CRS Options History — April 2009

In April 2009, CRS traded between $14.42 and $20.67. ATM implied volatility averaged 63.1%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 18.5%. IV traded below realized volatility by 3.5% (HV 20d: 66.6%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.88.

Notable Days

  • 2009-04-03: Highest Volume — 1,567 contracts
  • 2009-04-28: Largest IV drop — 20.4% change
  • 2009-04-27: Highest IV Rank — 28.0%
  • 2009-04-06: Largest Expected Move — 21.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.33$14.42$20.67$14.42$20.67
Max Pain$15.12$12.50$17.50$15.00$17.50
ATM IV63.1%54.3%68.2%66.0%54.3%
Expected Move18.5%15.6%21.0%18.9%15.6%
HV 20d66.6%62.3%70.8%66.2%66.0%
HV 60d76.6%73.8%78.9%78.8%74.5%
IV Rank23.6%15.8%28.0%26.1%15.9%
IV Percentile42.7%29.4%53.2%47.6%29.4%
Term Structure1.1%-3.5%6.4%6.4%5.1%
VWIV65.0%53.9%75.3%67.8%53.9%
Skew 25d13.0%8.3%17.5%9.7%8.3%
Skew 10d27.9%4.4%44.6%4.4%25.4%
Call IV 25d58.4%50.5%64.9%64.9%50.5%
Put IV 25d71.4%58.8%78.1%74.6%58.8%
Bid-Ask Spread %14.219.3224.369.7013.75
Gamma HHI0.350.190.730.370.30
Net GEX29.1K-11.7K106.9K-11.7K54.9K
Net DEX-1.1M-3.3M698.5K698.5K-2.7M
Net VEX-13.5K-18.4K-10.0K-10.0K-18.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.082.820.770.16
Total Volume415.42971,56771,028
Total OI6,660.5245,2367,6075,3027,607

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-04-01$14.42$15.0066.0%18.9%66.2%26.1%0.0%9.7%6.4%-11.7K698.5K-10.0K0.009.70N/AN/A072,3322,970
2009-04-02$15.62$15.0067.8%19.4%65.1%27.7%67.8%9.6%4.1%-4.8K9.5K-10.5K0.7710.83N/AN/A1611242,3322,972
2009-04-03$15.99$12.5063.4%20.3%65.1%23.9%70.7%15.2%-0.6%-1.4K-216.0K-10.7K0.5317.91N/AN/A1,0235442,4003,020
2009-04-06$15.93$15.0067.1%21.0%65.2%27.0%72.8%14.4%-3.5%32.5K-634.7K-12.3K1.8716.64N/AN/A611143,3933,520
2009-04-07$14.89$15.0065.0%20.5%62.3%25.3%0.0%15.2%-0.6%16.9K311.7K-11.6K0.0818.51N/AN/A6153,4433,560
2009-04-08$15.53$15.0061.2%19.9%63.6%21.9%75.3%14.7%1.1%29.2K-225.2K-11.7K0.9221.06N/AN/A39363,4453,562
2009-04-09$16.87$15.0062.8%18.0%68.9%23.3%60.3%13.3%1.5%49.4K-1.6M-11.9K1.409.32N/AN/A961343,4783,570
2009-04-13$17.34$15.0064.8%18.6%69.0%25.0%65.4%12.2%-0.3%51.0K-2.1M-11.8K2.8212.96N/AN/A34963,5603,676
2009-04-14$16.85$15.0065.1%18.7%70.1%25.3%71.3%13.4%0.9%52.6K-1.6M-11.9K1.8410.53N/AN/A1743203,5773,742
2009-04-15$16.92$15.0065.8%18.9%70.1%26.0%0.0%15.4%0.1%59.6K-1.8M-11.6K0.7610.03N/AN/A1611223,6093,609
2009-04-16$17.50$15.0064.8%18.6%70.8%25.1%73.4%13.1%0.3%106.9K-2.4M-12.0K0.3910.69N/AN/A157623,6793,664
2009-04-17$18.03$15.0062.0%17.8%70.6%22.6%70.7%11.4%1.5%66.7K-3.3M-11.9K0.8321.43N/AN/A2922433,7533,679
2009-04-20$17.06$15.0065.3%18.7%69.2%25.5%65.5%17.5%0.1%-8.3K-80.8K-12.1K1.2714.31N/AN/A2743472,2882,948
2009-04-21$17.86$15.0066.4%19.0%68.7%26.5%65.9%15.3%-1.7%-350-410.5K-13.5K1.1415.95N/AN/A3003422,4943,130
2009-04-22$18.02$15.0065.0%18.6%66.0%25.2%57.4%13.2%-0.2%3.7K-527.8K-15.8K0.1110.06N/AN/A252272,7863,451
2009-04-23$18.24$15.0065.3%18.7%64.2%25.5%61.5%11.8%-1.1%10.7K-715.2K-16.2K0.1110.08N/AN/A110123,0073,447
2009-04-24$19.32$15.0056.7%16.2%63.1%17.9%56.8%12.6%4.0%22.8K-1.5M-16.6K0.5612.61N/AN/A4542523,0773,435
2009-04-27$18.49$15.0068.2%19.6%66.5%28.0%63.4%12.2%-0.7%19.3K-934.1K-17.2K0.8211.14N/AN/A1901553,3723,602
2009-04-28$18.76$15.0054.3%15.6%64.0%15.8%60.6%12.8%4.1%22.5K-966.5K-17.2K0.6116.49N/AN/A4152533,4533,714
2009-04-29$19.66$17.5054.9%15.7%64.9%16.3%57.4%12.1%3.2%38.5K-1.7M-18.4K0.6824.36N/AN/A1471003,6873,828
2009-04-30$20.67$17.5054.3%15.6%66.0%15.9%53.9%8.3%5.1%54.9K-2.7M-18.4K0.1613.75N/AN/A8881403,7113,896