CRS Options History — May 2009

In May 2009, CRS traded between $19.48 and $22.48. ATM implied volatility averaged 57.0%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded below realized volatility by 6.0% (HV 20d: 63.0%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.12.

Notable Days

  • 2009-05-13: Highest Volume — 1,794 contracts
  • 2009-05-11: Largest IV spike — 18.7% change
  • 2009-05-13: Highest IV Rank — 30.8%
  • 2009-05-13: Largest Expected Move — 18.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.35$19.48$22.48$20.68$22.48
Max Pain$17.63$17.50$20.00$17.50$20.00
ATM IV57.0%49.9%71.4%56.1%49.9%
Expected Move16.1%14.3%18.2%16.1%14.3%
HV 20d63.0%57.2%66.8%62.0%60.8%
HV 60d71.9%64.2%76.1%74.5%64.2%
IV Rank16.8%9.0%30.8%17.4%9.0%
IV Percentile29.7%16.3%57.5%30.6%16.3%
Term Structure1.7%-0.3%3.7%2.3%2.8%
VWIV56.4%49.8%64.6%55.1%56.4%
Skew 25d9.6%6.0%14.5%7.7%7.8%
Skew 10d22.1%12.0%39.8%21.5%22.3%
Call IV 25d51.6%47.5%58.3%50.4%47.6%
Put IV 25d61.2%54.8%70.6%58.1%55.4%
Bid-Ask Spread %13.708.8218.1116.4314.37
Gamma HHI0.380.300.500.310.48
Net GEX66.4K24.6K114.8K62.0K114.8K
Net DEX-3.7M-6.5M173.3K-2.7M-6.5M
Net VEX-31.8K-42.7K-20.0K-20.7K-42.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.067.600.387.60
Total Volume677.65431,79437043
Total OI10,768.357,82113,4427,82113,442

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$20.68$17.5056.1%16.1%62.0%17.4%55.1%7.7%2.3%62.0K-2.7M-20.7K0.3816.43N/AN/A2691013,8593,962
2009-05-04$22.47$17.5053.8%16.1%66.6%15.4%57.1%10.4%0.6%75.5K-4.5M-20.0K0.4015.29N/AN/A4561823,9193,965
2009-05-05$22.38$17.5054.3%15.9%66.6%15.9%54.7%10.7%1.0%74.9K-4.4M-20.6K0.2415.26N/AN/A416984,0554,099
2009-05-06$22.45$17.5058.7%16.5%59.0%19.7%58.8%10.9%0.1%84.3K-4.6M-21.0K1.8915.18N/AN/A4087704,3314,167
2009-05-07$21.59$17.5060.8%16.8%62.0%21.6%61.9%10.9%-0.3%43.2K-3.1M-23.7K0.419.98N/AN/A6102534,6124,713
2009-05-08$22.23$17.5056.0%16.4%57.2%17.3%57.1%14.5%0.9%46.2K-4.3M-24.9K0.1710.04N/AN/A310524,9144,898
2009-05-11$21.33$17.5066.4%16.8%60.1%26.5%64.6%10.0%0.0%45.2K-2.9M-23.8K1.0510.53N/AN/A971024,9314,917
2009-05-12$21.08$17.5069.0%18.2%59.0%28.8%59.0%10.1%-0.2%48.5K-2.6M-23.6K1.0810.55N/AN/A5996445,0024,949
2009-05-13$19.51$17.5071.4%18.2%66.8%30.8%64.6%12.3%0.0%44.8K-492.7K-27.0K1.3118.11N/AN/A7781,0165,3085,345
2009-05-14$19.68$17.5062.4%17.9%66.1%23.0%61.3%11.2%1.7%33.7K-631.1K-32.8K1.5512.15N/AN/A1572436,0016,079
2009-05-15$19.48$17.5059.5%17.0%65.7%17.7%61.6%11.0%2.7%24.6K173.3K-32.3K1.2614.17N/AN/A6107696,1106,163
2009-05-18$20.64$17.5054.6%15.6%64.5%13.2%54.8%9.5%3.0%50.7K-3.0M-35.4K1.2315.45N/AN/A5616905,4744,886
2009-05-19$21.20$17.5054.4%15.6%63.4%13.1%49.8%8.2%2.5%64.6K-4.1M-39.1K0.408.82N/AN/A6022415,9225,255
2009-05-20$21.73$17.5050.7%14.5%63.6%9.8%52.6%9.3%2.4%86.7K-5.2M-41.4K1.4811.40N/AN/A1982936,4365,468
2009-05-21$20.95$17.5056.0%16.0%65.7%14.5%54.0%9.5%2.0%67.0K-3.7M-42.0K0.2116.54N/AN/A242506,5475,745
2009-05-22$21.24$17.5054.1%15.5%63.0%12.8%50.5%7.3%3.7%77.2K-4.3M-42.0K0.0615.65N/AN/A9056,6085,754
2009-05-26$22.33$17.5051.1%14.7%62.2%10.2%51.6%6.0%2.8%95.7K-6.2M-41.4K0.5613.77N/AN/A59336,6595,759
2009-05-27$21.55$17.5051.1%14.7%64.1%10.2%50.9%8.6%2.9%88.0K-4.9M-40.8K0.1114.84N/AN/A256286,7015,764
2009-05-28$21.91$17.5050.6%14.5%62.5%9.7%50.6%6.3%3.2%100.8K-5.6M-41.3K1.0415.41N/AN/A6006226,8595,789
2009-05-29$22.48$20.0049.9%14.3%60.8%9.0%56.4%7.8%2.8%114.8K-6.5M-42.7K7.6014.37N/AN/A5387,2976,145