CRS Options History — July 2009

In July 2009, CRS traded between $16.87 and $20.89. ATM implied volatility averaged 60.5%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded above realized volatility by 4.7% (HV 20d: 55.8%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 2.74.

Notable Days

  • 2009-07-30: Highest Volume — 2,051 contracts
  • 2009-07-06: Largest IV spike — 14.3% change
  • 2009-07-07: Highest IV Rank — 23.8%
  • 2009-07-08: Largest Expected Move — 19.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.30$16.87$20.89$20.89$18.69
Max Pain$18.75$17.50$20.00$20.00$20.00
ATM IV60.5%51.9%67.9%59.0%51.9%
Expected Move17.4%14.9%19.1%16.9%14.9%
HV 20d55.8%51.3%61.1%55.7%56.0%
HV 60d58.7%54.9%61.3%61.0%56.3%
IV Rank16.9%9.0%23.8%15.5%9.0%
IV Percentile29.3%9.1%50.8%24.6%9.1%
Term Structure-1.9%-4.3%1.8%1.8%1.3%
VWIV59.0%50.5%67.1%55.9%51.4%
Skew 25d7.8%5.6%11.6%11.6%9.7%
Skew 10d16.9%4.9%32.9%32.9%29.9%
Call IV 25d56.0%43.9%63.0%50.4%43.9%
Put IV 25d63.8%53.6%71.3%62.0%53.6%
Bid-Ask Spread %14.7110.7519.1012.9116.54
Gamma HHI0.320.240.400.330.33
Net GEX-21.5K-73.4K46.0K46.0K-66.2K
Net DEX3.6M-612.8K6.4M-612.8K3.0M
Net VEX-36.1K-47.8K-30.6K-47.8K-36.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.740.0713.140.501.71
Total Volume565.091862,051198130
Total OI15,394.95512,90818,21015,92914,986

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-07-01$20.89$20.0059.0%16.9%55.7%15.5%55.9%11.6%1.8%46.0K-612.8K-47.8K0.5012.91N/AN/A132668,7357,194
2009-07-02$20.06$20.0058.8%16.8%56.0%15.4%58.5%5.6%0.8%26.8K907.1K-44.7K0.9513.26N/AN/A1111068,7657,152
2009-07-06$18.71$20.0067.2%18.7%58.1%23.1%62.9%7.6%-1.8%-6.9K3.9M-37.6K7.9819.10N/AN/A1219658,8587,130
2009-07-07$17.94$20.0067.9%19.1%58.6%23.8%66.7%7.2%-2.9%-3.2K4.4M-33.6K4.9118.52N/AN/A2561,2588,9046,761
2009-07-08$17.18$20.0066.5%19.1%57.1%22.5%66.2%8.3%-2.3%-36.4K6.0M-32.5K1.4712.43N/AN/A2924289,1157,733
2009-07-09$17.08$20.0064.8%18.8%56.0%20.9%63.1%6.6%-2.6%-39.3K6.2M-32.1K1.4411.95N/AN/A1351959,0467,806
2009-07-10$16.87$20.0059.3%18.5%56.1%15.8%67.1%7.6%-2.0%-45.5K6.4M-31.4K2.3813.89N/AN/A34819,1327,878
2009-07-13$17.30$20.0066.9%18.7%57.9%22.8%60.2%7.2%-2.8%-49.5K6.0M-31.9K2.3315.03N/AN/A39919,1457,864
2009-07-14$17.35$20.0064.6%18.6%55.2%20.8%59.9%7.6%-3.0%-50.9K6.0M-31.6K0.4915.53N/AN/A3381659,1587,855
2009-07-15$18.00$17.5062.3%17.9%56.7%18.6%60.4%7.6%-2.2%-48.7K5.4M-33.9K0.5817.15N/AN/A6363719,2937,957
2009-07-16$18.86$17.5057.7%16.5%59.3%14.4%59.8%6.6%-1.1%-30.6K3.7M-39.8K1.7716.30N/AN/A31559,9108,300
2009-07-17$18.68$17.5062.2%17.8%59.1%18.5%58.5%7.6%-2.4%-13.6K4.2M-38.4K2.2411.23N/AN/A551239,8408,238
2009-07-20$19.47$17.5056.8%16.3%61.1%13.5%56.6%6.2%-2.6%-5.8K959.8K-39.5K0.0718.95N/AN/A286216,3976,511
2009-07-21$18.99$17.5053.7%15.4%51.5%10.7%53.5%8.9%-0.9%-4.8K1.5M-38.3K2.2513.01N/AN/A611376,5916,521
2009-07-22$18.02$17.5060.4%17.3%54.7%16.8%57.3%10.5%-3.8%-14.9K2.9M-35.2K0.5016.25N/AN/A3501756,6336,592
2009-07-23$18.23$17.5059.6%17.1%54.5%16.2%58.5%9.3%-4.3%-9.1K2.6M-35.7K0.6916.23N/AN/A98686,7476,640
2009-07-24$18.39$17.5058.8%16.9%51.9%15.4%56.0%7.6%-3.2%-8.5K2.4M-36.4K3.3916.95N/AN/A491666,7856,683
2009-07-27$18.55$17.5060.0%17.2%52.1%16.5%56.0%6.2%-3.7%-6.7K2.1M-36.3K0.2813.82N/AN/A159456,8046,662
2009-07-28$18.00$17.5059.9%17.2%51.3%16.4%58.7%7.7%-2.7%-12.3K3.0M-34.2K13.1410.75N/AN/A1161,5246,8896,685
2009-07-29$17.29$17.5060.2%17.2%52.5%16.7%60.7%7.7%-3.2%-20.6K4.1M-30.6K4.3011.30N/AN/A1727406,9406,814
2009-07-30$18.05$20.0052.1%14.9%55.6%9.2%50.5%6.2%1.5%-73.4K4.2M-35.0K6.9512.58N/AN/A2581,7937,0218,019
2009-07-31$18.69$20.0051.9%14.9%56.0%9.0%51.4%9.7%1.3%-66.2K3.0M-36.6K1.7116.54N/AN/A48826,9698,017