CRS Options History — September 2009

In September 2009, CRS traded between $20.17 and $25.66. ATM implied volatility averaged 53.7%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded above realized volatility by 0.8% (HV 20d: 52.8%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.49.

Notable Days

  • 2009-09-15: Highest Volume — 2,641 contracts
  • 2009-09-30: Largest IV spike — 4.7% change
  • 2009-09-22: Highest IV Rank — 11.3%
  • 2009-09-22: Largest Expected Move — 16.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.52$20.17$25.66$20.21$23.39
Max Pain$21.43$20.00$22.50$20.00$22.50
ATM IV53.7%49.0%56.9%50.8%55.8%
Expected Move15.5%14.5%16.3%14.6%16.0%
HV 20d52.8%46.7%58.0%51.6%46.7%
HV 60d52.4%48.4%55.6%53.8%48.4%
IV Rank8.2%3.8%11.3%5.5%10.2%
IV Percentile14.8%2.0%23.8%6.3%23.0%
Term Structure0.6%-2.2%5.1%3.3%1.7%
VWIV54.4%47.4%61.0%50.9%55.0%
Skew 25d8.0%4.0%14.5%4.0%9.1%
Skew 10d16.8%7.6%29.6%15.8%21.6%
Call IV 25d49.5%43.7%53.5%50.4%47.9%
Put IV 25d57.5%53.8%61.7%54.4%57.0%
Bid-Ask Spread %13.968.7220.3412.4612.13
Gamma HHI0.430.350.760.410.39
Net GEX129.2K84.1K309.8K84.1K93.7K
Net DEX-7.0M-15.2M348.4K-82.9K-4.1M
Net VEX-41.5K-45.3K-37.1K-37.6K-42.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.031.630.151.03
Total Volume840.9051722,6411,801274
Total OI14,446.38111,79117,70614,39012,110

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$20.21$20.0050.8%14.6%51.6%5.5%50.9%4.0%3.3%84.1K-82.9K-37.6K0.1512.46N/AN/A1,5682337,5826,808
2009-09-02$20.17$20.0050.4%14.5%51.6%5.1%47.4%7.0%3.8%85.9K348.4K-37.1K0.2714.70N/AN/A229617,7486,887
2009-09-03$20.54$20.0051.0%14.6%51.7%5.7%50.3%5.9%5.1%92.9K-403.0K-37.7K0.0816.12N/AN/A595497,7216,894
2009-09-04$20.92$20.0049.0%15.4%51.1%3.8%52.8%6.8%0.8%117.7K-1.5M-38.9K0.0317.22N/AN/A30598,1046,899
2009-09-08$22.57$20.0051.1%15.4%55.7%5.8%51.1%9.3%-0.8%144.2K-5.7M-38.4K0.398.72N/AN/A1,1034288,2536,892
2009-09-09$22.29$20.0051.9%15.6%55.3%6.5%53.0%7.6%-1.1%158.1K-5.1M-40.0K0.2510.29N/AN/A5101298,6867,074
2009-09-10$23.63$20.0053.3%15.3%57.9%7.8%52.9%6.3%0.2%151.7K-8.8M-39.6K0.4719.94N/AN/A2431138,8117,144
2009-09-11$23.59$20.0053.3%15.3%58.0%7.9%53.9%4.8%-0.0%152.6K-8.6M-39.0K0.8020.34N/AN/A1601288,8227,214
2009-09-14$24.33$20.0054.2%15.5%57.6%8.7%54.3%7.0%-1.9%127.0K-10.5M-37.6K0.3417.96N/AN/A1,2984478,7487,246
2009-09-15$24.64$22.5054.4%15.6%50.2%8.9%61.0%5.9%-1.8%170.5K-12.7M-40.7K1.6311.89N/AN/A1,0041,6379,8237,340
2009-09-16$25.66$22.5055.8%16.0%51.0%10.2%58.9%7.1%-1.5%141.3K-15.2M-43.9K0.2312.50N/AN/A8601949,6637,677
2009-09-17$25.39$22.5056.2%16.1%51.9%10.6%58.8%7.3%-2.2%155.8K-14.5M-44.9K1.2911.67N/AN/A3374359,7507,742
2009-09-18$25.10$22.5055.5%15.9%52.8%9.9%52.0%6.6%-1.5%309.8K-13.9M-44.9K0.6912.55N/AN/A3172199,7197,987
2009-09-21$24.42$22.5055.4%15.9%53.8%9.8%56.2%9.5%1.4%109.9K-6.4M-44.2K0.1713.88N/AN/A1,3862406,6235,168
2009-09-22$25.32$22.5056.9%16.3%54.4%11.3%58.9%8.4%0.2%110.3K-8.1M-44.7K0.1715.36N/AN/A547936,7835,210
2009-09-23$25.19$22.5055.4%15.9%52.5%9.8%55.9%7.2%0.3%114.6K-8.2M-45.1K0.2414.44N/AN/A5471326,9525,251
2009-09-24$24.47$22.5054.8%15.7%54.5%9.2%55.2%4.4%2.2%107.9K-6.6M-45.3K0.7917.76N/AN/A1521206,8525,328
2009-09-25$23.91$22.5052.8%15.1%50.6%7.4%53.3%14.5%2.6%98.1K-5.3M-44.3K0.189.88N/AN/A5671006,6545,373
2009-09-28$24.29$22.5055.2%15.8%50.6%9.7%55.5%14.5%-0.2%94.1K-5.8M-42.8K0.5111.49N/AN/A114586,5365,373
2009-09-29$23.95$22.5053.3%15.3%50.3%7.9%55.2%13.4%1.1%94.2K-5.2M-42.3K0.5511.95N/AN/A4642546,5325,395
2009-09-30$23.39$22.5055.8%16.0%46.7%10.2%55.0%9.1%1.7%93.7K-4.1M-42.6K1.0312.13N/AN/A1351396,6245,486