CRS Options History — August 2009 In August 2009, CRS traded between $18.05 and $21.75. ATM implied volatility averaged 51.5%, placing in the 8.6% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded above realized volatility by 4.6% (HV 20d: 46.9%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.70.
Notable Days 2009-08-05 : Highest Volume — 2,294 contracts2009-08-20 : Largest IV drop — 9.6% change2009-08-17 : Highest IV Rank — 15.0%2009-08-17 : Largest Expected Move — 16.7%Monthly Statistics Metric Avg Min Max Open Close Price $19.58 $18.05 $21.75 $19.32 $21.31 Max Pain $19.52 $17.50 $20.00 $17.50 $20.00 ATM IV 51.5% 45.1% 58.4% 49.8% 49.0% Expected Move 15.0% 12.9% 16.7% 14.3% 14.0% HV 20d 46.9% 44.2% 51.6% 51.6% 47.3% HV 60d 53.4% 51.6% 56.3% 56.3% 53.2% IV Rank 8.6% 2.7% 15.0% 7.0% 6.3% IV Percentile 10.1% 1.2% 23.4% 6.7% 3.2% Term Structure 1.1% -1.3% 3.9% 1.1% 2.6% VWIV 53.2% 47.6% 57.6% 50.5% 51.7% Skew 25d 5.9% 2.6% 15.7% 5.0% 3.9% Skew 10d 9.0% -3.7% 24.7% -3.7% 9.9% Call IV 25d 50.1% 42.4% 55.4% 49.8% 49.1% Put IV 25d 56.0% 50.3% 61.2% 54.8% 53.0% Bid-Ask Spread % 14.50 9.22 20.81 15.43 19.69 Gamma HHI 0.48 0.27 0.83 0.29 0.38 Net GEX 56.6K -14.5K 162.4K -3.9K 93.5K Net DEX 105.1K -4.3M 3.7M 1.1M -2.6M Net VEX -39.9K -43.5K -36.0K -36.0K -39.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.70 0.00 3.67 0.66 0.13 Total Volume 603.429 9 2,294 261 526 Total OI 16,175.286 14,054 17,654 14,054 14,457
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2009-08-03 $19.32 $17.50 49.8% 14.3% 51.6% 7.0% 50.5% 5.0% 1.1% -3.9K 1.1M -36.0K 0.66 15.43 N/A N/A 157 104 6,983 7,071 2009-08-04 $19.39 $17.50 49.7% 14.2% 49.0% 7.0% 51.0% 4.4% 0.7% -938 939.8K -36.5K 0.28 16.36 N/A N/A 157 44 7,028 7,149 2009-08-05 $19.36 $17.50 52.4% 15.0% 45.8% 9.5% 54.0% 3.3% 2.6% 2.8K 764.3K -37.2K 0.03 16.85 N/A N/A 2,221 73 7,163 7,178 2009-08-06 $19.19 $17.50 51.9% 14.9% 45.9% 9.0% 52.4% 15.7% 3.3% 59.7K -135.5K -40.6K 0.34 9.22 N/A N/A 376 129 8,712 7,209 2009-08-07 $19.75 $20.00 50.0% 15.4% 46.1% 7.3% 54.5% 6.0% 0.7% 83.6K -1.6M -42.5K 1.04 13.83 N/A N/A 451 467 8,920 7,281 2009-08-10 $19.16 $20.00 51.5% 15.7% 47.5% 8.6% 54.7% 6.2% 0.1% 55.6K 33.1K -40.3K 1.50 15.09 N/A N/A 551 827 8,944 7,547 2009-08-11 $18.78 $20.00 51.2% 15.7% 48.3% 8.4% 55.3% 5.5% -0.7% 34.1K 1.5M -41.5K 1.83 9.89 N/A N/A 86 157 9,085 8,199 2009-08-12 $19.15 $20.00 49.2% 15.5% 47.2% 6.5% 54.8% 5.3% 0.4% 43.7K 796.1K -43.4K 0.21 15.77 N/A N/A 48 10 9,074 8,320 2009-08-13 $19.55 $20.00 53.9% 15.4% 44.8% 10.8% 53.8% 4.2% 0.1% 63.3K -198.3K -43.5K 0.63 16.81 N/A N/A 189 120 9,110 8,325 2009-08-14 $19.24 $20.00 53.9% 15.5% 45.1% 10.9% 57.6% 5.2% 0.1% 50.2K 708.5K -42.4K 0.00 11.71 N/A N/A 9 0 9,150 8,413 2009-08-17 $18.05 $20.00 58.4% 16.7% 48.1% 15.0% 57.1% 7.2% -1.3% -11.8K 3.7M -36.8K 3.67 13.83 N/A N/A 55 202 9,152 8,413 2009-08-18 $18.36 $20.00 57.2% 16.4% 48.0% 13.9% 56.4% 2.6% 0.0% -14.5K 2.8M -37.3K 1.30 13.27 N/A N/A 94 122 9,136 8,467 2009-08-19 $18.72 $20.00 57.8% 16.6% 44.5% 14.4% 57.4% 7.4% -1.1% 37.1K 2.0M -37.8K 0.00 13.36 N/A N/A 278 0 9,072 8,520 2009-08-20 $18.99 $20.00 52.2% 15.0% 44.6% 9.3% 56.7% 6.8% 0.9% 60.0K 1.7M -37.5K 0.69 14.78 N/A N/A 55 38 9,066 8,510 2009-08-21 $19.77 $20.00 51.6% 14.8% 46.6% 8.7% 52.4% 5.1% 1.8% 162.4K -112.2K -40.1K 0.25 15.69 N/A N/A 238 60 9,121 8,533 2009-08-24 $20.24 $20.00 51.5% 14.8% 47.1% 8.6% 51.7% 5.5% 1.2% 79.7K -872.0K -40.1K 0.15 10.53 N/A N/A 774 115 7,977 7,037 2009-08-25 $19.64 $20.00 50.5% 14.5% 47.1% 7.7% 50.5% 6.3% 1.1% 86.5K 353.6K -38.7K 0.16 11.78 N/A N/A 515 83 8,184 7,023 2009-08-26 $19.97 $20.00 48.9% 14.0% 44.2% 6.3% 48.7% 8.1% 1.8% 101.0K -527.2K -40.7K 0.89 10.53 N/A N/A 219 195 8,490 7,047 2009-08-27 $21.45 $20.00 45.1% 12.9% 48.2% 2.7% 47.6% 4.7% 3.9% 109.0K -4.3M -41.9K 0.03 19.19 N/A N/A 661 23 8,508 7,047 2009-08-28 $21.75 $20.00 46.1% 13.2% 47.3% 3.6% 48.5% 5.0% 3.9% 98.5K -3.8M -43.2K 0.89 20.81 N/A N/A 1,189 1,054 7,999 7,061 2009-08-31 $21.31 $20.00 49.0% 14.0% 47.3% 6.3% 51.7% 3.9% 2.6% 93.5K -2.6M -39.8K 0.13 19.69 N/A N/A 466 60 7,690 6,767
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