CRS Options History — June 2009

In June 2009, CRS traded between $19.15 and $24.74. ATM implied volatility averaged 58.2%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 16.8%. IV traded above realized volatility by 1.9% (HV 20d: 56.3%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.72.

Notable Days

  • 2009-06-15: Highest Volume — 3,540 contracts
  • 2009-06-08: Largest IV spike — 10.4% change
  • 2009-06-17: Highest IV Rank — 20.6%
  • 2009-06-17: Largest Expected Move — 18.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.08$19.15$24.74$23.74$20.81
Max Pain$21.70$20.00$22.50$20.00$22.50
ATM IV58.2%52.0%64.5%54.0%59.9%
Expected Move16.8%14.9%18.5%15.5%17.2%
HV 20d56.3%46.9%63.3%63.3%56.2%
HV 60d61.8%60.3%63.1%62.6%61.1%
IV Rank15.0%9.1%20.6%12.7%16.4%
IV Percentile27.7%16.7%39.3%22.6%27.8%
Term Structure2.1%-0.3%3.8%1.4%0.7%
VWIV57.6%51.7%65.9%51.7%58.8%
Skew 25d7.8%-0.2%12.8%12.8%6.6%
Skew 10d20.5%-3.0%32.6%29.1%8.1%
Call IV 25d54.5%43.4%60.0%43.4%54.8%
Put IV 25d62.3%55.9%67.3%56.2%61.4%
Bid-Ask Spread %14.007.6818.927.6812.33
Gamma HHI0.370.250.520.420.32
Net GEX111.4K10.3K206.7K122.0K44.8K
Net DEX-5.1M-12.4M2.0M-9.2M-264.8K
Net VEX-47.4K-54.1K-39.8K-41.4K-48.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.062.640.212.64
Total Volume911.955853,5401,02091
Total OI16,336.45513,26319,65813,44616,054

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-06-01$23.74$20.0054.0%15.5%63.3%12.7%51.7%12.8%1.4%122.0K-9.2M-41.4K0.217.68N/AN/A8421787,2996,147
2009-06-02$23.94$20.0052.0%14.9%56.6%9.3%54.8%-0.2%1.0%139.7K-10.2M-42.0K0.2712.08N/AN/A1,4383847,8376,238
2009-06-03$23.23$20.0056.9%16.3%57.8%13.7%53.3%9.1%0.3%147.9K-8.7M-46.9K0.348.52N/AN/A4311458,4626,545
2009-06-04$23.75$20.0057.2%16.4%58.2%13.9%53.6%12.3%-0.3%179.8K-9.9M-47.7K0.3310.17N/AN/A6552188,8426,658
2009-06-05$24.46$22.5052.6%15.9%56.8%9.7%55.4%7.8%3.1%177.8K-11.6M-46.9K0.4213.55N/AN/A1,8747818,8946,861
2009-06-08$23.66$22.5058.1%17.1%57.7%14.7%56.9%8.9%3.1%196.0K-9.8M-54.1K0.4913.47N/AN/A37318310,0017,463
2009-06-09$24.39$22.5052.9%16.1%56.0%10.0%56.2%7.0%2.7%200.5K-11.5M-53.4K0.4712.85N/AN/A3911829,8777,536
2009-06-10$24.74$22.5052.0%15.9%55.6%9.1%65.9%8.6%3.6%201.8K-12.4M-53.3K0.5513.66N/AN/A93519,8597,584
2009-06-11$24.28$22.5055.7%16.0%46.9%12.5%54.4%7.9%2.9%206.7K-11.5M-52.7K0.4317.95N/AN/A129559,9017,576
2009-06-12$23.59$22.5058.7%16.8%49.0%15.3%58.8%8.4%3.7%199.1K-9.5M-51.8K1.6117.86N/AN/A1442329,9507,624
2009-06-15$22.10$22.5059.1%16.9%55.3%15.7%59.1%9.3%2.9%124.3K-5.0M-48.8K0.6313.28N/AN/A2,1661,3749,9347,735
2009-06-16$21.22$22.5063.6%18.2%54.2%19.8%59.4%5.7%0.9%101.9K-2.7M-50.3K0.4815.41N/AN/A37117710,8758,427
2009-06-17$20.60$22.5064.5%18.5%54.4%20.6%63.4%7.3%-0.2%95.8K-907.8K-47.7K1.2616.28N/AN/A36846411,1848,474
2009-06-18$20.80$22.5062.4%17.9%53.7%18.7%61.5%8.4%1.7%89.4K-1.4M-47.7K2.0216.59N/AN/A24248911,0408,423
2009-06-19$21.06$22.5059.9%17.2%52.3%16.4%55.2%7.9%3.7%56.1K-2.0M-47.4K0.8917.47N/AN/A454010,9278,466
2009-06-22$19.15$22.5060.9%17.5%62.0%17.4%60.1%6.7%2.9%10.3K2.0M-39.8K0.3713.84N/AN/A3381247,4055,858
2009-06-23$19.21$22.5059.8%17.2%58.6%16.3%58.6%6.2%3.8%14.2K1.9M-40.1K0.6614.04N/AN/A131877,5455,905
2009-06-24$19.52$22.5061.0%17.5%58.2%17.5%61.0%6.2%3.4%21.6K1.5M-41.4K1.0715.96N/AN/A9821,0557,6605,928
2009-06-25$20.39$20.0060.1%17.2%60.2%16.6%57.4%10.1%2.5%31.3K219.7K-47.5K0.0616.58N/AN/A299178,4346,828
2009-06-26$20.24$20.0060.0%17.2%59.3%16.5%56.1%9.6%2.0%35.0K345.3K-46.5K0.439.52N/AN/A2751178,6886,836
2009-06-29$20.84$20.0060.0%17.2%56.5%16.5%55.7%5.4%0.4%55.5K-808.8K-47.1K0.3218.92N/AN/A1,5374958,7916,831
2009-06-30$20.81$22.5059.9%17.2%56.2%16.4%58.8%6.6%0.7%44.8K-264.8K-48.4K2.6412.33N/AN/A25668,8227,232