CRS Options History — March 2009

In March 2009, CRS traded between $12.15 and $15.64. ATM implied volatility averaged 76.6%, placing in the 35.3% IV rank vs the trailing year. The 30-day expected move averaged 21.8%. IV traded below realized volatility by 8.1% (HV 20d: 84.7%). Max pain ranged from $12.50 to $20.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.60.

Notable Days

  • 2009-03-20: Highest Volume — 2,515 contracts
  • 2009-03-26: Largest IV drop — 13.9% change
  • 2009-03-02: Highest IV Rank — 47.8%
  • 2009-03-02: Largest Expected Move — 26.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.95$12.15$15.64$12.15$14.12
Max Pain$15.57$12.50$20.00$20.00$15.00
ATM IV76.6%66.1%90.8%90.8%68.0%
Expected Move21.8%19.0%26.0%26.0%19.5%
HV 20d84.7%69.9%93.0%80.6%69.9%
HV 60d82.1%78.6%89.1%86.3%78.6%
IV Rank35.3%26.2%47.8%47.8%27.8%
IV Percentile65.2%50.0%84.1%84.1%52.4%
Term Structure-0.0%-7.4%4.6%-7.4%3.9%
VWIV76.8%66.7%101.0%101.0%75.1%
Skew 25d15.4%10.5%23.2%19.0%23.2%
Skew 10d33.1%4.3%53.7%4.3%53.7%
Call IV 25d68.6%55.8%82.3%82.3%55.8%
Put IV 25d84.1%75.5%101.3%101.3%78.9%
Bid-Ask Spread %15.799.1924.709.909.19
Gamma HHI0.380.190.670.250.37
Net GEX5.8K-14.1K73.2K-11.2K-11.9K
Net DEX1.1M-528.0K1.9M1.9M814.6K
Net VEX-6.6K-9.7K-3.9K-3.9K-9.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.600.005.833.571.94
Total Volume461.27352,515105241
Total OI6,641.2733,3739,1586,7115,133

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-03-02$12.15$20.0090.8%26.0%80.6%47.8%101.0%19.0%-7.4%-11.2K1.9M-3.9K3.579.90N/AN/A23824,3002,411
2009-03-03$12.67$20.0087.2%25.0%83.1%44.7%87.7%18.3%-4.2%-12.8K1.9M-4.4K1.8310.02N/AN/A12224,3072,450
2009-03-04$13.57$20.0087.1%25.0%86.0%44.5%78.2%18.9%-4.5%-11.9K1.8M-5.1K4.1811.17N/AN/A17714,3192,460
2009-03-05$12.61$20.0085.7%24.6%88.3%43.4%85.4%14.8%-3.8%-13.7K1.9M-4.3K0.0011.29N/AN/A5404,3222,487
2009-03-06$12.64$12.5084.7%23.6%86.9%42.5%83.9%18.5%-1.8%-13.8K1.9M-4.2K0.2524.70N/AN/A414,3452,481
2009-03-09$12.64$12.5087.8%23.8%82.9%45.2%0.0%17.1%-2.4%-14.1K1.9M-4.1K0.5121.06N/AN/A49254,3492,463
2009-03-10$13.96$12.5076.0%21.4%93.0%34.9%74.5%16.5%-1.2%-11.8K1.6M-4.9K1.1617.74N/AN/A2352724,3802,463
2009-03-11$14.21$15.0078.6%21.4%88.1%37.2%74.5%16.1%-0.8%-6.5K1.5M-5.7K0.1111.64N/AN/A1,3731554,3592,547
2009-03-12$14.65$15.0074.8%21.4%89.2%33.8%74.9%13.3%-0.8%48.2K653.0K-7.0K0.6919.95N/AN/A1921335,5252,554
2009-03-13$15.01$15.0074.0%21.2%89.6%33.1%73.8%14.3%0.5%61.4K345.3K-7.6K0.9118.74N/AN/A46425,6632,636
2009-03-16$14.94$15.0073.9%21.2%89.6%33.0%73.8%14.9%-0.8%73.2K484.3K-7.0K1.5917.26N/AN/A4907815,6432,644
2009-03-17$14.96$15.0072.2%20.7%88.0%31.5%76.2%15.6%-0.0%29.4K1.1M-7.6K1.5015.44N/AN/A1552325,4923,323
2009-03-18$15.12$15.0071.4%20.5%88.2%30.9%74.9%16.1%1.1%42.0K948.8K-8.0K0.3416.30N/AN/A134455,5493,508
2009-03-19$15.64$15.0071.4%20.5%88.5%30.8%69.2%14.6%2.6%-1.2K-528.0K-7.5K1.1016.10N/AN/A1071185,6183,535
2009-03-20$14.64$15.0072.3%20.7%91.7%31.6%72.7%13.9%1.3%38.8K1.0M-7.6K5.8317.58N/AN/A3682,1475,5773,581
2009-03-23$14.17$15.0071.1%20.4%83.0%30.6%77.1%14.3%1.5%-5.5K623.0K-6.5K0.7616.43N/AN/A3262491,6951,678
2009-03-24$13.61$15.0078.6%22.5%80.9%37.1%72.5%10.5%1.7%-5.6K735.2K-6.6K0.6513.49N/AN/A2611691,9111,859
2009-03-25$13.25$15.0076.8%22.0%79.0%35.6%75.7%14.6%2.3%-8.3K922.9K-6.6K4.9513.73N/AN/A1296391,9821,986
2009-03-26$14.19$15.0066.1%19.0%82.8%26.2%70.2%11.9%4.6%-12.3K802.9K-8.9K0.9622.60N/AN/A2402302,0112,526
2009-03-27$14.28$15.0066.9%19.2%82.8%26.9%66.7%11.7%3.7%-10.6K687.5K-9.7K1.1116.14N/AN/A83922,2022,754
2009-03-30$13.78$15.0068.8%19.7%70.8%28.5%73.8%11.9%4.1%-14.0K1.0M-9.3K1.1716.98N/AN/A48562,2362,844
2009-03-31$14.12$15.0068.0%19.5%69.9%27.8%75.1%23.2%3.9%-11.9K814.6K-9.7K1.949.19N/AN/A821592,2732,860