$20.00	80.5%	23.1%	69.2%	38.8%	70.4%	15.4%	-7.0%	5.8K	2.7M	-7.5K	0.89	12.19	N/A	N/A	334	298	6,629	3,473
2009-02-19	$15.29	$20.00	79.1%	22.7%	68.7%	37.6%	74.8%	19.3%	-5.4%	-7.0K	2.9M	-8.2K	2.39	15.12	N/A	N/A	31	74	6,865	3,719
2009-02-20	$15.29	$20.00	78.4%	22.5%	68.2%	37.0%	75.0%	14.5%	-4.2%	-8.7K	2.8M	-8.0K	0.62	16.86	N/A	N/A	37	23	6,862	3,706
2009-02-23	$13.67	$20.00	90.0%	25.8%	77.0%	47.1%	76.1%	16.8%	-4.4%	-5.9K	1.6M	-6.0K	0.17	10.79	N/A	N/A	167	29	4,670	2,411
2009-02-24	$14.56	$20.00	79.4%	22.8%	81.5%	37.9%	72.9%	15.2%	-3.8%	-1.5K	1.4M	-6.7K	0.11	13.84	N/A	N/A	117	13	4,738	2,395
2009-02-25	$13.76	$20.00	77.9%	22.3%	74.4%	36.6%	78.0%	16.0%	-1.9%	-7.9K	1.7M	-5.7K	0.00	14.48	N/A	N/A	58	0	4,306	2,391
2009-02-26	$13.64	$20.00	87.8%	25.2%	74.2%	45.2%	76.5%	15.9%	-7.7%	-8.0K	1.7M	-5.5K	0.32	13.81	N/A	N/A	31	10	4,338	2,391
2009-02-27	$13.70	$20.00	85.5%	24.5%	72.9%	43.1%	69.5%	15.3%	-1.1%	-7.9K	1.7M	-5.5K	0.15	14.03	N/A	N/A	65	10	4,352	2,401